Hits 1-10 within 60 documents
Price Discovery in the Presence of Boundedly Rational Agents [journal article]
Source: Quantitative Finance, 8 (2008) 3. p.235-249
A Multifactor Volatility Heston Model [journal article]
Source: Quantitative Finance, 8 (2008) 6. p.591-604
The Geometry of Crashes - A Measure of the Dynamics of Stock Market Crises [journal article]
Source: Quantitative Finance, 7 (2007) 1. p.63-74
Pricing and capital requirements for with profit contracts: modelling considerations [journal article]
Source: Quantitative Finance, 9 (2009) 7. p.803-817
Analysis of the rebalancing frequency in log-optimal portfolio selection [journal article]
Source: Quantitative Finance, 10 (2010) 2. p.221-234
The robustness of modified unit root tests in the presence of GARCH [journal article]
Source: Quantitative Finance, 6 (2006) 4. p.359-363
A multi-factor jump-diffusion model for commodities [journal article]
Source: Quantitative Finance, 8 (2008) 2. p.181-200
Testing asymmetry in financial time series [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.687-696
A new Technique for Calibrating Stochastic Volatility Models: The Malliavin Gradient Method [journal article]
Source: Quantitative Finance, 6 (2006) 2. p.147-158
Volatility transmission patterns and terrorist attacks [journal article]
Source: Quantitative Finance, 9 (2009) 5. p.607-619