Volume 7; Issue 6

Quantitative Finance

Volume 7; Issue 6
1

A non-Gaussian option pricing model with skew

Borland, Lisa, Bouchaud, Jean-Philippe
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 115 KB
english, 2007
2

Forecasting volatility in GARCH models with additive outliers

Catalán, Beatriz, Trívez, F. Javier
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 158 KB
english, 2007
3

Value-at-risk in a market subject to regime switching

Kawata, Ryohei, Kijima, Masaaki
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 270 KB
english, 2007
5

A theory of non-Gaussian option pricing

Borland, Lisa
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 81 KB
english, 2007
8

Value-at-risk forecasts under scrutiny—the German experience

Jaschke, Stefan, Stahl, Gerhard, Stehle, Richard
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 734 KB
english, 2007
9

Conditional tail behaviour and Value at Risk

Bellini, Fabio, Figà-talamanca, Gianna
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 1.13 MB
english, 2007
11

Testing asymmetry in financial time series

Lisi, Francesco
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 252 KB
english, 2007
12

Comments on ‘A theory of non-Gaussian option pricing’

Adams, Gil, Yuan, Yuhua, Kelly, Michael
Journal:
Quantitative Finance
Year:
2007
Language:
english
File:
PDF, 198 KB
english, 2007