Volume 9; Issue 6

Quantitative Finance

Volume 9; Issue 6
2

Pseudospectral methods for pricing options

Suh, Sangwon
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 450 KB
english, 2009
3

VaR and expected shortfall: a non-normal regime switching framework

Elliott, Robert J., Miao, Hong
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 663 KB
english, 2009
5

Numerical computation of Theta in a jump-diffusion model by integration by parts

David, Delphine, Privault, Nicolas
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 499 KB
english, 2009
6

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

Rombouts, Jeroen V.K., Verbeek, Marno
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 337 KB
english, 2009
7

Capital market equilibrium with heterogeneous investors

Shalit, Haim, Yitzhaki, Shlomo
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 264 KB
english, 2009
8

On the long-term behavior of mutual fund returns

Doncel, Luis Miguel, Grau-Carles, Pilar, Sainz, Jorge
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 822 KB
english, 2009
9

Spectral methods for volatility derivatives

Albanese, Claudio, Lo, Harry, Mijatović, Aleksandar
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 1.17 MB
english, 2009
10

A dynamic programming approach for pricing CDS and CDS options

Ben-Ameur, Hatem, Brigo, Damiano, Errais, Eymen
Journal:
Quantitative Finance
Year:
2009
Language:
english
File:
PDF, 274 KB
english, 2009