Академические статьи

Ниже перечислены статьи по количественным исследованиям, которые публиковались в академических, инвестиционных и других журналах.

Оценка риска :

[1] Economic Implications of Using a Mean-VaR Model for Portfolio Selection: A Comparison with Mean-Variance Analysis, G.J.Alexander, A.M.Baptista, 2000

[2] Value-at-Risk: a Multivariate Switching Regime Approach, M.Billio, L.Pelizzon, 2000

[3] The Ten Great Challenges of Risk Management, C.Batlin and B.Schachter, 2000

[4] Value at Risk Models for Dutch Bond Portfolios, P.J.G.Vlaar, 1999

[5] Non-Linear Value-at-Risk, M.Britten-Jones and S.M.Schaefer, 1999

[6] Asset Allocation in a Value-at-Risk Framework, R.Huisman et.al, 1999

[7] Evaluation of Value-at-Risk Models Using Historical Data, D.Hendricks, 1996

[8] A Simplified Method for Calculating the Credit Risk of Lending Portfolios, A.Ieda et.al., 2000

[9] Value at Risk Using Hyperbolic Distributions, C.Bauer, 2000

[10] Market Risk: An Introduction to the Concept & Analytics of Value-at-Risk, J.Frain and C.Meegan, 1996

[11] Using Value-at-Risk to Control Risk Taking: How Wrong Can You Be, X.Ju and N.D.Pearson, 1998

[12] Credit Risk Optimization with Conditional Value-at-Risk Criterion, F.Andersson and S.Uryasev, 1999

[13] An Integrated Market and Credit Risk Portfolio Model, I.Iscoe et.al., 1999

[14] Assessing VaR Accuracy, K.Dowd, 2000

[15] Measuring DAX Market Risk: A Neural Network Volatility Mixture Approach, K.Bartlmae, F.A.Rauscher, 2000

[16] Value-at-Risk (VaR), S.Benninga and Z.Wiener, 1998

[17] Managing Market Risk in Banks, 1996

[18] Value-at-Risk and Extreme Returns, J.Danielsson et.al., 2000

[19] Taking VaR to Pieces, M.Garman, 1997

[20] Optimization of Conditional Value-at-Risk, R.T.Rockafellar and S.Uryasev, 1999

[21] An Overview of Value at Risk (1), D.Duffie and J.Pan, 1997

[22] VaR Calculations for Derivatives (2), D.Duffie and J.Pan, 1997

[23] Appendices (3), D.Duffie and J.Pan, 1997

[24] Extreme Behavior of Diffusion Models in Finance, M.Borkovec, 1998

[25] Value-at-Risk Analysis and Least Squares Tail Index Estimation, R.W.J van den Goorbergh, 1999

[26] Equity Allocation and Portfolio Selection in Insurance: A Simplified Portfolio Model, E.Taflin, 2000

[27] How to Measure Risk, G.Ch.Pflug, 1997

[28] Filtering Historical Simulation. Back-test Analysis, G.Barone-Adesi, 2000

[29] Conditional Value-at-Risk: Optimization Algorithms and Applications, S.Uryasev, 2000

[30] Non-Parametric VaR Techniques. Myths and Realities, G.Barone-Adesi, 2000

[31] Value-at-Risk When Daily Changes in Market Variables are Not Normally Distributed, J.Hull and A.White, 1997

[32] Incorporating Volatility Updating into the Historical Simulation Method for Value-at-Risk, J.Hull and A.White, 1998

[33] Horizon Problems and Extreme Events in Financial Risk Management, P.F.Christoffersen et.al., 1998

[34] Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints, J.Palmquist at.al., 1999

[35] Value-at-Risk Analysis of a Leveraged Swap, S.Srivastava, 1998

[36] Tracking Error and Value-at-Risk, 1997

[37] Value-at-Risk and Mixture Distributions, 1998

[38] Value-at-Risk: On the Stability and Forecasting of the Variance-Covariance Matrix, J.Engek and M.Gizycki, 1999

[39] References from D.Duffie and J.Pan, 1997

[40] Monte Carlo within a Day, J.Cardenas et.al., 1999

[41] An Analysis Framework for Bank Capital Allocation, N.Baud et.al, 2000

[42] VaR and the Unreal World, R.Hoppe, 1998

[43] Extreme Value Theory in Finance and Ensurance, P.Embrechts, 1999

[44] Developing Scenarios for Future Extreme Losses Using the POT Model, A.J.McNeil and T.Saladin, 1998

