Hits 1-9 within 9 documents
The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises [journal article]
Source: Quantitative Finance, 7 (2007) 1. p.63-74
Solvable Local and Stochastic Volatility Models: Supersymmetric Methods in Option Pricing [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.525-535
Optimal approximations of power-laws with exponentials: application to volatility models with long memory [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.585-589
On Option Pricing Models in the Presence of Heavy Tails [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.563-573
On the feasibility of portfolio optimization under expected shortfall [journal article]
Source: Quantitative Finance, 7 (2007) 4. p.389-396
Testing asymmetry in financial time series [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.687-696
Value-at-risk forecasts under scrutiny - the German experience [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.621-636
On the structure of Gaussian pricing models and Gaussian Markov functional models [journal article]
Source: Quantitative Finance, 7 (2007) 5. p.487-496
The momentum effect: Omitted risk factors or investor behaviour? Some evidence from the Spanish stock market [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.637-650