Quantitative Analysis in Financial Markets
Latest Publications

TOTAL DOCUMENTS

16

(FIVE YEARS 0)

H-INDEX

3

(FIVE YEARS 0)

Published By WORLD SCIENTIFIC

9789810237882, 9789812812599

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

CALIBRATING VOLATILITY SURFACES VIA RELATIVE-ENTROPY MINIMIZATION

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0004 ◽

1999 ◽

pp. 121-151 ◽

Author(s):

MARCO AVELLANEDA ◽

CRAIG FRIEDMAN ◽

RICHARD HOLMES ◽

DOMINICK SAMPERI

Keyword(s):

Relative Entropy ◽

Entropy Minimization

Download Full-text

E-ARCH MODEL FOR IMPLIED VOLATILITY TERM STRUCTURE OF FX OPTIONS

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0011 ◽

1999 ◽

pp. 271-291 ◽

Author(s):

YINGZI ZHU ◽

MARCO AVELLANEDA

Keyword(s):

Term Structure ◽

Implied Volatility ◽

Download Full-text

DERIVING CLOSED-FORM SOLUTIONS FOR GAUSSIAN PRICING MODELS: A SYSTEMATIC TIME-DOMAIN APPROACH

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0002 ◽

1999 ◽

pp. 25-52

Author(s):

ALEXANDER LEVIN

Keyword(s):

Closed Form ◽

Time Domain ◽

Pricing Models ◽

Closed Form Solutions

Download Full-text

MODELS FOR ESTIMATING THE STRUCTURE OF INTEREST RATES FROM OBSERVATIONS OF YIELD CURVES

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0003 ◽

1999 ◽

pp. 53-120 ◽

Author(s):

K. O. KORTANEK ◽

V. G. MEDVEDEV

Keyword(s):

Interest Rates ◽

Download Full-text

THE EXISTENCE OF EQUILIBRIUM IN A FINANCIAL MARKET WITH TRANSACTION COSTS

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0014 ◽

1999 ◽

pp. 323-343 ◽

Author(s):

XING JIN ◽

FRANK MILNE

Keyword(s):

Transaction Costs ◽

Financial Market ◽

Existence Of Equilibrium

Download Full-text

A TEST OF EFFICIENCY FOR THE CURRENCY OPTION MARKET USING STOCHASTIC VOLATILITY FORECASTS

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0012 ◽

1999 ◽

pp. 292-311

Author(s):

DAJIANG GUO

Keyword(s):

Stochastic Volatility ◽

Currency Option ◽

Download Full-text

MULTIVARIATE BINOMIAL APPROXIMATIONS FOR ASSET PRICES WITH NONSTATIONARY VARIANCE AND COVARIANCE CHARACTERISTICS

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0001 ◽

1999 ◽

pp. 1-24

Author(s):

TENG-SUAN HO ◽

RICHARD C. STAPLETON ◽

MARTI G. SUBRAHMANYAM

Keyword(s):

Asset Prices ◽

Nonstationary Variance

Download Full-text

PORTFOLIO-BASED RISK PRICING: PRICING LONG-TERM PUT OPTIONS WITH GJR-GARCH(1,1)/JUMP DIFFUSION PROCESS

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0013 ◽

1999 ◽

pp. 312-322 ◽

Author(s):

SERGEI ESIPOV ◽

DAJIANG GUO

Keyword(s):

Diffusion Process ◽

Jump Diffusion ◽

Put Options ◽

Jump Diffusion Process ◽

Download Full-text

ASIAN OPTIONS, THE SUM OF LOGNORMALS, AND THE RECIPROCAL GAMMA DISTRIBUTION

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0007 ◽

1999 ◽

pp. 203-218 ◽

Author(s):

MOSHE ARYE MILEVSKY ◽

STEVEN E. POSNER

Keyword(s):

Gamma Distribution ◽

Download Full-text

CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0006 ◽

1999 ◽

pp. 177-202

Author(s):

RAPHAEL DOUADY

Keyword(s):

Closed Form ◽

Lifetime Distribution ◽

Download Full-text