Quantitative finance combines mathematical finance, financial statistics, financial econometrics and empirical finance to provide a solid quantitative foundation for the analysis of financial issues. The purpose of this special issue on “Recent developments in quantitative finance” is to...

Quantitative finance combines mathematical finance, financial statistics, financial econometrics and empirical finance to provide a solid quantitative foundation for the analysis of financial issues. The purpose of this special issue on “Recent developments in quantitative finance” is to...

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

We examine the impact of R&D and technology imports on firm performance in Taiwan’s manufacturing industry in a policy context of industrial upgrading. To do so, we estimate a Translog production function on two panels (covering 1992-1995 and 1997-2003), using stochastic frontier models. We...

We examine the impact of R&D and technology imports on firm performance in Taiwan’s manufacturing industry in a policy context of industrial upgrading. To do so, we estimate a Translog production function on two panels (covering 1992-1995 and 1997-2003), using stochastic frontier models. We...

We examine the impact of R&D and technology imports on firm performance in Taiwan's manufacturing industry in a policy context of industrial upgrading. To do so, we estimate a Translog production function on two panels (covering 1992-1995 and 1997-2003), using stochastic frontier estimation. We...

The paper uses daily data on financial stock index returns, tourism stock sub-index returns, exchange rate returns and interest rate differences from 1 June 2001 – 28 February 2014 for Taiwan to construct a novel latent daily tourism financial indicator, namely the Tourism Financial Conditions...

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...