Quantitative Finance's Blog
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
May 17, 2012
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Quantitative Finance, Volume 0, Issue 0, Page 1-12, Ahead of Print.
A strategy-proof test of portfolio returns
May 5, 2012
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Quantitative Finance, Volume 12, Issue 5, Page 671-683, May 2012.
Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group
May 5, 2012
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Quantitative Finance, Volume 12, Issue 5, Page 685-689, May 2012.
Stochastic Analysis with Financial Applications, by Arturo Kohatsu-Higa, Nicolas Privault and Shuenn-Jyi Sheu (Eds.)
May 5, 2012
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Quantitative Finance, Volume 12, Issue 5, Page 691-692, May 2012.
Leverage causes fat tails and clustered volatility
May 5, 2012
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Quantitative Finance, Volume 12, Issue 5, Page 695-707, May 2012.
Fractional differencing in discrete time
April 23, 2012
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Quantitative Finance, Volume 0, Issue 0, Page 1-10, Ahead of Print.
Derivatives pricing with marked point processes using tick-by-tick data
March 29, 2012
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Quantitative Finance, Volume 0, Issue 0, Page 1-13, Ahead of Print.
The payoff distribution model: an application to dynamic portfolio insurance
March 29, 2012
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Quantitative Finance, Volume 0, Issue 0, Page 1-14, Ahead of Print.
On the role of risk in the Morningstar rating for mutual funds
March 29, 2012
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Quantitative Finance, Volume 0, Issue 0, Page 1-10, Ahead of Print.
