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Quantitative Finance

2001 - 2020

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 20, issue 10, 2020

An options-pricing approach to election prediction pp. 1583-1589 Downloads
John Fry and Matt Burke
High-Dimensional Probability: An Introduction with Applications in Data Science pp. 1591-1594 Downloads
Omiros Papaspiliopoulos
Inversion of convex ordering in the VIX market pp. 1597-1623 Downloads
Julien Guyon
Optimal and equilibrium execution strategies with generalized price impact pp. 1625-1644 Downloads
Masamitsu Ohnishi and Makoto Shimoshimizu
Forward-looking portfolio selection with multivariate non-Gaussian models pp. 1645-1661 Downloads
Michele Leonardo Bianchi and Gian Luca Tassinari
m-Double Poisson Lévy markets pp. 1663-1679 Downloads
W. Buckley, H. Long and S. Perera
Adjusting covariance matrix for risk management pp. 1681-1699 Downloads
Philip L. H. Yu, F.C. Ng and Jessica K.W. Ting
Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options pp. 1701-1720 Downloads
Jiangming Xiang and Xiaoqun Wang
An agent-based model for the assessment of LTV caps pp. 1721-1748 Downloads
Dimitrios Laliotis, Alejandro Buesa, Miha Leber and Javier Población

Volume 20, issue 9, 2020

A neural network approach to understanding implied volatility movements pp. 1405-1413 Downloads
Jay Cao, Jacky Chen and John Hull
Behavioral Finance: What Everyone Needs to Know pp. 1415-1416 Downloads
The Editors
Quant GANs: deep generation of financial time series pp. 1419-1440 Downloads
Magnus Wiese, Robert Knobloch, Ralf Korn and Peter Kretschmer
Modelling the joint behaviour of electricity prices in interconnected markets pp. 1441-1456 Downloads
Troels Sønderby Christensen and Fred Espen Benth
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model pp. 1457-1473 Downloads
Christian Bayer, Chiheb Ben Hammouda and Raúl Tempone
Clearing price distributions in call auctions pp. 1475-1493 Downloads
M. Derksen, B. Kleijn and R. de Vilder
Optimal market making in the presence of latency pp. 1495-1512 Downloads
Xuefeng Gao and Yunhan Wang
High-dimensional index tracking based on the adaptive elastic net pp. 1513-1530 Downloads
Lianjie Shu, Fangquan Shi and Guoliang Tian
Stock-specific sentiment and return predictability pp. 1531-1551 Downloads
Guillaume Coqueret
Measuring liquidity commonality in financial markets pp. 1553-1566 Downloads
Chenlu Li, Baibing Li and Kai-Hong Tee
Deep learning for ranking response surfaces with applications to optimal stopping problems pp. 1567-1581 Downloads
Ruimeng Hu

Volume 20, issue 8, 2020

Strike from volatility and delta-with-premium pp. 1227-1235 Downloads
Peter Jäckel
Book review pp. 1237-1238 Downloads
The Editors
Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network pp. 1239-1261 Downloads
John M. Mulvey, Yifan Sun, Mengdi Wang and Jing Ye
Algorithmic trading in a microstructural limit order book model pp. 1263-1283 Downloads
Frédéric Abergel, Côme Huré and Huyên Pham
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process pp. 1285-1306 Downloads
Lan Wu, Xin Zang and Hongxin Zhao
Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series pp. 1307-1324 Downloads
Tat Lung (Ron) Chan and Nicholas Hale
An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes pp. 1325-1343 Downloads
Tat Lung (Ron) Chan
Macroeconomic fundamentals, jump dynamics and expected volatility pp. 1345-1371 Downloads
Zhiyuan Pan, Ruijun Bu, Li Liu and Yudong Wang
From equity to default correlation with taxes pp. 1373-1388 Downloads
Sheen Liu, Howard Qi and Yan Alice Xie
Accelerated share repurchase and other buyback programs: what neural networks can bring pp. 1389-1404 Downloads
Olivier Guéant, Iuliia Manziuk and Jiang Pu

Volume 20, issue 7, 2020

Shock amplification in financial networks with applications to the CCP feasibility pp. 1045-1056 Downloads
Dohyun Ahn
Stochastic Disorder Problems pp. 1057-1058 Downloads
Sébastien Lleo
Are trading invariants really invariant? Trading costs matter pp. 1059-1068 Downloads
Frédéric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud and Michael Benzaquen
Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations pp. 1069-1083 Downloads
G. dos Reis, M. Pfeuffer and G. Smith
Risk management of deposit insurance corporations with risk-based premiums and credit default swaps pp. 1085-1100 Downloads
Yang-Che Wu, Ting-Fu Chen and Shih-Kuei Lin
Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective pp. 1101-1122 Downloads
George Chalamandaris
Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model pp. 1123-1148 Downloads
Robert Matthijs Verschuren
Stock volatility predictability in bull and bear markets pp. 1149-1167 Downloads
Xingyi Li and Valeriy Zakamulin
Effects of intervaling on high-frequency realized higher-order moments pp. 1169-1184 Downloads
Richard Mawulawoe Ahadzie and Nagaratnam Jeyasreedharan
Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy? pp. 1185-1197 Downloads
Jean-Michel Maeso and Lionel Martellini
Least-squares Monte-Carlo methods for optimal stopping investment under CEV models pp. 1199-1211 Downloads
Jingtang Ma, Zhengyang Lu, Wenyuan Li and Jie Xing
Forward or backward simulation? A comparative study pp. 1213-1226 Downloads
Piergiacomo Sabino

