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Quantitative Finance

2001 - 2021

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 21, issue 8, 2021

From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect pp. 1235-1247 Downloads
Aditi Dandapani, Paul Jusselin and Mathieu Rosenbaum
Bitcoin, currencies, and fragility pp. 1249-1255 Downloads
Nassim Nicholas Taleb
Cryptocurrencies change everything pp. 1257-1262 Downloads
Alexander Lipton
Mathematics of the Bond Market: A Lévy Processes Approach pp. 1263-1265 Downloads
Zorana Grbac and Blanka Horvath
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market pp. 1267-1279 Downloads
Klaus Grobys
Explicit option valuation in the exponential NIG model pp. 1281-1299 Downloads
Jean-Philippe Aguilar
Valuation of options under a constant elasticity of variance process and stochastic volatility pp. 1301-1307 Downloads
Mohammed A. AbaOud
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing pp. 1309-1323 Downloads
Jian Liang, Zhe Xu and Peter Li
Learning the dynamics of technical trading strategies pp. 1325-1349 Downloads
N. J. Murphy and T. J. Gebbie
Reduction of estimation error impact in the risk parity strategies pp. 1351-1364 Downloads
Hyuksoo Kim and Saejoon Kim
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS) pp. 1365-1386 Downloads
Marco Realdon
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables pp. 1387-1411 Downloads
Nima Nonejad

Volume 21, issue 7, 2021

Beyond convexity pp. 1067-1075 Downloads
Jessica James, Michael Leister and Christoph Rieger
The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution pp. 1077-1081 Downloads
Alexander Lipton
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ pp. 1083-1086 Downloads
Jaehyuk Choi and Lixin Wu
Computation of expected shortfall by fast detection of worst scenarios pp. 1087-1108 Downloads
Bruno Bouchard, Adil Reghai and Benjamin Virrion
Backtesting expected shortfall and beyond pp. 1109-1125 Downloads
Kaihua Deng and Jie Qiu
Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes pp. 1127-1146 Downloads
Masaaki Fukasawa and Asuto Hirano
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme pp. 1147-1161 Downloads
Yuji Shinozaki
Multilayer information spillover networks: measuring interconnectedness of financial institutions pp. 1163-1185 Downloads
Gang-Jin Wang, Shuyue Yi, Chi Xie and H. Eugene Stanley
Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing pp. 1187-1206 Downloads
Lijun Bo, Yanchu Liu and Tingting Zhang
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution pp. 1207-1221 Downloads
Marco Bee, J. Hambuckers and L. Trapin
Bond indifference prices pp. 1223-1233 Downloads
Matthew Lorig and Bin Zou

Volume 21, issue 6, 2021

Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle pp. 881-889 Downloads
Andrew F. Siegel
Handbook of Financial Risk Management pp. 891-892 Downloads
Allan M. Malz
Smart Alpha: active management with unstable and latent factors pp. 893-909 Downloads
C. Boucher, A. Jasinski, P. Kouontchou and S. Tokpavi
A practical guide to robust portfolio optimization pp. 911-928 Downloads
C. Yin, R. Perchet and F. Soupé
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics pp. 929-943 Downloads
Gurupdesh Pandher
Informative option portfolios in filter design for option pricing models pp. 945-965 Downloads
Piotr Orłowski
Effects of a government subsidy and labor flexibility on portfolio selection and retirement pp. 967-989 Downloads
Kyunghyun Park, Hyoseob Lee and Yong Hyun Shin
Robust portfolios with commodities and stochastic interest rates pp. 991-1010 Downloads
Junhe Chen, Matt Davison, M. Escobar-Anel and Golara Zafari
Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis pp. 1011-1025 Downloads
Kerstin Bergk, Mario Brandtner and Wolfgang Kürsten
Portfolio choices: comparative statics under both expected return and volatility uncertainty pp. 1027-1035 Downloads
Qian Lin and Dejian Tian
Call auction, continuous trading and closing price formation pp. 1037-1065 Downloads
Jiayi Li, Sumei Luo and Guangyou Zhou

Volume 21, issue 5, 2021

Lattice-based hedging schemes under GARCH models pp. 697-710 Downloads
Maciej Augustyniak, Alexandru Badescu and Zhiyu Guo
Financial Modeling in Commodity Markets pp. 711-712 Downloads
Stein Frydenberg
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors pp. 713-727 Downloads
Ana González-Urteaga, Belén Nieto and Gonzalo Rubio
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes pp. 729-752 Downloads
Alexander Wehrli, Spencer Wheatley and Didier Sornette
Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue pp. 753-770 Downloads
J. L. Ma, S. S. Zhu and Y. Wu
Improvements in estimating the probability of informed trading models pp. 771-796 Downloads
Tsung-Chi Cheng and Hung-Neng Lai
Generative adversarial networks for financial trading strategies fine-tuning and combination pp. 797-813 Downloads
Adriano Koshiyama, Nikan Firoozye and Philip Treleaven
The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments pp. 815-835 Downloads
Minjoo Kim, Junhong Yang, Pengcheng Song and Yang Zhao
Effective stochastic volatility: applications to ZABR-type models pp. 837-852 Downloads
M. Felpel, J. Kienitz and T. A. McWalter
Jumps and oil futures volatility forecasting: a new insight pp. 853-863 Downloads
Feng Ma, Chao Liang, Qing Zeng and Haibo Li
Uncertainty shocks of Trump election in an interval model of stock market pp. 865-879 Downloads
Yuying Sun, Kenan Qiao and Shouyang Wang

