Instructions for Contributors s1

ENCYCLOPEDIA OF QUANTITATIVE FINANCE INSTRUCTIONS FOR CONTRIBUTORS

INSTRUCTIONS FOR CONTRIBUTORS

Editor-in-Chief

Rama CONT Columbia University Dept. of Operations Research 500 West 120th Street New York, NY 10027-6699 USA

Email: [email protected]

John Wiley & Sons, Ltd

All manuscript submissions, whether draft or final, should be sent to the Project Editor.

Correspondence relating to manuscript preparation should be addressed to the Project Editor or the Publishing Assistant. Correspondence relating to technical content of articles should be addressed to the relevant Section Editor or Editor-in-Chief.

Wiley Project Editor Wiley Publishing Assistant Dr Fionnuala Rose Miss Kerry Powell

John Wiley & Sons, Ltd The Atrium, Southern Gate Chichester West Sussex PO19 8SQ UK

Fax: +44 (0)1243 770460 Email: [email protected] Website: www.wiley.com/go/eqf 1. ENCYCLOPEDIA OVERVIEW...... 2

2. SUBMISSION OF MANUSCRIPTS...... 2

2.1 PRESENTATION...... 2 2.2 PREPARATION OF THE ELECTRONIC MANUSCRIPT...... 2 2.3 SUBMISSION OF DRAFT MANUSCRIPTS...... 3 2.4 SUBMISSION OF FINAL MANUSCRIPTS...... 3

3. DUE DATE...... 3

4. UNIQUE ARTICLE NUMBERS (UNIQUE ID)...... 4

5. STRUCTURE OF ARTICLES...... 4

5.1 ARTICLE TITLE...... 4 5.2 CONTRIBUTOR NAME...... 4 5.3 AFFILIATION...... 4 5.4 KEYWORDS...... 5 5.5 ABSTRACT...... 5 5.6 MAIN TEXT...... 5 5.7 BIBLIOGRAPHY...... 6 5.8. TABLES AND CAPTIONS...... 7 5.9 FIGURES AND CAPTIONS...... 7

6. CROSS REFERENCES TO OTHER ARTICLES...... 7

7. COPYRIGHT, TRADEMARK AND PERMISSIONS...... 9

8. THE PRODUCTION PROCESS...... 9

8.1 COPYEDITING...... 10 8.2 PROOFREADING...... 10

2 1. ENCYCLOPEDIA OVERVIEW

The Encyclopedia will be a multi-author, multi-volume book aimed at quants, graduate students, academic researchers, and all those involved in quantitative modeling in finance (including end users of models). We are aiming to publish the work at the start of 2009. Online publication will also be considered.

The Encyclopedia will be published in 3 volumes (simultaneously), organized alphabetically. Each volume will comprise approximately 600 pages, with typically around 150-200 articles per volume. Entries will range from short definitions to articles up to fifteen pages long.

For editorial purposes, there are 20 sections. The name of your Section Editor(s) will be included in your Contributor Agreement.

1. History of Quantitative Modeling in Finance 2. Mathematical Tools 3. Asset Pricing Models 4. Arbitrage Theory 5. Option Pricing: Fundamentals 6. Foreign Exchange: Derivatives 7. Equity Derivatives: Products and Strategies 8. Equity Derivatives: Pricing Models 9. Credit Risk 10. Credit Derivatives 11. Interest Rate Derivatives 12. Partial Differential Equations & Computational Methods 13. Simulation Methods in Financial Engineering 14. Asset Allocation and Portfolio Optimization 15. Risk Management 16. section deleted 17. Energy and Commodity Derivatives 18. Market Microstructure 19. Financial Econometrics 20. Asset-Backed and Mortgage-Backed Securities 21. Actuarial Methods

The level of the Encyclopedia is of a reference work, not a research monograph. Articles are not particularly long, and the aim is more to state precise results, give relevant examples and point to appropriate references for further details. There is no room, for example, for proofs, however figures are welcome if you feel they add to the understanding of the topic.

Please take care to make your writing style as clear as possible. In particular, try to avoid  excessive use of acronyms in the text (this hampers the less-knowledgeable reader);  overuse of the passive voice (this makes for rather dull reading; use of the active voice by ‘we...’ or ‘one...’ can make for more lively reading); and  long, complicated sentences with several clauses (short declarative sentences can often convey ideas more clearly).