[45] Extreme Value Theory as a Risk Management Tool, P.Embrechts et.al., 1996

[46] Value-at-Risk Analysis of Stock Returns. Historical Simulations, Variance Technique or Tail Index Estimation, R. van den Goorbergh and P.Vlaar, 1999

[47] Finding Optimal Portfolios with Constraints on Value-at-Risk, A.A.Gaivoronski and G.Pflug, 1998
Decomposing Portfolio Value-at-Risk: A General Analysis, W.G.Hallerbach, 1999

[49] Value-at-Risk in Portfolio Management, P.Gugi et.al., 1999

[50] Estimating Value-at-Risk with a Precision Measure by Combining Kernel Estimation with Historical Simulations, J.S.Butler and B.Schachter, 1997

[51] Value-at-Risk and Derivatives Risk, E.Falkenstein, 1997

[52] Measuring Risk with Extreme Value Theory, R.L.Smith, 1998

[53] Reliability of Neural Network Based Value-at-Risk Estimates, R.Prinzler, 1999

[54] Value-at-Risk for Asset managers, C.L.Culp et.al., 1999

[55] Analytical Value-at-Risk with Jumps and Credit Risk, D.Duffie and J.Pan, 1999

[56] Portfolio Selection with Limited Downside Risk, D.W.Jasen et.al., 2000

[57] Comparing Different Methods for Estimating Value-at-Risk (VaR) for Actual Non-Linear Portfolios: Empirical Evvidence, M.Coronado, 2000

[58] Value-at-Risk Based Portfolio Optimization, A.V.Puelz, 1999

[59] A Probabilistic Approach to Worst Case Scenarios, G.Barone-Adesi et.al, 1997

[60] Bank Capital and Value-at-Risk, P.Jackson et.al., 1998

[61] Recovery Risk in Stock Returns, A.Akgun and R.Gibson, 1999

[62] Extreme Value Thory for Tail-Related Risk Measures, R.Kellezi and M.Gilli, 2000

[63] Evolution of Market Uncertainty around Earnings Announcements, D.Isakov, C.Perignon, 2000

[64] New Insights into Smile, Mispricing and Value at Risk: the Hyperbolic Model, E.Eberlein and U.Keller, 1997

Оценка волатильности :

[1] Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian T.Andersen et.al., 1999

[2] Towards a Theory of Volatility Trading, P.Carr and D.Madan, 1998

[3] Forecasting S&P 100 Volatility: The Increment Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000

[4] Derivatives on Volatility: Some Simple Solutions Based on Observables, S.L.Hestib and S.Nandi, 2000
[5] Consequences for Option Pricing of a Long Memory in Volatility, S.J.Taylor, 2000

[6] Forward rate Volatilities, SWAP Rate Volatilities, and the Implementation of the LIBOR Market Model, J.Hull and A.White, 1999

[7] Nonlinear Features of Realized FX Volatility, J.Maheu and T.McCurdy, 2001

[8] Volatility Dynamics under Duration-dependent Mixing, J.Maheu and T.McCurdy, 2000

[9] Identifying Bull and Bear Markets in Stock Returns, J.maheu and T.McCurdy, 2000

[10] Modeling and Forecasting Realized Volatility, T.Andersen et.al., 2001

[11] The Realized Volatility of FTSE-100 Futures Prices, N.Areal and S.Taylor, 2000

[12] The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets, C.S.Jones, 2000

[13] Dynamic Hedging in a Volatile Market, T.F.Coleman et.al., 1999

[14] Implied Trinomial Trees of the Volatility Smile, E.Derman et.al., 1996

[15] Expectations Hypothesis of the Term Structure of Implied Volatility: Re-examination, S.Byoun et.al., 1999

[16] The Price of a Smile: Hedging and Spanning in Option Markets, A.Buraschi and J.jackwerth, 2000

[17] Implied Volatility Skews and Stock index Skewness and Kurtosis Implied by S&P500 Index Option Prices, C.J.Corrado and t.Su, 1997

[18] The Distribution of Stock Return Volatility, T.G.Andersen et.al., 2000

[19] Modeling and Forecasting Realized Volatility, T.G.Andersen et.al., 2001

[20] The Distribution of Exchange Rate Volatility, T.G.Andersen et.al., 1999

[21] Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns, B.J.Blair et.al., 2000

[22] Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility, E.Hol and S.L.Koopman, 2000

[23] Tree Structured GARCH Models, F.Audrino and P.Buhlmann, 2000

[24] Nonparametric GARCH Models, P.Buhlmann and A.J.McNeil, 1999

Паттерны :

[1] Systematic Patterns Before and After Large Price Changes: Evidence From High Frequency Data from Paris Bourse, F.Hamelink, 1999

