Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 25, issue 3, 2025

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

Volume 25, issue 2, 2025

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

Volume 25, issue 1, 2025

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

Volume 24, issue 12, 2024

Price dynamics with circuit breakers pp. 1711-1724

Sandro Claudio Lera, Didier Sornette and Florian Ulmann

Deep Learning: Foundations and Concepts pp. 1725-1727

Blanka N. Horvath, Anastasis Kratsios and Raeid Saqur

On bid and ask pricing of European options via direct discretization of Choquet distorted expectations pp. 1729-1745

Matteo Michielon

A unifying approach for the pricing of debt securities pp. 1747-1772

Marie-Claude Vachon and Anne MacKay

Equity protection swaps: investment insurance for superannuation accounts pp. 1773-1797

Huansang Xu, Ruyi Liu and Marek Rutkowski

Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives pp. 1799-1822

Immacolata Oliva and Ilaria Stefani

Semi-parametric financial risk forecasting incorporating multiple realized measures pp. 1823-1837

Rangika Peiris, Chao Wang, Richard Gerlach and Minh-Ngoc Tran

Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches pp. 1839-1856

Gaoxiu Qiao, Yijun Pan and Chao Liang

Predicting VIX with adaptive machine learning pp. 1857-1873

Yunfei Bai and Charlie X. Cai

On general semi-closed-form solutions for VIX derivative pricing pp. 1875-1882

Étienne Bacon, Jean-François Bégin and Geneviève Gauthier

Volume 24, issue 11, 2024

Algorithmic trading of real-time electricity with machine learning pp. 1545-1559

Vighnesh Natarajan Ganesh and Derek Bunn

Revisiting elastic string models of forward interest rates pp. 1561-1578

Victor Le Coz and Jean-Philippe Bouchaud

Risk-free rate caplets pricing by CTMC approximation pp. 1579-1595

Fengming Liu and Yingda Song

Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport pp. 1597-1620

Benjamin Joseph, Grégoire Loeper and Jan Obłój

Counting jumps: does the counting process count? pp. 1621-1640

Laura Ballotta, Gianluca Fusai and Daniele Marazzina

Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering pp. 1641-1667

Raffaele Mattera, George Athanasopoulos and Rob Hyndman

High-dimensional macroeconomic stress testing of corporate recovery rate pp. 1669-1678

Abdolreza Nazemi, Friedrich Baumann, Melanie Schienle and Frank J. Fabozzi

Optimal attention allocation: picking alpha or betting on beta? pp. 1679-1702

Zuyao Gu, Yun Shi, Tingjin Yan and Yong Zhou

Optimal hedging with variational preferences under convex risk measures pp. 1703-1709

Marcelo Righi

Volume 24, issue 10, 2024

Equity auction dynamics: latent liquidity models with activity acceleration pp. 1381-1398

Mohammed Salek, Damien Challet and Ioane Muni Toke

Virtual Barrels: Quantitative Trading in the Oil Market pp. 1399-1400

Christina Nikitopoulos

Risk conscious investment pp. 1401-1421

Dilip B. Madan, Wim Schoutens and King Wang

Network analysis of aggregated money flows in stock markets pp. 1423-1443

Joonas Karaila, Kestutis Baltakys, Henri Hansen, Anubha Goel and Juho Kanniainen

Forecasting the equity premium: can machine learning beat the historical average? pp. 1445-1461

Xingfu Xu and Wei-han Liu

Detecting bubbles via FDR and FNR based on calibrated p-values pp. 1463-1491

Giulia Genoni, Piero Quatto and Gianmarco Vacca

Detecting rough volatility: a filtering approach pp. 1493-1508

Camilla Damian and Rüdiger Frey

Statistical inference for the first-order autoregressive process with the fractional Gaussian noise pp. 1509-1527

Yinzhong Huang, Weilin Xiao and Xiaojian Yu

Investigating the price determinants of the European Emission Trading System: a non-parametric approach pp. 1529-1544

Cristiano Salvagnin, Aldo Glielmo, Maria Elena De Giuli and Antonietta Mira

Volume 24, issue 9, 2024

Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday pp. 1197-1198

Jim Gatheral and Mike Tehranchi

Path shadowing Monte Carlo pp. 1199-1225

Rudy Morel, Stéphane Mallat and Jean-Philippe Bouchaud

Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS pp. 1227-1234

Christian Bongiorno and Damien Challet

When to efficiently rebalance a portfolio pp. 1235-1245

Masayuki Ando and Masaaki Fukasawa

Efficient option pricing in the rough Heston model using weak simulation schemes pp. 1247-1261

Christian Bayer and Simon Breneis

Deep calibration with random grids pp. 1263-1285

Fabio Baschetti, Giacomo Bormetti and Pietro Rossi

On the pricing of capped volatility swaps using machine learning techniques pp. 1287-1300

