Volume 3 Issue 4 (December 2011)

No Arbitrage in Markets with Bounces and Sinks 
Wayne Nilsen
Worcester Polytechnic Institute, Massachusetts, USA
Hasanjan Sayit
Worcester Polytechnic Institute, Massachusetts, USA
Abstract| References | Full Text | | How to cite |

A Cross-Sectional Score for the Relative Performance of an Allocation  
Monica Billio
University Ca'Foscari of Venice, Italy 
Ludovic Calès
University of Lausanne, Switzerland 
Dominique Guégan
University Paris-1 Panthéon-Sorbonne, France 

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Continuous-time Mean-Variance Portfolio Selection with Markov-Modulated and Transaction Costs
Peng Yang
Xijing College, Shanxi, China
Xiang Lin
Central South University, Hunan, China
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Fitting the Skew with an Analytical Local Volatility Function 
Jacinto Marabel Romo
BBVA and University Institute for Economic and Social Analysis, University of Alcalá, Spain
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Overreaction and Nonlinearities of Returns at the Ultra-high-frequency Level 
Wing Lon Ng 
University of Essex, United Kingdom
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Vanilla Option Pricing in Stochastic Volatility Market Models 
Mario DellEra
University Pisa, Italy
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