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Quantitative Finance

2001 - 2024

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 24, issue 1, 2024

Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing pp. 1-11 Downloads
Tianchen Zhao, Chuhao Sun, Asaf Cohen, James Stokes and Shravan Veerapaneni
Book review pp. 13-14 Downloads
Mark Podolskij
On parametric optimal execution and machine learning surrogates pp. 15-34 Downloads
Tao Chen, Mike Ludkovski and Moritz Voß
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers pp. 35-57 Downloads
Álvaro Arroyo, Álvaro Cartea, Fernando Moreno-Pino and Stefan Zohren
Adaptive online mean-variance portfolio selection with transaction costs pp. 59-82 Downloads
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 Downloads
Erik Kroon, Mehdi-Vincent Hacini and Koye Somefun
An early indicator for anomalous stock market performance pp. 105-118 Downloads
Marlon Fritz, Thomas Gries and Lukas Wiechers
Bubbles and dependence between international equity markets pp. 119-138 Downloads
Wuyi Ye, Lingbo Gao and Xiaoquan Liu
Regime-switching affine term structures pp. 139-155 Downloads
Andreas Celary, Zehra Eksi-Altay and Paul Krühner
A model of dynamic information production for initial public offerings pp. 157-174 Downloads
Rafiqul Bhuyan, Coşkun Çetin, Burhaneddin İzgi and Bakhtear Talukdar

Volume 23, issue 12, 2023

Smiles in delta pp. 1713-1728 Downloads
Arianna Mingone
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices pp. 1729-1730 Downloads
Damir Filipovic
Effective stochastic local volatility models pp. 1731-1750 Downloads
M. Felpel, J. Kienitz and T.A. McWalter
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices pp. 1751-1768 Downloads
Thomas R. Bollinger, William R. Melick and Charles P. Thomas
Functional quantization of rough volatility and applications to volatility derivatives pp. 1769-1792 Downloads
O. Bonesini, G. Callegaro and A. Jacquier
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model pp. 1793-1813 Downloads
M. Escobar-Anel, M. Kschonnek and R. Zagst
Dynamic core-satellite investing using higher order moments: an explicit solution pp. 1815-1831 Downloads
Yanfeng Wang, Wanbo Lu and Kris Boudt
A basket half full: sparse portfolios pp. 1833-1852 Downloads
Ekaterina Seregina
Cryptocurrency factor momentum pp. 1853-1869 Downloads
Christian Fieberg, Gerrit Liedtke, Daniel Metko and Adam Zaremba
Rule-based trading on an order-driven exchange: a reassessment pp. 1871-1886 Downloads
Alan G. Isaac and Vasudeva Ramaswamy

Volume 23, issue 11, 2023

Correction pp. i-i Downloads
The Editors
Can volatility solve the naive portfolio puzzle? pp. 1545-1560 Downloads
Michael Curran, Patrick O'Sullivan and Ryan Zalla
Islamic Philanthropy: Exploring Zakat, Waqf, and Sadaqah in Islamic Finance and Economics pp. 1561-1563 Downloads
Ubbadul Adzkiya’, Anis Fittria and Syamsul Wathani
Household financial health: a machine learning approach for data-driven diagnosis and prescription pp. 1565-1595 Downloads
Kyeongbin Kim, Yoontae Hwang, Dongcheol Lim, Suhyeon Kim, Junghye Lee and Yongjae Lee
Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products pp. 1597-1615 Downloads
Sanghyeon Bae, Yongjae Lee and Woo Chang Kim
Technical analysis as a sentiment barometer and the cross-section of stock returns pp. 1617-1636 Downloads
Wenjie Ding, Khelifa Mazouz, Owain ap Gwilym and Qingwei Wang
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality pp. 1637-1658 Downloads
Eduardo Amorim Vilela de Salis and Leandro dos Santos Maciel
A multi-curve HJM factor model for pricing and risk management pp. 1659-1675 Downloads
Tobias Bienek, Griselda Deelstra, Andreas Lichtenstern and Rudi Zagst
A transform-based method for pricing Asian options under general two-dimensional models pp. 1677-1697 Downloads
Weinan Zhang and Pingping Zeng
On prices and returns in commercial prediction markets pp. 1699-1712 Downloads
Karl Whelan

