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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 19, issue 4, 2019

Asset volatility with prospect theory investors pp. 533-543 Downloads
Jeremias Bekierman
Gods and Robots: Myths, Machines, and Ancient Dreams of Technology pp. 545-546 Downloads
Sébastien Lleo
Calendar pp. 547-547 Downloads
The Editors
Deep learning for limit order books pp. 549-570 Downloads
Justin A. Sirignano
Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500 pp. 571-585 Downloads
Julian Knoll, Johannes Stübinger and Michael Grottke
Generative Bayesian neural network model for risk-neutral pricing of American index options pp. 587-603 Downloads
Huisu Jang and Jaewook Lee
Asian option pricing with orthogonal polynomials pp. 605-618 Downloads
Sander Willems
Building multivariate Sato models with linear dependence pp. 619-645 Downloads
Lynn Boen and Florence Guillaume
A recursive method for static replication of autocallable structured products pp. 647-661 Downloads
Kyoung-Kuk Kim and Dong-Young Lim
Gold price dynamics and the role of uncertainty pp. 663-681 Downloads
Joscha Beckmann, Theo Berger and Robert Czudaj
Analytical solutions of optimal portfolio rebalancing pp. 683-697 Downloads
Ding Liu
Flexible distribution functions, higher-order preferences and optimal portfolio allocation pp. 699-703 Downloads
Trino-Manuel Ñíguez, Ivan Paya, David Peel and Javier Perote

Volume 19, issue 3, 2019

Structural minimization of tracking error pp. 357-366 Downloads
Peter Rossbach and Denis Karlow
Hedge Funds: Structure, Strategies, and Performance pp. 367-368 Downloads
Lisa Borland
Calendar pp. 369-369 Downloads
The Editors
Implied stopping rules for American basket options from Markovian projection pp. 371-390 Downloads
Christian Bayer, Juho Häppölä and Raúl Tempone
The predictive performance of the currency futures basis for spot returns pp. 391-405 Downloads
Liyan Han, Xue Jiang and Libo Yin
A self-exciting switching jump diffusion: properties, calibration and hitting time pp. 407-426 Downloads
Donatien Hainaut and Griselda Deelstra
The principle of not feeling the boundary for the SABR model pp. 427-436 Downloads
Nan Chen and Nian Yang
Targeting market neutrality pp. 437-451 Downloads
John B. Lee, Jonathan J. Reeves, Alice C. Tjahja and Xuan Xie
Risk parity portfolio optimization under a Markov regime-switching framework pp. 453-471 Downloads
Giorgio Costa and Roy H. Kwon
Joint tests of contagion with applications pp. 473-490 Downloads
Renée Fry-McKibbin, Cody Yu-Ling Hsiao and Vance L. Martin
On pricing barrier control in a regime-switching regulated market pp. 491-499 Downloads
Zheng Han, Yaozhong Hu and Chihoon Lee
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method pp. 501-518 Downloads
Nikolay Gudkov, Katja Ignatieva and Jonathan Ziveyi
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach pp. 519-532 Downloads
Rongju Zhang, Nicolas Langrené, Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza

Volume 19, issue 2, 2019

Risk discriminating portfolio optimization pp. 177-185 Downloads
Amit Deshpande, Brian Ertley, Mark Lundin and Stephen Satchell
Behavioral Corporate Finance: Concepts and Cases for Teaching Behavioral Finance pp. 187-188 Downloads
H. Kent Baker
Calendar pp. 189-189 Downloads
The Editors
Non-linear Gaussian sovereign CDS pricing models pp. 191-210 Downloads
Marco Realdon
American option pricing under the double Heston model based on asymptotic expansion pp. 211-226 Downloads
S. M. Zhang and Y. Feng
Variance swaps valuation under non-affine GARCH models and their diffusion limits pp. 227-246 Downloads
Alexandru Badescu, Yuyu Chen, Matthew Couch and Zhenyu Cui
Bubble detection and sector trading in real time pp. 247-263 Downloads
George Milunovich, Shuping Shi and David Tan
Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts pp. 265-275 Downloads
Omid Momen, Akbar Esfahanipour and Abbas Seifi
Shrinkage estimation of Kelly portfolios pp. 277-287 Downloads
Yongli Han, Philip Leung Ho Yu and Thomas Mathew
Asset management with endogenous withdrawals under a drawdown constraint pp. 289-312 Downloads
Hervé Roche
Dynamic portfolio choice without cash pp. 313-326 Downloads
Chi Kin Lam, Yuhong Xu and Guosheng Yin
Stock performance by utility indifference pricing and the Sharpe ratio pp. 327-338 Downloads
Jiro Hodoshima
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions pp. 339-356 Downloads
L. A. Grzelak, J. A. S. Witteveen, M. Suárez-Taboada and C. W. Oosterlee

Volume 19, issue 1, 2019

The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach pp. 1-11 Downloads
M. Hanke, R. Poulsen and A. Weissensteiner
Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance pp. 13-14 Downloads
Giovanni Puccetti
Calendar pp. 15-15 Downloads
The Editors
Path-breaking contributions of K. J. Arrow pp. 19-22 Downloads
M. A. H. Dempster
Kenneth Arrow as teacher and adviser pp. 23-24 Downloads
Michael Spence
On being a student of Ken Arrow pp. 25-28 Downloads
John Geanakoplos
Kenneth Arrow and nonequilibrium economics pp. 29-31 Downloads
W. Brian Arthur
An open mind: memories of Ken Arrow pp. 33-34 Downloads
J. Doyne Farmer
Internalisation by electronic FX spot dealers pp. 35-56 Downloads
M. Butz and R. Oomen
Disentangling the role of variance and covariance information in portfolio selection problems pp. 57-76 Downloads
André A. P. Santos
Estimating a covariance matrix for market risk management and the case of credit default swaps pp. 77-92 Downloads
Richard Neuberg and Paul Glasserman
An extended likelihood framework for modelling discretely observed credit rating transitions pp. 93-104 Downloads
M. Pfeuffer, L. Möstel and M. Fischer
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity pp. 105-121 Downloads
Zhilin Kang, Xun Li, Zhongfei Li and Shushang Zhu
Challenging the robustness of optimal portfolio investment with moving average-based strategies pp. 123-135 Downloads
Ahmed Bel Hadj Ayed, Grégoire Loeper and Frédéric Abergel
Cross-impact and no-dynamic-arbitrage pp. 137-154 Downloads
Michael Schneider and F. Lillo
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility pp. 155-175 Downloads
Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim and Hyejin Park
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