Out to subscribers soon:
Quantitative Finance Volume 3 Issue 1 (February 2003)
http://quant.iop.org
Contents:
SELECTED PROCEEDINGS FROM QUANTITATIVE METHODS IN FINANCE 2002
Dependence structures for multivariate high-frequency data in finance -
Wolfgang Breymann, Alexandra Dias and Paul Embrechts (Abstract available at
http://stacks.iop.org/1469-7688/3/1)
Analytical pricing of the smile in a forward LIBOR market model - Damiano
Brigo and Fabio Mercurio (Abstract available at
http://stacks.iop.org/1469-7688/3/15)
Optimal allocation to hedge funds: an empirical analysis - Jaksa Cvitanic,
Ali Lazrak, Lionel Martellini and Fernando Zapatero (Abstract available at
http://stacks.iop.org/1469-7688/3/28)
Time consistency of Lévy models - Ernst Eberlein and Fehmi Özkan (Abstract
available at http://stacks.iop.org/1469-7688/3/40)
Commodity price modelling that matches current observables: a new approach
-Kristian R Miltersen (Abstract available at
http://stacks.iop.org/1469-7688/3/51)
Mathematical foundation of convexity correction - Antoon Pelsser (Abstract
available at http://stacks.iop.org/1469-7688/3/59)
Also
Carl Chiarella and Eckhard Platen introduce the selected Proceedings from
Quantitative Methods in Finance 2002
An alternative view - Anders Johansen addresses some of the issues he feels
are raised by the publication of 'The US 2000-2002 market descent: how much
longer and deeper?' by Sornette and Zhou in Quantitative Finance 2 468-81.
A chaotic model for interest rates - Jessica James and Nick Webber discuss
chaos in interest rates, and the implications for forecasters attempting to
predict these rates in the future.
Pioneers on a new continent: on physics and economics - A decade ago, Sorin
Solomon and Moshe Levy embarked on an interdisciplinary journey across the
uncharted ocean between physics and economics. Now, 10 years on, they
present a stirring account of the rich and beautiful continent they found on
the way.
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All best wishes
Jacob
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Jacob Bettany
Publisher
Quantitative Finance
Tel: +44 (0) 117 930 1124
Fax: +44 (0) 117 920 0790
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