Quantitative Finance

A diffusive wander through human life
pp. C21-C23(3)
Author: Moshe Milevsky

CALENDAR
pp. C26-C27(2)

Robert F Engle: Understanding volatility as a process
pp. C19-C20(2)
Author: Tim Chapman

Adventures on the edge of chaos
pp. C24-C24(1)
Author: K.P. Zetie

Perpetual American options with fractional Brownian motion
pp. 123-128(6)
Authors: Robert J. Elliott; Leunglung Chan

Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
pp. 129-139(11)
Authors: Lim Kian Guan; Liu Xiaoqing; Tsui Kai Chong

A discrete-time model of high-frequency stock returns
pp. 140-150(11)
Author: Takaki Hayashi

On the accuracy of the local linear approximation for the term structure of interest rates
pp. 151-157(7)
Authors: Isao Shoji; Hideyuki Takamizawa

Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
pp. 158-169(12)
Authors: Y.K. Tse; Xibin Zhang; Jun Yu

Pricing Asian options in a semimartingale model
pp. 170-175(6)
Authors: Jan Vecer; Mingxin Xu

Fluctuations and response in financial markets: the subtle nature of `random' price changes
pp. 176-190(15)
Authors: Jean-Philippe Bouchaud; Yuval Gefen; Marc Potters; Matthieu Wyart

Aggregate consumption spending, the stock market and asymmetric error correction
pp. 191-198(8)
Author: Lonnie K. Stevans

Applying importance sampling for estimating coherent credit risk contributions
pp. 199-207(9)
Authors: Sandro Merino; Mark A. Nyfeler

Statistical analysis of financial time series under the assumption of local stationarity
pp. 208-220(13)
Authors: Stéphan Clémençon; Skander Slim

Positive forward rates in the maximum smoothness framework
pp. 221-232(12)
Authors: Julián Manzano; Jörgen Blomvall

Optimal tracking for asset allocation with fixed and proportional transaction costs
pp. 233-243(11)
Authors: Stanley R. Pliska; Kiyoshi Suzuki