2. SUBMISSION OF MANUSCRIPTS

2.1 Presentation

3 Manuscripts should be typed (in at least 12 point size) on one side of paper (A4 or 8.5" x 11” size) with double spacing between all lines of text, tables, figure captions, and references. There should be reasonable margins (at least 2.5 cm) at the top, bottom, and left- and right-hand sides. All pages should be numbered consecutively in the top right-hand corner; this includes pages containing references, tables, figure captions and figures, which should be grouped in that order after the text pages.

There will be approximately 650 words (or the equivalent in tabular or illustrative material) on the final printed page. An average double-spaced manuscript page, in 12-point Times Roman font, typically contains about 250 words. Thus, one printed page equates to approximately 2.5 double-spaced A4 manuscript pages.

The Encyclopedia will contain articles which vary in length. Please refer to your Contributor Agreement clause 2.1 for the contracted length of your article.

2.2 Preparation of the electronic manuscript

If you are preparing your material on a PC, Apple Macintosh or workstation, then please use a standard word processing program, preferably Word. Alternatively, you may use TeX or LaTex. Please do not use layout programs such as Quark Xpress, FrameMaker or PageMaker. If using TeX/LaTeX please be aware that the typesetter will reformat your files to produce printed pages following the style we have adopted for this title.

If you prepare your manuscript in TeX or LaTeX, it is vital that you submit a PDF file of your article, along with original source, font and class files, and any other associated macros and files.

2.3 Submission of draft manuscripts

Please email your complete manuscript directly to the Wiley Project Editor at by the contracted due date (refer to clause 2.2 of your Contributor Agreement) and in accordance with the terms and conditions of your Contributor Agreement.

After acknowledging receipt of your article, your manuscript will be passed to the relevant Section Editor to arrange a review. The Editor-in-Chief will also have the opportunity to comment on your manuscript at this stage.

Comments on the draft manuscript following review will subsequently be sent to you by your Section Editor for your consideration and incorporation, prior to your delivery of the final manuscript (see below).

2.4 Submission of final manuscripts

Please make any requested changes/amendments into the manuscript, as requested by the reviewer, within four weeks of receipt of the review.

Please send a final electronic copy of your revised manuscript and any illustrations to Wiley at . Please make sure that the final manuscript is in an editable format (i.e. not PDF). It is important that all relevant files are included, particularly all source files if you are using LaTeX or TeX.

It is important that all the necessary copyright permissions paperwork (see Section 6 below) are also supplied to the Project Editor at Wiley at this time (see form at end of these Instructions).

4 Upon acceptance by the Section Editor, Editor-in-Chief, and Publisher, the manuscript will be prepared for the production process (see Section 7 below).

For safety reasons you should keep a backup of the electronic version of your contribution.

In order to assist us in processing your manuscript, we would be grateful if you could include the following information on your manuscript:

1. Your full name 2. Your full contact address 3. Your full telephone and fax numbers 4. Your e-mail address 5. A list of those elements comprising your manuscript (see Section 5 below) 6. The filename of your text file and the name of the application you used to create it 7. The filenames of your figure files

If there are multiple Contributors to your article, you must also indicate which Contributor is to be regarded as the 'Corresponding Author, and supply full contact details for them.

Any changes of address, telephone number, fax number and/or e-mail address, whether temporary or permanent, should be notified to the Project Editor as soon as they are known, giving dates when they become effective and, if appropriate, cease to be effective.

3. DUE DATE

Contributors must adhere to the due date specified in their contracts for the draft submission of their manuscript to the Project Editor. Contributors who are unable to meet the due date should inform the Wiley Project Editor at the earliest opportunity. Please note that the Project Editor is under no obligation to accept manuscripts submitted after the due date.

4. UNIQUE ARTICLE NUMBERS (UNIQUE ID)

The Publisher will assign to your article a unique identifying number ('unique ID'). This reference number should be quoted in all correspondence.

5. STRUCTURE OF ARTICLES

Your article will contain the majority of the following elements:

1. Article title compulsory 2. Contributor name(s) compulsory 3. Basic contributor affiliation(s) compulsory 4. Keywords compulsory 5. Abstract compulsory 6. Main text compulsory 7. Acknowledgments optional 8. References compulsory 9. Tables and captions optional 10. Figure captions optional (each figure must have a caption) 11. Figures optional For the purpose of this list, the term ‘Main text’ includes mathematical equations.

5 The elements of your article should be submitted in this order. Elements 1 through 11 can be contained in one text file. Each figure must be contained in a separate file (see Section 5.9 for details).

Please include with your article a list all those elements which you have supplied in your manuscript. Please include on this list any other items not given above (for example, you may want to include an appendix at the end of your article).