Stephan Höcht, Wim Schoutens and Eva Verschueren

GPT's idea of stock factors pp. 1301-1326

Yuhan Cheng and Ke Tang

Risk factor aggregation and stress testing pp. 1327-1340

Natalie Packham

On the impact of feeding cost risk in aquaculture valuation and decision making pp. 1341-1352

Christian-Oliver Ewald and Kevin Kamm

15 years of Adjoint Algorithmic Differentiation (AAD) in finance pp. 1353-1379

Luca Capriotti and Mike Giles

Volume 24, issue 8, 2024

Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets pp. 1017-1033

Leif Andersen and Dominique Bang

Quantum Machine Learning and Optimisation in Finance pp. 1035-1036

Tushar Vaidya

FX Open Forward pp. 1037-1055

Julien Hok and Alex S.L. Tse

Higher order approximation of option prices in Barndorff-Nielsen and Shephard models pp. 1057-1076

Álvaro Guinea Juliá and Alet Roux

FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs pp. 1077-1103

Vedant Choudhary, Sebastian Jaimungal and Maxime Bergeron

DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions pp. 1105-1127

Fernando Moreno-Pino and Stefan Zohren

Neural network empowered liquidity pricing in a two-price economy under conic finance settings pp. 1129-1156

Matteo Michielon, Diogo Franquinho, Alessandro Gentile, Asma Khedher and Peter Spreij

A common shock model for multidimensional electricity intraday price modelling with application to battery valuation pp. 1157-1176

Thomas Deschatre and Xavier Warin

GDP-linked bonds as a new asset class pp. 1177-1195

Ellie Papavassiliou, Nikolas Topaloglou and Stavros A. Zenios

Volume 24, issue 7, 2024

Valuation and hedging of cryptocurrency inverse options pp. 851-869

V. Lucic and A. Sepp

Islamic Banking and Finance, Second Edition pp. 871-873

Muhammad Ash-Shiddiqy, Mujtahid and Khamim

Consistent curves in the -world: optimal bonds portfolio pp. 875-888

Gaddiel Y. Ouaknin

On joint marginal expected shortfall and associated contribution risk measures pp. 889-908

Tong Pu, Yifei Zhang and Yiying Zhang

Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty pp. 909-919

Ruey-Ching Hwang and Yi-Chi Chen

Regulating stochastic clocks§ pp. 921-953

Zhe Fei and Weixuan Xia

Pricing airbag option via first passage time approach pp. 955-974

Zheng Liu, Xiaosong Qian, Jing Yao and Yinghui Dong

Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies pp. 975-992

Ruting Wang, Valerio Potì and Wolfgang Karl Härdle

Earnings mean reversion and dynamic optimal capital structure pp. 993-1015

Elettra Agliardi, Marios Charalambides and Nicos Koussis

Volume 24, issue 6, 2024

Interest rate convexity in a Gaussian framework pp. 677-689

Antoine Jacquier and Mugad Oumgari

Causal Factor Investing pp. 691-692

Luis Seco

Cross-section without factors: a string model for expected returns pp. 693-718

Walter Distaso, Antonio Mele and Grigory Vilkov

Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning pp. 719-733

Gilles Boevi Koumou

Mean-variance portfolio with wealth and volatility dependent risk aversion pp. 735-751

Shican Liu

Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment pp. 753-777

Chendi Ni, Yuying Li and Peter Forsyth

Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets pp. 779-809

Yutong Lu, Gesine Reinert and Mihai Cucuringu

Optimal trading and competition with information in the price impact model pp. 811-825

Longjie Xu and Yufeng Shi

ESG risk exposure: a tale of two tails pp. 827-849

Runfeng Yang, Massimiliano Caporin and Juan Jimenez-Martin

Volume 24, issue 5, 2024

Optimal operation of a hydropower plant in a stochastic environment pp. 521-539

Isabel Figuerola-Ferretti, Eduardo Schwartz and Ignacio Segarra

The Politics of Financial Control: The Role of the House of Commons pp. 541-543

Teguh Ahmad Asparill, Rossy Lambelanova and Andi Pitono

Do price trajectory data increase the efficiency of market impact estimation? pp. 545-568

Fengpei Li, Vitalii Ihnatiuk, Yu Chen, Jiahe Lin, Ryan J. Kinnear, Anderson Schneider, Yuriy Nevmyvaka and Henry Lam

Deep learning for enhanced index tracking pp. 569-591

Zhiwen Dai and Lingfei Li

Risk management under weighted limited expected loss pp. 593-612

An Chen and Thai Nguyen

A study on asset price bubble dynamics: explosive trend or quadratic variation? pp. 613-626

Robert Jarrow and Simon S. Kwok

The contagion of extreme risks between fossil and green energy markets: evidence from China pp. 627-642

Xiaohang Ren, Ya Xiao, Feng He and Giray Gözgör

Dynamic partial (co)variance forecasting model pp. 643-653

Zirong Chen and Yao Zhou

Optimal reinsurance under a new design: two layers and multiple reinsurers pp. 655-676

