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
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
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~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Jacob Bettany
Publisher
Quantitative Finance
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