5.1 Article Title

This should be the title specified in the Contributor’s Agreement. Any material changes to this title, during the writing and review phases, must be approved by the Wiley Project Editor.

The Project Editor reserves the right to amend the title of an article in order to ensure consistency across the Encyclopedia. Once an article enters the production process (i.e. has been submitted in its final form to the Project Editor and approved for publication), its title cannot be amended, and any changes to the title made at proof stage will be ignored by the proofreader and typesetter.

5.2 Contributor Name

Please include your name, and the names of all other contributors to your article, beneath the title of the article. You should include your first name, middle initial and family name e.g. David J. Griffiths.

5.3 Affiliation

Beneath your name, you should include your basic affiliation and the affiliations of all other co- contributors.

Your affiliation should take the form:

University/Organisation Town/City US state abbreviation/spelled-out Canadian or Australian state (if applicable) Country (UK/USA, otherwise use the spelled out name).

5.4 Keywords

Please supply a list of approximately 5-10 keywords for your article. These will not appear in the print version but will be incorporated in any electronic version of the article for use in online searches.

5.5 Abstract

You should include a short abstract (approximately 200 words) for your article. The abstract will not be displayed in print but will be made available free of charge in any online edition of the work.

As the abstract will be made available independently of the main article, it must contain no direct cross-references to elements contained in the rest of the article. For example you should not include in the abstract cross-references to figures, tables, etc which appear only in the main body of the article. Similarly, you must not include within the abstract citations to references.

6 5.6 Main Text

Below is a summary of how to handle each of the main features which are likely to appear in the main body of your article.

i. Mathematical equations

These should be numbered consecutively using Arabic numerals enclosed in parentheses, written to the right of the equation, i.e.

x + y = 5 (5)

Each equation should be cited in the text using the form:

…equation (5) describes… or Equation (5) describes but not …eqn (5) describes…

Each equation should be placed in the appropriate position within the text. Please use Word Equation Editor or MathType wherever possible.

ii. Level of headings

An article can be divided into sections, sub-sections and further sub-divisions through the provision of three levels of headings. These should be of the following form:-

Level 1 – CAPITALS and EMBOLDENED Level 2 – Lower case and emboldened Level 3 – Lower case italic Level 4 –

iii. Spelling

You should prepare your manuscript following American spelling and usage. Our preferred dictionary for this work is Webster's Dictionary.

iv. Symbols and Units

It is important to distinguish between the letter "oh" and "zero", between the letter "ell" and "one", between the letter "kay" and "kappa", between the letter "vee" and "nu", etc.

SI units should be used throughout. Negative superscripts (i.e. kJ mol–1) NOT the solidus (i.e. kJ/mol) should be used. For example: cubic decimetre per mole-second is dm3 mol–1 s–1

v. Abbreviations and Acronyms

Whenever you first use an abbreviation or an acronym, you must define it in full. The Project Editor will automatically generate a Encyclopedia-wide list of abbreviations and acronyms which will appear in the work.

7 5.7 Reference style

References should be listed alphabetically at the end of the article, and each numbered in square brackets. They should be cited in the text as numbers in square brackets. Each number must appear at least once in the text. The name of the author should not be included unless the context of the text requires it, for example:

'Brown [2] states that …' but 'Some of these studies can be found in [2], [12] and [20].'

All references must be complete and accurate and should be listed in the following style:

[1] Dasgupta, A, Barker, D. (1990) The reliability physics approach to failure prediction modeling. Quality and Reliability Engineering International 6, 273-276.

[2] Kuo, W, Chien, WTK, Kim, T. (1988) Reliability, Yield and Stress Burn-in; Kluwer, Norwell, MA, 35-70.

[3] Rowstron, A, Li, S, Stefanova, R. (1997) C2AS: A system supporting distributed Web applications composed of collaborating agents. Proceedings 6th IEEE Workshop on Enabling Technologies: Infrastructure for Collaborative Enterprises (WETICE), June 1997. IEEE Computer Society Press, Boston, MA, 127-132.

[4] Thomas, J. (1985) A distributed garbage collection algorithm. Proceedings of the ACM Conference on Functional Programming Languages and Computer Architecture (Lecture Notes in Computer Science, 201), Jouannaud J-P (ed). Springer, Berlin, 256-272.

References to dissertations, theses and any other personal communications should not be included as they are often impossible to source. "In press" references should be limited to material that has definitely been accepted for publication and is in production; such references must contain at least the title of the journal in which the article is to appear. References whose status is ‘submitted’ but which don’t include titles of journals will be deleted.