Volume 21, issue 4, 2021

Correction pp. i-i Downloads
The Editors
Graph theoretical representations of equity indices and their centrality measures pp. 523-537 Downloads
Luca F. Di Cerbo and Stephen Taylor
Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models pp. 539-540 Downloads
Artem Dyachenko
Rough volatility, CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime pp. 541-563 Downloads
Martin Forde, Benjamin Smith and Lauri Viitasaari
Fractional stochastic volatility correction to CEV implied volatility pp. 565-574 Downloads
Hyun-Gyoon Kim, Se-Jin Kwon and Jeong-Hoon Kim
Artificial neural network for option pricing with and without asymptotic correction pp. 575-592 Downloads
Hideharu Funahashi
Equal risk pricing of derivatives with deep hedging pp. 593-608 Downloads
Alexandre Carbonneau and Frédéric Godin
Application of power series approximation techniques to valuation of European style options pp. 609-635 Downloads
Nikolay Gudkov and Jonathan Ziveyi
A functional analysis approach to the static replication of European options pp. 637-655 Downloads
Sébastien Bossu, Peter Carr and Andrew Papanicolaou
Mean-variance portfolio selection with non-negative state-dependent risk aversion pp. 657-671 Downloads
Tianxiao Wang, Zhuo Jin and Jiaqin Wei
Efficient computation of mean reverting portfolios using cyclical coordinate descent pp. 673-684 Downloads
Théophile Griveau-Billion and B. Calderhead
An alternative nonparametric tail risk measure pp. 685-696 Downloads
Keith K.F. Law, W.K. Li and Philip L.H. Yu

Volume 21, issue 3, 2021

Quantization goes polynomial pp. 361-376 Downloads
Giorgia Callegaro, Lucio Fiorin and Andrea Pallavicini
Metals and Energy Finance pp. 377-378 Downloads
Jacco Thijssen
Robust statistical arbitrage strategies pp. 379-402 Downloads
Eva Lütkebohmert and Julian Sester
G-expected utility maximization with ambiguous equicorrelation pp. 403-419 Downloads
Chi Seng Pun
Realized higher-order comoments pp. 421-429 Downloads
Kwangil Bae and Soonhee Lee
A cost-effective approach to portfolio construction with range-based risk measures pp. 431-447 Downloads
Chi Seng Pun and Lei Wang
TERES: Tail Event Risk Expectile Shortfall pp. 449-460 Downloads
Andrija Mihoci, Wolfgang Härdle and Cathy Yi-Hsuan Chen
A Markov chain approximation scheme for option pricing under skew diffusions pp. 461-480 Downloads
Kailin Ding, Zhenyu Cui and Yongjin Wang
Speed-up credit exposure calculations for pricing and risk management pp. 481-499 Downloads
Kathrin Glau, Ricardo Pachon and Christian Pötz
Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units pp. 501-522 Downloads
W. Dong and B. Kang

Volume 21, issue 2, 2021

Optimal multi-asset trading with linear costs: a mean-field approach pp. 185-195 Downloads
Matt Emschwiller, Benjamin Petit and Jean-Philippe Bouchaud
A Course on Rough Paths: With an Introduction to Regularity Structures pp. 197-198 Downloads
Antoine Lejay
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior pp. 199-219 Downloads
John Birge and L. Chavez-Bedoya
Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty pp. 221-242 Downloads
David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models pp. 243-261 Downloads
R. Giacometti, G. Torri and S. Paterlini
A note on - vs. -expected loss portfolio constraints pp. 263-270 Downloads
Jia-Wen Gu, Mogens Steffensen and Harry Zheng
Martingale transport with homogeneous stock movements pp. 271-280 Downloads
Stephan Eckstein and Michael Kupper
Static replication of barrier-type options via integral equations pp. 281-294 Downloads
Kyoung-Kuk Kim and Dong-Young Lim
The market nanostructure origin of asset price time reversal asymmetry pp. 295-304 Downloads
Marcus Cordi, Damien Challet and Serge Kassibrakis
Pricing and hedging performance on pegged FX markets based on a regime switching model pp. 305-322 Downloads
Yunbo Zhang and Samuel Drapeau
Design of adaptive Elman networks for credit risk assessment pp. 323-340 Downloads
Marco Corazza, Davide De March and Giacomo di Tollo
Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money? pp. 341-360 Downloads
Viktor Manahov

Volume 21, issue 1, 2021

Volatility has to be rough pp. 1-8 Downloads
Masaaki Fukasawa
Machine Learning in Finance: From Theory to Practice pp. 9-10 Downloads
Guillaume Coqueret
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models pp. 11-27 Downloads
Blanka Horvath, Aitor Muguruza and Mehdi Tomas
Dynamic programming for optimal stopping via pseudo-regression pp. 29-44 Downloads
Christian Bayer, Martin Redmann and John Schoenmakers
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions pp. 45-67 Downloads
Yangang Chen and Justin W. L. Wan
Market impact: a systematic study of the high frequency options market pp. 69-84 Downloads
Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou, Jean-Jacques Rabeyrin and Frédéric Abergel
Algorithmic market making for options pp. 85-97 Downloads
Bastien Baldacci, Philippe Bergault and Olivier Guéant
XVA analysis from the balance sheet pp. 99-123 Downloads
Claudio Albanese, Stéphane Crépey, Rodney Hoskinson and Bouazza Saadeddine
Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities pp. 125-142 Downloads
Jimmy E. Hilliard, Jitka Hilliard and Yinan Ni
Mechanics of good trade execution in the framework of linear temporary market impact pp. 143-163 Downloads
Claudio Bellani and Damiano Brigo
Multivariate continuous-time modeling of wind indexes and hedging of wind risk pp. 165-183 Downloads
Fred E. Benth, Troels S. Christensen and Victor Rohde
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