Volume 23, issue 10, 2023

Cross-impact of order flow imbalance in equity markets pp. 1373-1393 Downloads
Rama Cont, Mihai Cucuringu and Chao Zhang
Book review pp. 1395-1396 Downloads
Vladimir V. Piterbarg
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection pp. 1397-1409 Downloads
Fang Zhao, Gang Li, Yanxia Lyu, Hongdong Ma and Xiaoqian Zhu
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures pp. 1411-1430 Downloads
Saeed Marzban, Erick Delage and Jonathan Yu-Meng Li
Multivariate systemic risk measures and computation by deep learning algorithms pp. 1431-1444 Downloads
A. Doldi, Y. Feng, J.-P. Fouque and M. Frittelli
A neuro-structural framework for bankruptcy prediction pp. 1445-1464 Downloads
Christakis Charalambous, Spiros H. Martzoukos and Zenon Taoushianis
Distributionally robust end-to-end portfolio construction pp. 1465-1482 Downloads
Giorgio Costa and Garud N. Iyengar
f-Betas and portfolio optimization with f-divergence induced risk measures pp. 1483-1496 Downloads
Rui Ding
Bayesian nonparametric portfolio selection with rolling maximum drawdown control pp. 1497-1510 Downloads
Xiaoling Mei, Yachong Wang and Weixuan Zhu
The role of fleeting orders on option expiration days pp. 1511-1529 Downloads
Antonio Figueiredo, Pankaj Jain and Suchismita Mishra
Model-free analysis of real option exercise probability and timing pp. 1531-1544 Downloads
Sang Baum Kang and Pascal Létourneau

Volume 23, issue 9, 2023

Stable dividends under linear-quadratic optimisation pp. 1199-1215 Downloads
B. Avanzi, D. K. Falden and M. Steffensen
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach pp. 1217-1219 Downloads
Zezen Zainul Ali, Rahmatullah and Imaro Sidqi
Volatility is (mostly) path-dependent pp. 1221-1258 Downloads
Julien Guyon and Jordan Lekeufack
Weak approximations and VIX option price expansions in forward variance curve models pp. 1259-1283 Downloads
F. Bourgey, S. De Marco and E. Gobet
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes pp. 1285-1304 Downloads
Mnacho Echenim, Emmanuel Gobet and Anne-Claire Maurice
A general approach for lookback option pricing under Markov models pp. 1305-1324 Downloads
Gongqiu Zhang and Lingfei Li
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk pp. 1325-1339 Downloads
Tian-Shyr Dai, Liang-Chih Liu and Sharon S. Yang
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework pp. 1341-1360 Downloads
Jinkyu Lee, Do-Gyun Kwon, Yongjae Lee, Jang Ho Kim and Woo Chang Kim
High-dimensional sparse index tracking based on a multi-step convex optimization approach pp. 1361-1372 Downloads
Fangquan Shi, Lianjie Shu, Yiling Luo and Xiaoming Huo

Volume 23, issue 7-8, 2023

Media trading groups and short selling manipulation pp. 1035-1052 Downloads
Robert Jarrow and Siguang Li
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127) pp. 1053-1054 Downloads
Michael Dempster
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation pp. 1055-1078 Downloads
Anne MacKay, Marie-Claude Vachon and Zhenyu Cui
Option pricing under stochastic volatility models with latent volatility pp. 1079-1097 Downloads
Jean-François Bégin and Frédéric Godin
From optimal martingales to randomized dual optimal stopping pp. 1099-1113 Downloads
Denis Belomestny and John Schoenmakers
Optimal trading with transaction costs and short-term predictability pp. 1115-1127 Downloads
Shashidhar Murthy and John K. Wald
Pairs trading with wavelet transform pp. 1129-1154 Downloads
Burak Alparslan Eroğlu, Haluk Yener and Taner Yiğit
Leveraged funds: robust replication and performance evaluation pp. 1155-1176 Downloads
Paolo Guasoni and Eberhard Mayerhofer
Extracting implied volatilities from bank bonds pp. 1177-1197 Downloads
Michele Leonardo Bianchi and Gian Luca Tassinari