Volume 20, issue 6, 2020

From risk bearing to propheteering pp. 887-894 Downloads
Ilia Bouchouev
Stochastic Flows and Jump-Diffusions pp. 895-897 Downloads
Tak Kuen Siu
Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities pp. 899-918 Downloads
C. E. Phelan, D. Marazzina and G. Germano
A comparison principle between rough and non-rough Heston models—with applications to the volatility surface pp. 919-933 Downloads
M. Keller-Ressel and A. Majid
A revised option pricing formula with the underlying being banned from short selling pp. 935-948 Downloads
Xin-Jiang He and Song-Ping Zhu
Exchange options under clustered jump dynamics pp. 949-967 Downloads
Yong Ma, Dongtao Pan and Tianyang Wang
Slow-moving capital and stock returns pp. 969-984 Downloads
Sergey Isaenko
Trend following with momentum versus moving averages: a tale of differences pp. 985-1007 Downloads
Valeriy Zakamulin and Javier Giner
The implied Sharpe ratio pp. 1009-1026 Downloads
Ankush Agarwal and Matthew Lorig
Noise fit, estimation error and a Sharpe information criterion pp. 1027-1043 Downloads
Dirk Paulsen and Jakob Söhl

Volume 20, issue 5, 2020

Option pricing methods in the City of London during the late 19th century pp. 709-719 Downloads
George Dotsis
Collected Works of Marida Bertocchi pp. 721-722 Downloads
Costanza Torricelli
On the first hitting time density for a reducible diffusion process pp. 723-743 Downloads
Alexander Lipton and Vadim Kaushansky
Probability weighting and default risk: a possible explanation for distressed stock puzzles pp. 745-767 Downloads
Akira Yamazaki
Random matrix models for datasets with fixed time horizons pp. 769-781 Downloads
G. L. Zitelli
A neural network enhanced volatility component model pp. 783-797 Downloads
Jia Zhai, Yi Cao and Xiaoquan Liu
Dynamic principal component CAW models for high-dimensional realized covariance matrices pp. 799-821 Downloads
Bastian Gribisch and Michael Stollenwerk
Implied volatility sentiment: a tale of two tails pp. 823-849 Downloads
Luiz Félix, Roman Kräussl and Philip Stork
Pricing high-dimensional American options by kernel ridge regression pp. 851-865 Downloads
Wenbin Hu and Tomasz Zastawniak
Variable annuities in a Lévy-based hybrid model with surrender risk pp. 867-886 Downloads
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt and Raghid Zeineddine

Volume 20, issue 4, 2020

Conic quantization: stochastic volatility and market implied liquidity pp. 531-542 Downloads
Lucio Fiorin and Wim Schoutens
Infinite Powers: The Story of Calculus - The Language of the Universe pp. 543-544 Downloads
Sébastien Lleo
Calendar pp. 545-545 Downloads
The Editors
Scenario analysis for derivative portfolios via dynamic factor models pp. 547-571 Downloads
Martin B. Haugh and Octavio Ruiz Lacedelli
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models pp. 573-591 Downloads
Ludovic Goudenège, Andrea Molent and Antonino Zanette
The dynamics of ex-ante weighted spread: an empirical analysis pp. 593-617 Downloads
Georges Dionne and Xiaozhou Zhou
VIX futures term structure and the expectations hypothesis pp. 619-638 Downloads
Ivan Oscar Asensio
Index tracking through deep latent representation learning pp. 639-652 Downloads
Saejoon Kim and Soong Kim
The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets pp. 653-668 Downloads
Qingfu Liu, Pan Jiang, Yunbi An and Keith Cheung
A set-valued Markov chain approach to credit default pp. 669-689 Downloads
Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou
On the propensity to issue contingent convertible (CoCo) bonds pp. 691-707 Downloads
José Fajardo and Layla Mendes