[2] Predictable Patterns in Stock Returns, T.Hellstrom, 1997

[3] Asymmetric Cross-Sectional Dispersion in Stock Returns: Evidence and Implications, G.R.Duffee, 2000

Арбитражная торговля :

[1] From Utility Maximization to Arbitrage Pricing and Back, A.E.MacKay, E.Z.Prisman, 2000

[2] Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets, J.H.Cochrane and J.Saa-Requejo, 1999

[3] Insider Information, Arbitrage and Optimal Portfolio and Consumption Policies, M.Rindisbacher, 2000

[4] Option Pricing, Arbitrage and Martingales, A.Pelsser and T.Vorst, 1997

[5] A Robust Non-Linear Multivariate Kalman Filter for Arbitrage Identification in High-Frequency Data, P.J.Bolland and J.T.Connor, 1996

Нейронные сети :

[1] Feedforward and Recurrent Neural Networks and Genetic Programs for Stock Market and Time Series Forecasting, P.C.McCluskey, 1993

[2] Clustering of the Self-Organizing Map , Juha Vesanto , 2000

[3] The Learning Vector Quantization Program Package, T.Kohonen, 1996

[4] A Neural Network Model for Gold Market, P.J.McCann, B.L.Kalman,1993

[5] Prediction Risk and Architecture Selection for Neural Networks, J.Moody, 1994

[6] Economic Forecasting: Challenges and Neural Network Solutions, J.Moody, 1995

[7] Neural Networks in Economics: Background, Applications and New Developments, R.Herbrich et.al., 1999

[8] Incorporating Prior Knowledge About Financial Markets Through Neural Multitask Learning, K.Bartlmae et.al., 1995

[9] Neural Networks for Time Series Processing, G.Dorffner, 1996

[10] Stock Price Prediction Using Neural Networks, F.W.Op’t Landt, MSc. thesis, 1997

[11] Rprop — Description and Implementation Details, M.Riedmiller, 1994

[12] The Self-Organizing Map Program Package, T.Kohonen, 1996

[13] On the Analysis of Pattern Sequences by Self-Organizing Maps, J.Kangas, 1994

[14] Dependency Analysis and Neural Network Modeling of Currency Exchange Rates, I.Pi, 1993

[15] Forecasting the 30-year U.S. Treasury Bond with a System of Neural Networks, W.Cheng et.al., 1996

[16] Optimal Asset Allocation using Adaptive Dynamic Programming, R.Neunejer, 1995

[17] A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks, J.M.Hutchinson et.al., 1994

[18] Comparative Study of Stock Trend Prediction Using Time Delay, Recurrent and Probabilistic Neural Networks , Danil V. Prokhorov, 1998

[19] Forecasting Financial Markets using Neural Networks: an Analysis of Methods and Accuracy, J.Kutsurelis, 1998

[20] On Developing a Financial Prediction System: Pitfalls and Possibilities , Stefan Zemke

[21] A Case Study on Using Neural Networks to Perform Technical Forecasting on FOREX, J.Yao and C.Tan, 1999

Монте-карло симуляции :

[1] Efficient Monte Carlo Pricing of Basket Options, P.Bellizzari, 1998

[2] Path Generation for Quasi-Monte Carlo Simulation of Mortgage Backed Securities, F.Akersson and J.Lehoczky, 2000

[3] Applications of Monte Carlo/Quasi-Monte Carlo Methods in Finance: Option Pricing, Y.Lai and J.Spanier, 1999

[4] Variance Reduction of Monte Carlo and Randomized Quasi-Monte Carlo Estimators for Stochastic Volatility Models in Finance, H.Ben Ameur et.al., 1999

[5] Markov Chain Monte Carlo Calibration of Stochastic Volatility Models, X.Ge and C.Ji, 2000

Теория игр :

[1] Finance Applications of Game Theory, F.Allen, S.Morris, 1998

Фракталы и хаос :

[1] Interdisciplinary Application of Nonlinear Time Series Methods, T.Schreiber, 1998

[2] Kolmogorov Entropy from Time Series using Information-Theoretic Functionals, M.palus, 1997

[3] Chaotic time series. Part I: Estimation of some Invariant Properties in State Space, D.Kugiumtzis et.al., 1995

[4] Apparent Multifractality in Financial Time Series, J.P.Bouchaud, et.al., 1999

[5] Is There Chaos in the World Economy? A Test Using Nonparametric Regression, M.Shintanim and O.Linton, 2000

Нечеткая логика :

[1] Dynamic Financial Forecasting with Automatically Induced Fuzzy Associations, Y.Romahi and Q.Shen,  2000