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Quantitative Finance, 1469-7688

Journal

  1. Loss Aversion in an Agent-Based Asset Pricing Model

    Pruna, R. T., Polukarov, M. & Jennings, N. R., 1 Feb 2020, In : Quantitative Finance. 20, 2, p. 275-290 16 p.

    Research output: Contribution to journalArticle

  2. Short-time near-the-money skew in rough fractional volatility models

    Bayer, C., Friz, P. K., Gulisashvili, A., Horvath, B. N. & Stemper, B., 2019, In : Quantitative Finance. 19, 5, p. 779-798

    Research output: Contribution to journalArticle

  3. Mass at zero in the uncorrelated SABR model and implied volatility asymptotics

    Gulisashvili, A., Horvath, B. N. & Jacquier, A., 22 Feb 2018, In : Quantitative Finance. 18, 10, p. 1753–1765

    Research output: Contribution to journalArticle

  4. The nature of the dependence of the magnitude of rate moves on the rates levels: A universal relationship

    Deguillaume, N., Rebonato, R. & Pogudin, A., 8 Mar 2013, In : Quantitative Finance. 13, 3, p. 351-367 17 p.

    Research output: Contribution to journalArticle

  5. Reduced form modeling of limit order markets

    Maloy, P. & Pennanen, T., Jul 2012, In : Quantitative Finance. 12, 7, p. 1025-1036 12 p.

    Research output: Contribution to journalArticle

  6. Credit contagion and credit risk

    Hatchett, J. P. L. & Kuehn, R., Jun 2009, In : Quantitative Finance. 9, 4, p. 373 - 382 10 p.

    Research output: Contribution to journalArticle

  7. Pricing Credit Default Swaps Bermudan Options: An Approximate Dynamic Programming Approach

    Brigo, D., Errais, E. & Ben Ameur, H., 2009, In : Quantitative Finance. 9, p. 717 - 726 10 p.

    Research output: Contribution to journalArticle

  8. Modelling bonds and credit default swaps using a structural model with contagion

    Haworth, H., Reisinger, C. & Shaw, W., Oct 2008, In : Quantitative Finance. 8, 7, p. 669 - 680 12 p.

    Research output: Contribution to journalArticle

  9. Multi-scaling in Finance

    Di Matteo, T., Feb 2007, In : Quantitative Finance. 7, 1, p. 21 - 39 19 p.

    Research output: Contribution to journalArticle

  10. On the distributional difference between the lognormal Libor and the Swap market models

    Brigo, D. & Liinev, J., Oct 2005, In : Quantitative Finance. 5, 5, p. 433 - 442 10 p.

    Research output: Contribution to journalArticle

  11. Preposterior analysis for option pricing

    Brody, D. C., Buckley, I. R. C. & Meister, B. K., Aug 2004, In : Quantitative Finance. 4, 4, p. 465 - 477 13 p.

    Research output: Contribution to journalArticle

  12. Alternative Asset Price Dynamics and Volatility Smile

    Brigo, D., Mercurio, F. & Sartorelli, G., Jun 2003, In : Quantitative Finance. 3, 3, p. 173 - 183 11 p.

    Research output: Contribution to journalArticle

  13. Analytical pricing of the smile in a forward LIBOR market model

    Brigo, D. & Mercurio, F., Feb 2003, In : Quantitative Finance. 3, 1, p. 15-27 13 p.

    Research output: Contribution to journalArticle

  14. Approximated moment-matching dynamics for basket-options pricing

    Brigo, D., Mercurio, F., Rapisarda, F. & Scotti, R., 2003, In : Quantitative Finance. 4, p. 1 - 16 16 p.

    Research output: Contribution to journalArticle

  15. Dynamical pricing of weather derivatives

    Brody, D. C., Syroka, J. & Zervos, M., 2002, In : Quantitative Finance. 2, 3, p. 189 - 198 10 p.

    Research output: Contribution to journalArticle

  16. Entropy and Information in the Interest Rate Term Structure

    Brody, D. C. & Hughston, L. P., 2002, In : Quantitative Finance. 2, p. 70 - 80 11 p.

    Research output: Contribution to journalArticle

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