Volume 5; Issue 2

Quantitative Finance

Volume 5; Issue 2
2

Stochastic volatility and the goodness-of-fit of the Heston model

Daniel, Gilles, Joseph *, Nathan L., Brée, David S.
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 237 KB
english, 2005
3

Calendar

Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 74 KB
english, 2005
5

A clear reflection

Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 126 KB
english, 2005
6

Tobin tax and market depth

Ehrenstein *, G., Westerhoff, F., Stauffer, D.
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 171 KB
english, 2005
7

A learning market-maker in the Glosten–Milgrom model

Das *, Sanmay
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 288 KB
english, 2005
8

Surprise volume and heteroskedasticity in equity market returns

Wagner *, Niklas, Marsh §, Terry A.
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 314 KB
english, 2005
9

Estimating value-at-risk: a point process approach

Chavez-Demoulin *, V., Davison, A. C., McNeil, A. J.
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 225 KB
english, 2005
10

On accurate and provably efficient GARCH option pricing algorithms

Lyuu *, Yuh-Dauh, Wu, Chi-Ning
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 1012 KB
english, 2005
11

Durations, volume and the prediction of financial returns in transaction time

Hafner *, Christian M.
Journal:
Quantitative Finance
Year:
2005
Language:
english
File:
PDF, 198 KB
english, 2005