Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Fit for purpose pp. 851-855: Jessica James, Michael Leister and Christoph Rieger
Bayesian nonparametric modelling of stochastic volatility pp. 857-872: Efthimios Nikolakopoulos
Stock market simulator using hidden Markov generative model and its application in risk measurement pp. 873-893: Riasat Ali Istiaque, Chi Seng Pun and Brandon Yung Sin Yong
Machine-learning regression methods for American-style path-dependent contracts pp. 895-918: Matteo Gambara, Giulia Livieri and Andrea Pallavicini
The good, the bad, and latency: exploratory trading on Bybit and Binance pp. 919-947: Jakob Albers, Mihai Cucuringu, Sam Howison and Alexander Y. Shestopaloff
Betting Against (Bad) Beta pp. 949-958: Miguel C. Herculano
Green technology innovation with environmental constraints pp. 959-971: Pengfei Luo, Yingxian Tan, Jinqiang Yang and Yanming Yao
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants pp. 973-1006: Duc Thi Luu, Hiroyasu Inoue, Lutz Honvehlmann, Thomas Lux and Yoshi Fujiwara
Explaining risks: axiomatic risk attributions for financial models pp. 1007-1014: Dangxing Chen

Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets pp. 671-698: Timothee Fabre and Ioane Muni Toke
Hydrodynamics of Markets: Hidden Links between Physics and Finance pp. 699-700: Mayukh Mukhopadhyay
Computing the SSR pp. 701-710: Peter K. Friz and Jim Gatheral
Watanabe's expansion: a solution for the convexity conundrum pp. 711-732: D. Garcia-Lorite and R. Merino
Spot beta estimation with asynchronous noisy prices pp. 733-755: Maria Elvira Mancino, Tommaso Mariotti and Giacomo Toscano
An early-warning risk signals framework to capture systematic risk in financial markets pp. 757-771: Vito Ciciretti, Monomita Nandy, Alberto Pallotta, Suman Lodh, P. K. Senyo and Jekaterina Kartasova
Enhanced indexation: can volatility timing improve portfolio performance? pp. 773-793: Qi Jiang, Chonghui Jiang and Yunbi An
An optimal retirement problem with job switching and unemployment risks under subsistence consumption constraints pp. 795-815: Qi Li, Yong Hyun Shin and Ji-Hun Yoon
The non-linear ESG premium pp. 817-840: Runfeng Yang, Juan-Angel Jimenez-Martin and Massimiliano Caporin
A copula-based data augmentation strategy for the sensitivity analysis of extreme operational losses pp. 841-849: A. Khorrami Chokami and G. Rabitti

Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks pp. 509-525: Ivan Guo, Nicolas Langrené and Jiahao Wu
Bid-ask bounds for option prices: the two-tail distortion model pp. 527-542: Umberto Cherubini and Sabrina Mulinacci
Multiperiod interval-based stochastic dominance with application to dynamic portfolios pp. 543-575: Giorgio Consigli, Brian Vasquez Campos and Jia Liu
When order execution meets informed trading pp. 577-590: Longjie Xu and Yufeng Shi
A model of financial bubbles and drawdowns with non-local behavioral self-referencing pp. 591-616: Yannick Malevergne, Didier Sornette and Ran Wei
Provisions and economic capital for credit losses† pp. 617-631: D. Bastide and S. Crépey
A social media alert system for meme stocks pp. 633-652: Ilaria Gianstefani, Luigi Longo and Massimo Riccaboni
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices pp. 653-670: Sara Solanilla Blanco

Multiple equilibria in mean-field game models of firm competition with strategic complementarities pp. 343-357: Jodi Dianetti, Salvatore Federico, Giorgio Ferrari and Giuseppe Floccari
Optimal liquidation under indirect price impact with propagator pp. 359-381: Jean-Loup Dupret and Donatien Hainaut
Relative entropy-regularized robust optimal order execution pp. 383-401: Meng Wang and Tai-Ho Wang
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction pp. 403-419: M. Sipke Dom, Clint Howard, Maarten Jansen and Harald Lohre
Ensemble learning for portfolio valuation and risk management pp. 421-442: Lotfi Boudabsa and Damir Filipović
Options-driven volatility forecasting pp. 443-470: Nikolas Michael, Mihai Cucuringu and Sam Howison
Pricing and calibration in the 4-factor path-dependent volatility model pp. 471-489: Guido Gazzani and Julien Guyon
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖ pp. 491-508: Sergio Caprioli, Raphael Cavallari, Jacopo Foschi and Riccardo Cogo

Special Issue on XXIV Workshop on Quantitative Finance pp. 161-162: Marina Di Giacinto and Holger Kraft
Risk measures based on weak optimal transport pp. 163-180: Michael Kupper, Max Nendel and Alessandro Sgarabottolo
Asset and Factor Risk Budgeting: a balanced approach pp. 181-195: Adil Rengim Cetingoz and Olivier Guéant
Randomized signature methods in optimal portfolio selection pp. 197-216: Erdinç Akyildirim, Matteo Gambara, Josef Teichmann and Syang Zhou
Portfolio and reinsurance optimization under unknown market price of risk pp. 217-229: Claudia Ceci and Katia Colaneri
Asset prices when large investors interact strategically pp. 231-248: Giuliano Curatola
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty pp. 249-268: A. Cinfrignini, D. Petturiti and B. Vantaggi
Introducing and testing the Carr model of default pp. 269-290: Federico Maglione
Liquidity Coverage at Risk pp. 291-306: Giacomo Morelli, Virginia Pugliese and Paolo Santucci de Magistris
Online learning of order flow and market impact with Bayesian change-point detection methods pp. 307-322: Ioanna-Yvonni Tsaknaki, Fabrizio Lillo and Piero Mazzarisi
The geometry of multi-curve interest rate models pp. 323-342: Claudio Fontana, Giacomo Lanaro and Agatha Murgoci

NN de-Americanization: an efficient method to facilitate calibration of American-style options pp. 1-16: Peter Pommergård Lind and Jim Gatheral
Lost in the LIBOR transition pp. 17-30: Alex Backwell, Andrea Macrina, Erik Schlogl and David Skovmand
A semi-parametric dynamic conditional correlation framework for risk forecasting pp. 31-49: Giuseppe Storti and Chao Wang
On the implied volatility skew outside the at-the-money point pp. 51-61: Michele Azzone and Lorenzo Torricelli
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps pp. 63-89: Thomas K. Kloster and Elisa Nicolato
A new test of factor model for asset returns: based on pleiotropy model pp. 91-115: Qing Jiang, Xingwei Tong, Peng Wu and Xun Zhang
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing pp. 117-141: Ling Zhang, Pei Wang and Yang Shen
A note on closed-form spread option valuation under log-normal models pp. 143-160: Nuerxiati Abudurexiti, Kai He, Dongdong Hu and Hasanjan Sayit