Volume 12; Issue 5

Quantitative Finance

Volume 12; Issue 5
1

A closed-form solution to American options under general diffusion processes

Zhao, Jing, Wong, Hoi Ying
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 293 KB
english, 2012
3

Time-varying long-run mean of commodity prices and the modeling of futures term structures

Tang, Ke
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 316 KB
english, 2012
4

Leverage causes fat tails and clustered volatility

Thurner, Stefan, Farmer, J. Doyne, Geanakoplos, John
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 1.40 MB
english, 2012
6

A strategy-proof test of portfolio returns

Foster, Dean P., Young, H. Peyton
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 2.13 MB
english, 2012
7

Probability-unbiased Value-at-Risk estimators

Francioni, Ivo, Herzog, Florian
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 855 KB
english, 2012
8

Performance evaluation of balanced pension plans

Andreu, Laura, Swinkels, Laurens
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 307 KB
english, 2012
9

Coupling index and stocks

Jourdain, Benjamin, Sbai, Mohamed
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 566 KB
english, 2012
11

Unbounded liabilities, capital reserve requirements and the taxpayer put option

Eberlein, Ernst, Madan, Dilip B.
Journal:
Quantitative Finance
Year:
2012
Language:
english
File:
PDF, 377 KB
english, 2012
14

Calendar

Journal:
Quantitative Finance
Year:
2012
File:
PDF, 599 KB
2012