All references given in the list must be cited in the text. If you want to include non-cited references, you must present these beneath a separate heading: Further Reading.

5.8. Tables and captions

Tables should be numbered consecutively with Arabic numerals i.e. Table 1 not Table 1.1, and grouped at the end of the manuscript.

Each table should have a caption and individual column headings. Any units for columns should be in parentheses in the column heading. Footnotes to tables should be designated by superscript lower-case letters. All tables must be cited in the text and flagged, i.e.

5.9 Figures and captions

All illustrations should be submitted in electronic format. Please supply your figures either as EPS files or as TIFF files. You should supply EPS files for line illustrations, and TIFF files for black and white photographs or other greyscale or tone illustrations. Please do NOT supply ‘thumbnails’ or low resolution images such as GIF or JPEG files. Please avoid sending colour originals if possible as they will not reproduce well in black and white.

Line illustrations supplied electronically should have a resolution of 600 dpi. Tone illustrations (black and white and colour photographs for instance) should have a resolution of around 300 dpi. In order 8 to ensure that the figure sizing is consistent across all the articles, we ask that you should submit correctly sized illustrations. This means that illustrations should fit either a single column width (73 mm) or a double column width (153 mm). Figures should not exceed 180 mm in depth. Labels and legends on figures should not be less than 8 pt and rules/lines should not be narrower than 0.5 pt.

Each figure file should contain only one figure. However, if the figure is a composite figure, all parts of the figure should be supplied in the one file. Each figure file should be named according to the following convention:

'unique ID_figure number.xxx' where 'xxx' is the file extension of the graphics application you have used.

The Project Editor reserves the right to reprocess any/all figures in the interests of establishing consistency across the work.

Each figure should be cited in the text and all should be numbered in sequence using Arabic numerals. Please do not embed the figure into the text, but include a ‘figure flag’ (i.e. a piece of text enclosed in angle brackets:

A descriptive caption should be provided for each illustration. Parts of composite figures should be clearly identified by a label (a)/(b)/(c) etc at the bottom left-hand side. The caption for a composite figure should comprise a short description for the overall content of the figure and then a short description of each part. e.g.

Figure 1 This is a composite figure. (a) First part of composite figure. (b) Second part of composite figure etc

All captions should be double-spaced as a separate list at the end of the manuscript.

Please try to keep illustrations as simple as possible by avoiding unnecessary boxes, rules, tints etc.

6. Cross references to other articles

Cross-references to other articles in EQF will significantly enhance the value of a given article and will be one of the key features of any online edition of the Encyclopedia.

Cross-references can be placed both in the body of an article ('inline cross references'), or at the end of the article ('Related Articles'). 'Inline cross references' refer the reader to other articles which give more detailed information on the topic under discussion at that point; 'Related Articles' is a simple list of other articles which you feel the reader would find of interest.

 In-line cross-references This is a cross-reference in the text of an article to the full title of another article. Typically this takes the form:

...(see Split-Plot Designs)...

It is also possible to include 'fragment' cross-references. This is where the standard text of an article includes a word (rather than the full article title), the context of which calls for a cross-reference. For example, the text might read:

'The photochemistry of organotransition metal complexes…'

The word 'photochemistry' could then be cross-referenced to either of the articles Photochemistry of Transition Metal Complexes and Photochemistry of Transition Metal Complexes: Theory.

9 In the print edition, the fact that a word is a fragment cross-reference will be indicated by the use of a bold typeface.

 Related articles The list of related articles should be presented immediately before the references. For example the readers of an article ' Split-Plot Designs' may also be interested in articles such as 'Supersaturated Designs' and 'Uniform Designs'.

Primarily, contributors will be responsible for including both types of cross-reference in their articles, although both Section Editors and Editor-in-Chief may add any further cross-references they believe are necessary.

To assist contributors in identifying target articles (i.e. articles which are being cross-referred to), the Project Editor has made available a list of all articles currently commissioned for this Encyclopedia on www.wiley.com/go/eqf.

It is important that articles are cross-referred to by Unique ID, and not by article title. This ensures that the title of the target article will be cited accurately in the final product, even if the article title changes between commissioning and going to press.

In the body of an article we would therefore expect to see:

....running text...(see eqf026)...running text... rather than

....running text...(see Split-Plot Designs)...running text... where ‘eqf026’ is the Unique ID for the article ‘Split-Plot Designs'.

