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Volume 10 Issue 6
Measuring investment performance consistency
Michael Villaverde
Can expected shortfall and Value-at-Risk be used to statically hedge options?
Jonathan J. Wylie; Qiang Zhang; Tak Kuen Siu
Explicit expressions for moments of Pareto order statistics
Saralees Nadarajah
Research Papers
Robustness and sensitivity analysis of risk measurement procedures
Rama Cont; Romain Deguest; Giacomo Scandolo
Pricing and hedging basket options to prespecified levels of acceptability
Dilip B. Madan
Portfolio sensitivity to changes in the maximum and the maximum drawdown
Libor Pospisil; Jan Vecer
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
Marc Jeannin; Martijn Pistorius
Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk
Keiichi Tanaka; Takeshi Yamada; Toshiaki Watanabe
Generalized uncorrelated SABR models with a high degree of symmetry
Tai-Ho Wang; Peter Laurence; Sheng-Li Wang
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