Volume 23, issue 6, 2023

Weighted variance swaps hedge against impermanent loss pp. 901-911 Downloads
Masaaki Fukasawa, Basile Maire and Marcus Wunsch
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems pp. 913-915 Downloads
Ria Kusumaningrum, Rully Trihantana and Tubagus Rifqy Thantawi
Deep-learning models for forecasting financial risk premia and their interpretations pp. 917-929 Downloads
Andrew W. Lo and Manish Singh
A generative model of a limit order book using recurrent neural networks pp. 931-958 Downloads
Hanna Hultin, Henrik Hult, Alexandre Proutiere, Samuel Samama and Ala Tarighati
Decomposing LIBOR in transition: evidence from the futures markets pp. 959-978 Downloads
Jacob Bjerre Skov and David Skovmand
A subdiffusive stochastic volatility jump model pp. 979-1002 Downloads
Jean-Loup Dupret and Donatien Hainaut
A statistical test of market efficiency based on information theory pp. 1003-1018 Downloads
Xavier Brouty and Matthieu Garcin
Optimal asset allocation under search frictions and stochastic interest rate pp. 1019-1033 Downloads
Ning Wang, Song-Ping Zhu and Robert Elliott

Volume 23, issue 5, 2023

VIX pricing in the rBergomi model under a regime switching change of measure pp. 721-738 Downloads
Henrique Guerreiro and João Guerra
Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering pp. 739-740 Downloads
Mark Greenwood
Multivariate quadratic Hawkes processes—part I: theoretical analysis pp. 741-758 Downloads
Cécilia Aubrun, Michael Benzaquen and Jean-Philippe Bouchaud
Coupled GARCH(1,1) model pp. 759-776 Downloads
Huasheng Nie and Henri Waelbroeck
A data-driven deep learning approach for options market making pp. 777-797 Downloads
Qianhui Lai, Xuefeng Gao and Lingfei Li
Delta hedging bitcoin options with a smile pp. 799-817 Downloads
Carol Alexander and Arben Imeraj
Hedging cryptos with Bitcoin futures pp. 819-841 Downloads
Francis Liu, Natalie Packham, Meng-Jou Lu and Wolfgang Karl Härdle
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model pp. 843-862 Downloads
Olivier Menoukeu-Pamen, Guangli Xu and Xiaoyang Zhuo
Quantitative reverse stress testing, bottom up pp. 863-875 Downloads
Claudio Albanese, Stéphane Crépey and Stefano Iabichino
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis pp. 877-886 Downloads
Pierpaolo Uberti
The timing of debt renegotiation and its implications for irreversible investment and capital structure pp. 887-900 Downloads
Zhaojun Yang and Nanhui Zhu

Volume 23, issue 4, 2023

Metalearning of time series: an approximate dynamic programming approach pp. 539-551 Downloads
Ricardo A. Collado and German Creamer
A Tour of C++, Third Edition pp. 553-555 Downloads
Paul Bilokon
W-shaped implied volatility curves and the Gaussian mixture model pp. 557-577 Downloads
Paul Glasserman and Dan Pirjol
The economics of time as it is embedded in the prices of options§ pp. 579-593 Downloads
Dilip B. Madan and King Wang
A hybrid convolutional neural network with long short-term memory for statistical arbitrage pp. 595-613 Downloads
P. Eggebrecht and Eva Lütkebohmert
Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks pp. 615-629 Downloads
Sándor Kunsági-Máté, Gábor Fáth, István Csabai and Gábor Molnár-Sáska
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks pp. 631-651 Downloads
Andrew S. Na and Justin W. L. Wan
Simulated Greeks for American options pp. 653-676 Downloads
Pascal Letourneau and Lars Stentoft
Pricing Asian options with stochastic convenience yield and jumps pp. 677-692 Downloads
Christian-Oliver Ewald, Yuexiang Wu and Aihua Zhang
Hedging error as generalized timing risk pp. 693-703 Downloads
J. Akahori, Flavia Barsotti and Y. Imamura
Persistence of jump-induced tail risk and limits to arbitrage pp. 705-719 Downloads
K. Victor Chow, Kose John, Jingrui Li and Ben Sopranzetti

