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Out to subscribers soon! Quantitative Finance Volume 3 Issue 3 (June 2003) Contents: Non-constant rates and over-diffusive prices in a simple model of limit order markets - Damien Challet and Robin Stinchcombe (abstract at http://stacks.iop.org/1469-7688/3/155) Estimating GARCH models using support vector machines - Fernando Pérez-Cruz, Julio A Afonso-Rodríguez and Javier Giner (abstract at http://stacks.iop.org/1469-7688/3/163) Alternative asset-price dynamics and volatility smile - Damiano Brigo, Fabio Mercurio and Giulio Sartorelli (abstract at http://stacks.iop.org/1469-7688/3/173) A nonparametric test of the mixture-of-distributions model - Wai Mun Fong and Wesley Fabrice Lab-Sane (abstract at http://stacks.iop.org/1469-7688/3/184) Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates - Olga Yashkir and Yuri Yashkir (abstract at http://stacks.iop.org/1469-7688/3/195) Stochastic simulations of time series within Weierstrass-Mandelbrot walks - R Kutner and F Switala (abstract at http://stacks.iop.org/1469-7688/3/201) A data and digital-contracts driven method for pricing complex derivatives - Jun Lu and Hiroshi Ohta (abstract at http://stacks.iop.org/1469-7688/3/212) Profitable technical trading rules as a source of price instability - David Goldbaum (abstract at http://stacks.iop.org/1469-7688/3/220) ALSO Editorial: Looking forward to the future - J Doyne Farmer reflects on his period as Joint Editor-in-Chief and outlines his vision for the future of financial economics. Profile: Informational imperfections in theory and practice - Tim Chapman profiles Sanford J Grossman, chairman, chief executive and president, Quantitative Financial Strategies Inc; Steinberg Trustee Professor for Finance Emeritus, The Wharton School, University of Pennsylvania. Profile: Innovation at MIT - Andrew Lo introduces MIT's Laboratory for Financial Engineering and outlines its research programmes in capital markets, risk management and financial technology. Response: The US 2000-2002 market descent: clarification - Didier Sornette and Wei-Xing Zhou respond to the issues raised by Anders Johansen in his comment 'An alternative view' published in Quantitative Finance 3/2 Feature: Traditional investment versus absolute return programmes - Hilary Till and Joseph Eagleeye argue that the differences between the hedge-fund and traditional-investment industries arise from competing views of the key sources of investment returns. Feature: Making money from FX volatility - As FX options become commoditized products, derivatives on the FX volatility itself, such as FVAs, have emerged allowing the expression of views on volatility without the burden of actively managing complex option portfolios. Stephane Knauf describes how the canny trader may seek to apply familiar trading strategies from other markets. Review: Matthias Reimer discusses the 3rd Workshop on Derivatives and Risk Management in Theory and Practice which took place on 2-4 April 2003 at the Frankfurt MathFinance Institute ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Quantitative Finance continues to offer a specially discounted individual rate for Members of the Finance-and-Physics mailing list: Get a hardcopy only subscription to the journal for only £63 (EU/ROW) or $98 (USA/Canada/Mexico) Full individual rates apply for full electronic access (see quant.iop.org). OR For full e-access to the archive of over 1000 pages of top quality research, profiles, book reviews and commentary, get your institution to subscribe at the full institutional rate and receive a free hardcopy 'nominated subscription' for yourself! For further information or to subscribe contact [log in to unmask] stating the year you would like to subscribe to - 2003 or 2004 - and quoting reference PF2-004. All best wishes Jacob ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Jacob Bettany Publisher Quantitative Finance Tel: +44 (0) 117 930 1124 Fax: +44 (0) 117 920 0790 E-mail: [log in to unmask] http://quant.iop.org