With regard to lists of related articles we would expect to see the following in the manuscript:

Related Articles eqf027 eqf028 rather than:

Related Articles

Supersaturated Designs Uniform Designs

7. COPYRIGHT, TRADEMARK AND PERMISSIONS

If you quote lengthy passages verbatim, i.e. over 400 words, from a book or journal, then you must obtain the permission of the copyright holder in writing. Permission must also be secured for ANY table or illustration which you wish to reproduce from a previously published work, even if the material is redrawn.

You must obtain permission in writing (including email) to reproduce material protected by copyright (i.e. which has been published elsewhere). This might include quotations of substantial length, illustrations, photographs or tables.

10 A sample letter for your use in obtaining permissions is attached at the end of these instructions. You should send the letter to the copyright holder (usually the original publisher of material you wish to reuse in your article) and you should submit this document, signed by the 3rd party copyright holder, to John Wiley & Sons when you submit your final manuscript. It is extremely important that you identify on the completed permissions letter the figure or table in your article to which it refers.

You must ensure that you are obtain both print and electronic rights from the third party copyright holder. We need ‘all rights in all media’, and if either is missing from the permission grant they send you must apply for these missing rights.

Acknowledgment to the source of the material should be made in the figure caption using the standard wording given below in bold, for example:

‘J. Bloggs, et al 1991. Reproduced by permission of Academic Press’

However, where the original copyright holder specifies that the acknowledgement should contain a different form of words, you must ensure that the acknowledgement text follows the prescription of the original copyright holder.

For trademarks or registered products please use ™ or ® where appropriate.

Further information and guidance can be found on http://www.wileyeurope.com (click on “About Wiley” and then “Permissions”). There is a Copyright Permission Request form at the END of these guidelines, and can be photocopied as many times as necessary.

8. THE PRODUCTION PROCESS

Once Wiley have your final manuscript, it goes through a number of processes before publication of the Encyclopedia. These include copy editing, typesetting, proof reading, compiling an index, generating volume proofs, final checks, and manufacture of the books.

Your article will be processed by a Project Management company to be hired by Wiley. The Project Management company will arrange for your article to be copy edited, typeset, and checked by a proofreader. You will be sent proofs by email in PDF format.

8.1 Copy editing

As part of the copy editing process, the copy editor will inevitably raise a number of queries relating to your article. We kindly request that authors respond to any queries within 48 hours of receipt. Queries will be raised by e-mail to facilitate a speedy turnaround.

When replying to queries raised by a copy editor, please ensure that you answer all queries at one time (i.e. you must not supply some answers and then at a later date send some more answers). Please ensure that your answers are clear and unambiguous so that the copy editor can take them into the text without creating further errors and without the need for further queries.

8.2 Proofreading

Although proofs will also be checked by the typesetter, primary responsibility for checking proofs lies with the Contributor. The Project Editor will not make second or subsequent proofs available to contributors or Editors.

11 Full proofing instructions will be supplied with the proofs.

12 (For Author use only) (For Wiley office use only)

Figure No/Table No in Figure No/Table No in original manuscript Wiley book or journal

COPYRIGHT PERMISSION REQUEST FORM

FROM: Name ...... TO: Name ......

Address ...... Address ......

...... …....

...... …......

Dear Sir or Madam,

I am preparing for publication an original work entitled

[Article title], by [Author name], ([Article unique ID]) to be published by John Wiley & Sons, Ltd., The Atrium, Southern Gate, Chichester, West Sussex, PO19 8SQ, United Kingdom, which will appear as part of a work entitled

Encyclopedia of Quantitative Finance edited by Rama Cont.

I request your permission to include the following in the work referred to above, in all subsequent editions of the work and in all derivative works based on the work, in any and all media of expression now known or later developed and in all languages, to be published by Wiley or its licensees throughout the world

[insert here details of the figure/table details you wish to re-publish, including the figure/table number in the original/source publication]

The usual form of acknowledgement is to quote the author(s) or photographer and publication title of the original material or source. John Wiley & Sons, Ltd. will include the words:

“Reproduced by permission of [the owner of the publishing rights] ”

Please would you therefore confirm the name of the copyright holder to be quoted as granting permission.

Please indicate agreement by signing and returning a copy of this letter. In signing, you warrant that you are the sole owner of the rights granted and that your material does not infringe upon the copyright or other rights of anyone. If you do not control these rights, I would appreciate your letting me know to whom I should apply.

Yours sincerely,

[Your Name]

We hereby grant permission for the use of the material requested above.

Date ...... Signed ......

Copyright Holder ......

Publisher ......