Quantitative Finance and Economics

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Research article

• Can we use volatility to diagnose financial bubbles? lessons from 40 historical bubbles

  Didier Sornette, Peter Cauwels, Georgi Smilyanov

  2018, 2 (1): 1-105. doi: 10.3934/QFE.2018.1.1

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• On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models

  Anton Velinov

  2018, 2 (1): 106-126. doi: 10.3934/QFE.2018.1.106

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• Volatility estimation using a rational GARCH model

  Tetsuya Takaishi

  2018, 2 (1): 127-136. doi: 10.3934/QFE.2018.1.127

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• The memory of volatility

  Kai R. Wenger, Christian H. Leschinski, Philipp Sibbertsen

  2018, 2 (1): 137-159. doi: 10.3934/QFE.2018.1.137

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• An intrinsic robust rank-one-approximation approach for currency portfolio optimization

  Hongxuan Huang, Zhengjun Zhang

  2018, 2 (1): 160-189. doi: 10.3934/QFE.2018.1.160

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• A new equilibrium trading model with asymmetric information

  Lianzhang Bao, Guangliang Zhao, Zhuo Jin

  2018, 2 (1): 217-229. doi: 10.3934/QFE.2018.1.217

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• Comparison: Binomial model and Black Scholes model

  Amir Ahmad Dar, N. Anuradha

  2018, 2 (1): 230-245. doi: 10.3934/QFE.2018.1.230

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• Stochastic interest model driven by compound Poisson process and Brownian motion with applications in life contingencies

  Shilong Li, Xia Zhao, Chuancun Yin, Zhiyue Huang

  2018, 2 (1): 246-260. doi: 10.3934/QFE.2018.1.246

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• PIIGS in and out of sync: the changing face of financial business cycle synchronization in Europe

  Andreas Tsalas, Platon Monokroussos

  2018, 2 (1): 261-278. doi: 10.3934/QFE.2018.1.261

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Review

• Stochastic arrangement increasing risks in financial engineering and actuarial science – a review

  Chen Li, Xiaohu Li

  2018, 2 (1): 190-216. doi: 10.3934/QFE.2018.1.190

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