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Volume 10 Issue 5
Event risk - Parametrization and estimation in a generalized Pareto model with time-varying thresholds
Melanie Frick, Annabelle Kehl
Stochastic resonance and the trade arrival rate of stocks
A. Christian Silva, Ju-Yi J. Yen
Portfolio selection with higher moments
Campbell R. Harvey, John C. Liechty, Merrill W. Liechty, Peter Müller
No-transaction bounds and estimation risk
Vasyl Golosnoy
Exact properties of measures of optimal investment for benchmarked portfolios
J. Knight, S. E. Satchell
Optimization of N-risky asset portfolios with stochastic variance and transaction costs
C. Atkinson, P. Ingpochai
Financial literacy and portfolio diversification
Margarida Abreu, Victor Mendes
Risk and predictability of Singapore's private residential market
Qin Xiao, Weihong Huang
Changes in volatility of credit spread and market efficiency during rapid growth of credit-related securities
Christopher Hessel, Jun Wang
An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms
Christoph Wöster
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
Quantitative Finance