Table of Contents
Comment and Analysis
Financial markets. The joy of volatility - M. A. H. Dempster; Igor V. Evstigneev; Klaus Reiner Schenk-Hoppé
Impact of economic data surprises on exchange rates in the inter-dealer market - Jessica James; Kristjan Kasikov
Research Papers
The next tick on Nasdaq - Bruce Mizrach
Relation between bid-ask spread, impact and volatility in order-driven markets - Matthieu Wyart; Jean-Philippe Bouchaud; Julien Kockelkoren; Marc Potters; Michele Vettorazzo
Heterogeneity, convergence, and autocorrelations - Xue-Zhong He; Youwei Li
Semiparametric diffusion estimation and application to a stock market index - Wolfgang Härdle; Torsten Kleinow; Alexander Korostelev; Camille Logeay; Eckhard Platen
Risk-adjusted value allocation for (non-traded) assets with performance ratios - Johannes Leitner
Finance Professor
Finance Journal Contents
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Source: Quantitative Finance
The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: modelling of financial and economic primitives (interest rates, asset prices etc); modelling market behaviour; modelling market imperfections; pricing of financial derivative securities; hedging strategies; numerical methods; financial engineering.
