An extension of Davis and Lo's contagion model
Quantitative Finance, Volume 0, Issue 0, Page 1-14, Ahead of Print.
View ArticleClustering financial time series with variance ratio statistics
Quantitative Finance, Volume 0, Issue 0, Page 1-13, Ahead of Print.
View ArticleSectoral stock return sensitivity to oil price changes: a double-threshold...
Quantitative Finance, Volume 0, Issue 0, Page 1-20, Ahead of Print.
View ArticleThe bidâask spread of bank-issued options: a quantile regression analysis
Quantitative Finance, Volume 0, Issue 0, Page 1-15, Ahead of Print.
View ArticleAxiomatization of residual income and generation of financial securities
Quantitative Finance, Volume 0, Issue 0, Page 1-15, Ahead of Print.
View ArticleInvesting in the wine market: a country-level threshold cointegration approach
Quantitative Finance, Volume 0, Issue 0, Page 1-11, Ahead of Print.
View ArticleEfficient pricing of swing options in Lévy-driven models
Quantitative Finance, Volume 0, Issue 0, Page 1-9, Ahead of Print.
View ArticleMore Mathematical Finance, by M. Joshi
Quantitative Finance, Volume 0, Issue 0, Page 1-2, Ahead of Print.
View ArticleMultiplicative noise, fast convolution and pricing
Quantitative Finance, Volume 0, Issue 0, Page 1-14, Ahead of Print.
View ArticleAmerican step-up and step-down default swaps under Lévy models
Quantitative Finance, Volume 0, Issue 0, Page 1-21, Ahead of Print.
View ArticleThe valuation of clean spread options: linking electricity, emissions and fuels
Quantitative Finance, Volume 12, Issue 12, Page 1951-1965, December 2012.
View ArticleShort-horizon return predictability and oil prices
Quantitative Finance, Volume 12, Issue 12, Page 1909-1934, December 2012.
View ArticleLongâshort versus long-only commodity funds
Quantitative Finance, Volume 12, Issue 12, Page 1779-1785, December 2012.
View ArticleInconvenience yield, or the theory of normal contango
Quantitative Finance, Volume 12, Issue 12, Page 1773-1777, December 2012.
View ArticleOptimizing a basket against the efficient market hypothesis
Quantitative Finance, Volume 13, Issue 1, Page 13-23, January 2013.
View ArticleEmpirical performance of models for barrier option valuation
Quantitative Finance, Volume 13, Issue 1, Page 1-11, January 2013.
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