Volume 23, issue 3, 2023

From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution pp. 367-388 Downloads
Tommaso Mariotti, Fabrizio Lillo and Giacomo Toscano
A First Course in Random Matrix Theory for Physicists, Engineers and Data Scientists pp. 389-391 Downloads
Louis-Pierre Arguin
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios pp. 393-427 Downloads
Carol Alexander and Michael Dakos
Integrating prediction in mean-variance portfolio optimization pp. 429-452 Downloads
Andrew Butler and Roy H. Kwon
Kurtosis-based risk parity: methodology and portfolio effects pp. 453-469 Downloads
M. D. Braga, C. R. Nava and Maria Zoia
Optimal asset allocation for commodity sovereign wealth funds pp. 471-495 Downloads
Alfonso A. Irarrazabal, Lin Ma and Juan Parra-Alvarez
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions pp. 497-519 Downloads
Yuyang Cheng and Marcos Escobar-Anel
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios pp. 521-537 Downloads
William Smyth and Daniel Broby

Volume 23, issue 2, 2023

Analysis and modeling of client order flow in limit order markets pp. 187-205 Downloads
Rama Cont, Mihai Cucuringu, Vacslav Glukhov and Felix Prenzel
Firefighting: The Financial Crisis and Its Lessons pp. 207-208 Downloads
Jean-Philippe Bouchaud
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing pp. 209-227 Downloads
Christian Bayer, Chiheb Ben Hammouda and Raúl Tempone
SABR equipped with AI wings pp. 229-249 Downloads
Hideharu Funahashi
Closed-form option pricing for exponential Lévy models: a residue approach pp. 251-278 Downloads
Jean-Philippe Aguilar and Justin Lars Kirkby
Asymmetric short-rate model without lower bound pp. 279-295 Downloads
Frédéric Vrins and Linqi Wang
Pricing commodity index options pp. 297-308 Downloads
Alberto Pedro Manzano-Herrero, Emanuele Nastasi, Andrea Pallavicini and Carlos Vázquez
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures pp. 309-334 Downloads
Chao Wang, Richard Gerlach and Qian Chen
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks pp. 335-349 Downloads
Johannes Jakubik, Abdolreza Nazemi, Andreas Geyer-Schulz and Frank J. Fabozzi
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency pp. 351-365 Downloads
Chi Seng Pun and Zi Ye

Volume 23, issue 1, 2023

Estimating time-varying risk aversion from option prices and realized returns pp. 1-17 Downloads
Maria Kosolapova, Michael Hanke and Alex Weissensteiner
Book review pp. 19-20 Downloads
Gordon Lee
A two-step framework for arbitrage-free prediction of the implied volatility surface pp. 21-34 Downloads
Wenyong Zhang, Lingfei Li and Gongqiu Zhang
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry pp. 35-51 Downloads
Zehua Zhang and Ran Zhao
Markovian approximations of stochastic Volterra equations with the fractional kernel pp. 53-70 Downloads
Christian Bayer and Simon Breneis
The EWMA Heston model pp. 71-93 Downloads
Léo Parent
Optimal reinsurance-investment with loss aversion under rough Heston model pp. 95-109 Downloads
Jingtang Ma, Zhengyang Lu and Dengsheng Chen
Empirical deep hedging pp. 111-122 Downloads
Oskari Mikkilä and Juho Kanniainen
Horizon effect on optimal retirement decision pp. 123-148 Downloads
Junkee Jeon, Minsuk Kwak and Kyunghyun Park
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty pp. 149-168 Downloads
Ruey-Ching Hwang, Chih-Kang Chu and Yi-Chi Chen
A default contagion model for pricing defaultable bonds from an information based perspective pp. 169-185 Downloads
Hidetoshi Nakagawa and Hideyuki Takada
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