Volume 20, issue 3, 2020

A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices pp. 347-357 Downloads
W.J. Hinderks, R. Korn and A. Wagner
Machine Learning: An Applied Mathematics Introduction pp. 359-360 Downloads
Sébastien Lleo
Calendar pp. 361-361 Downloads
The Editors
Buy rough, sell smooth pp. 363-378 Downloads
Paul Glasserman and Pu He
Calibrating rough volatility models: a convolutional neural network approach pp. 379-392 Downloads
Henry Stone
A PDE method for estimation of implied volatility pp. 393-408 Downloads
Ivan Matić, Radoš Radoičić and Dan Stefanica
Equilibrium implications of interest rate smoothing pp. 409-423 Downloads
Diogo Duarte and Rodolfo Prieto
Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk pp. 425-446 Downloads
Marcus Scheffer and Gregor N. F. Weiß
Market or limit orders? pp. 447-461 Downloads
Daniel Mitchell and Jingnan Chen
Agent-based modelling in directional-change intrinsic time pp. 463-482 Downloads
V. Petrov, A. Golub and R. Olsen
A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets pp. 483-497 Downloads
Juan Dong, Lyudmila Korobenko and A. Deniz Sezer
Investment decisions when utility depends on wealth and other attributes pp. 499-513 Downloads
Andrew Grant and Steve Satchell
Personalized goal-based investing via multi-stage stochastic goal programming pp. 515-526 Downloads
Woo Chang Kim, Do-Gyun Kwon, Yongjae Lee, Jang Ho Kim and Changle Lin
Correction pp. 527-529 Downloads
The Editors

Volume 20, issue 2, 2020

A critical investigation of cryptocurrency data and analysis pp. 173-188 Downloads
C. Alexander and M. Dakos
Advances in Financial Machine Learning pp. 189-190 Downloads
Peter Schwendner
Calendar pp. 191-191 Downloads
The Editors
Co-impact: crowding effects in institutional trading activity pp. 193-205 Downloads
F. Bucci, I. Mastromatteo, Z. Eisler, F. Lillo, J.-P. Bouchaud and C.-A. Lehalle
Estimating the money market microstructure with negative and zero interest rates pp. 207-234 Downloads
Edoardo Rainone and Francesco Vacirca
The Zumbach effect under rough Heston pp. 235-241 Downloads
Omar El Euch, Jim Gatheral, Radoš Radoičić and Mathieu Rosenbaum
A closed-form formula characterization of the Epps effect pp. 243-254 Downloads
Giuseppe Buccheri, Giulia Livieri, Davide Pirino and Alessandro Pollastri
Adaptive Lasso for vector Multiplicative Error Models pp. 255-274 Downloads
Luca Cattivelli and Giampiero Gallo
Loss aversion in an agent-based asset pricing model pp. 275-290 Downloads
Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics pp. 291-310 Downloads
Gerald H. L. Cheang and Len Patrick Dominic M. Garces
Bayesian regularized artificial neural networks for the estimation of the probability of default pp. 311-328 Downloads
Eduard Sariev and Guido Germano
Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S pp. 329-346 Downloads
Chris Charalambous, Spiros H. Martzoukos and Zenon Taoushianis
Correction pp. ei-ei Downloads
The Editors

Volume 20, issue 1, 2020

Trend-following market behaviour at the 4pm London time BFIX and WMR fixing windows pp. 1-8 Downloads
Carl Husselmann and Kristjan Kasikov
Bond Pricing and Yield Curve Modeling: A Structural Approach pp. 9-10 Downloads
Jingnan Chen
Calendar pp. 11-11 Downloads
The Editors
Exponentiation of conditional expectations under stochastic volatility pp. 13-27 Downloads
Elisa Alòs, Jim Gatheral and Radoš Radoičić
A path-integral approximation for non-linear diffusions pp. 29-36 Downloads
Luca Capriotti
Options on a traded account: symmetric treatment of the underlying assets pp. 37-47 Downloads
J. Vecer, J. Kampen and R. Navratil
Quasi-Monte Carlo-based conditional pathwise method for option Greeks pp. 49-67 Downloads
Chaojun Zhang and Xiaoqun Wang
Stock market trend prediction using a functional time series approach pp. 69-79 Downloads
Shih-Feng Huang, Meihui Guo and May-Ru Chen
Analyzing order flows in limit order books with ratios of Cox-type intensities pp. 81-98 Downloads
Ioane Muni Toke and Nakahiro Yoshida
Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk pp. 99-117 Downloads
Vladimir Chorniy and Vinay Kotecha
Detecting and identifying arbitrage in the spot foreign exchange market pp. 119-132 Downloads
Zhenyu Cui, Wenhan Qian, Stephen Taylor and Lingjiong Zhu
On the interplay between multiscaling and stock dependence pp. 133-145 Downloads
R. J. Buonocore, G. Brandi, Rosario Mantegna and T. Di Matteo
Pricing bounds and bang-bang analysis of the Polaris variable annuities pp. 147-171 Downloads
Zhiyi Shen and Chengguo Weng
Page updated 2020-12-03