Volume 69, Issue 3

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July 2009

Special Issue on Studies in Mathematical and Empirical Finance

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12 articles in this issue

Introduction to special issue: studies in mathematical and empirical finance
Svetlozar T. Rachev
Frank J. Fabozzi
Original Article 26 August 2008 Pages: 375 - 377
Black swans and white eagles: on mathematics and finance
Sergio Focardi
Frank J. Fabozzi
Original Article 05 September 2008 Pages: 379 - 394
Estimating allocations for Value-at-Risk portfolio optimization
Arthur Charpentier
Abder Oulidi
Original Article 02 September 2008 Pages: 395 - 410
Smoothly truncated stable distributions, GARCH-models, and option pricing
Christian Menn
Svetlozar T. Rachev
Original Article 02 September 2008 Pages: 411 - 438
A latent process model for the pricing of corporate securities
Masaaki Kijima
Teruyoshi Suzuki
Keiichi Tanaka
Original Article 29 August 2008 Pages: 439 - 455
Heavy-tails and regime-switching in electricity prices
Rafał Weron
Original Article 28 August 2008 Pages: 457 - 473
On convex risk measures on L ^p-spaces
M. Kaina
L. Rüschendorf
Original Article 02 September 2008 Pages: 475 - 495
Panjer recursion versus FFT for compound distributions
Paul Embrechts
Marco Frei
Original Article 02 September 2008 Pages: 497 - 508
Testing diffusion processes for non-stationarity
Jeff Hamrick
Murad S. Taqqu
Original Article 13 September 2008 Pages: 509 - 551
A note on statistical models for individual hedge fund returns
Ryozo Miura
Yoshimitsu Aoki
Daisuke Yokouchi
Original Article 10 September 2008 Pages: 553 - 577
Stochastic models for bidding strategies on oligopoly electricity market
Magdalena Borgosz-Koczwara
Aleksander Weron
Agnieszka Wyłomańska
Original Article 13 September 2008 Pages: 579 - 592
Scaling issues for risky asset modelling
Chris C. Heyde
Original Article 31 October 2008 Pages: 593 - 603

Volume 69, Issue 3

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