Dingjun Yao and Jinxia Zhu

Volume 24, issue 3-4, 2024

Implied roughness in the term structure of oil market volatility pp. 347-363

Mesias Alfeus, Christina S. Nikitopoulos and Ludger Overbeck

Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear pp. 365-366

Aurélien Alfonsi and Stefano De Marco

Speed and duration of drawdown under general Markov models pp. 367-386

Lingfei Li, Pingping Zeng and Gongqiu Zhang

Tail risk aversion and backwardation of index futures pp. 387-407

Jufang Liang, Dan Yang and Qian Han

A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA pp. 409-432

J. H. Hoencamp, S. Jain and B. D. Kandhai

Asymptotics for short maturity Asian options in jump-diffusion models with local volatility pp. 433-449

Dan Pirjol and Lingjiong Zhu

Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity pp. 451-464

Matteo Pelagatti and Giacomo Sbrana

A modified CTGAN-plus-features-based method for optimal asset allocation pp. 465-479

José-Manuel Peña, Fernando Suárez, Omar Larré, Domingo Ramírez and Arturo Cifuentes

Interactions between monetary and macroprudential policies pp. 481-498

Gustavo Libório Rocha Lima, Regis Ely and Daniel Oliveira Cajueiro

Narrative triggers of information sensitivity pp. 499-520

Kim Ristolainen

Volume 24, issue 2, 2024

Fin-GAN: forecasting and classifying financial time series via generative adversarial networks pp. 175-199

Milena Vuletić, Felix Prenzel and Mihai Cucuringu

Handbook of Price Impact Modeling pp. 201-202

Johannes Muhle-Karbe

Physics-informed convolutional transformer for predicting volatility surface pp. 203-220

Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee and Youngjoon Hong

Deep impulse control: application to interest rate intervention pp. 221-232

Bowen Jia and Hoi Ying Wong

Risk sharing with deep neural networks pp. 233-252

M. Burzoni, A. Doldi and E. Monzio Compagnoni

Optimal stop-loss rules in markets with long-range dependence pp. 253-263

Yun Xiang and Shijie Deng

When is cross impact relevant? pp. 265-279

Victor Le Coz, Iacopo Mastromatteo, Damien Challet and Michael Benzaquen

A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities pp. 281-303

Zongxia Liang, Yang Liu, Ming Ma and Rahul Pothi Vinoth

Dynamic currency hedging with non-Gaussianity and ambiguity pp. 305-327

Paweł Polak and Urban Ulrych

A generalization of the rational rough Heston approximation pp. 329-335

Jim Gatheral and Radoš Radoičić

On the optimal forecast with the fractional Brownian motion pp. 337-346

Xiaohu Wang, Jun Yu and Chen Zhang

Volume 24, issue 1, 2024

Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing pp. 1-11

Tianchen Zhao, Chuhao Sun, Asaf Cohen, James Stokes and Shravan Veerapaneni

Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing pp. 1-11

Tianchen Zhao, Chuhao Sun, Asaf Cohen, James Stokes and Shravan Veerapaneni

Book review pp. 13-14

Mark Podolskij

On parametric optimal execution and machine learning surrogates pp. 15-34

Tao Chen, Mike Ludkovski and Moritz Voß

On parametric optimal execution and machine learning surrogates pp. 15-34

Tao Chen, Mike Ludkovski and Moritz Voß

Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers pp. 35-57

Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino and Stefan Zohren

Adaptive online mean-variance portfolio selection with transaction costs pp. 59-82

Sini Guo, Jia-Wen Gu, Wai-Ki Ching and Benmeng Lyu

Adaptive online mean-variance portfolio selection with transaction costs pp. 59-82

Sini Guo, Jia-Wen Gu, Wai-Ki Ching and Benmeng Lyu

Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk pp. 83-104

Erik Kroon, Mehdi-Vincent Hacini and Koye Somefun

Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk pp. 83-104

Erik Kroon, Mehdi-Vincent Hacini and Koye Somefun

An early indicator for anomalous stock market performance pp. 105-118

Marlon Fritz, Thomas Gries and Lukas Wiechers

Bubbles and dependence between international equity markets pp. 119-138

Wuyi Ye, Lingbo Gao and Xiaoquan Liu

Bubbles and dependence between international equity markets pp. 119-138

Wuyi Ye, Lingbo Gao and Xiaoquan Liu

Regime-switching affine term structures pp. 139-155

Andreas Celary, Zehra Eksi-Altay and Paul Krühner

Regime-switching affine term structures pp. 139-155

Andreas Celary, Zehra Eksi-Altay and Paul Krühner

A model of dynamic information production for initial public offerings pp. 157-174

Rafiqul Bhuyan, Coşkun Çetin, Burhaneddin İzgi and Bakhtear Talukdar

A model of dynamic information production for initial public offerings pp. 157-174

Rafiqul Bhuyan, Coşkun Çetin, Burhaneddin İzgi and Bakhtear Talukdar