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Quantitative Finance

2001 - 2018

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 18, issue 10, 2018

Canonical sectors and evolution of firms in the US stock markets pp. 1619-1634 Downloads
Lorien X. Hayden, Ricky Chachra, Alexander A. Alemi, Paul H. Ginsparg and James P. Sethna
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting pp. 1635-1643 Downloads
Jan De Spiegeleer, Dilip B. Madan, Sofie Reyners and Wim Schoutens
The End of Alchemy: Money, Banking and the Future of the Global Economy pp. 1645-1653 Downloads
Michael Dempster
Calendar pp. 1655-1655 Downloads
The Editors
Efficient exposure computation by risk factor decomposition pp. 1657-1678 Downloads
C. S. L. de Graaf, D. Kandhai and C. Reisinger
A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models pp. 1679-1698 Downloads
J. Hambuckers, T. Kneib, R. Langrock and A. Silbersdorff
On the price of risk in a mean-risk optimization model pp. 1699-1713 Downloads
Darinka Dentcheva and Gregory J. Stock
Risk-managed industry momentum and momentum crashes pp. 1715-1733 Downloads
Klaus Grobys, Joni Ruotsalainen and Janne Äijö
Pairs trading with a mean-reverting jump–diffusion model on high-frequency data pp. 1735-1751 Downloads
Johannes Stübinger and Sylvia Endres
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics pp. 1753-1765 Downloads
Archil Gulisashvili, Blanka Horvath and Antoine Jacquier
The survival probability of the SABR model: asymptotics and application pp. 1767-1779 Downloads
Nian Yang and Xiangwei Wan

Volume 18, issue 9, 2018

Can outstanding dividend payments be estimated by American options? pp. 1437-1446 Downloads
Sascha Desmettre, Sarah Grün and Ralf Korn
Enlargement of Filtration with Finance in View pp. 1447-1448 Downloads
Thorsten Schmidt
Calendar pp. 1449-1449 Downloads
The Editors
Special Issue of Quantitative Finance on ‘Chinese Derivatives Markets’ pp. 1451-1451 Downloads
Ke Tang
Are tightened trading rules always bad? Evidence from the Chinese index futures market pp. 1453-1470 Downloads
Hai Lin and You Wang
Return and volatility co-movement in commodity futures markets: the effects of liquidity risk pp. 1471-1486 Downloads
Yongmin Zhang and Shusheng Ding
Including commodity futures in asset allocation in China pp. 1487-1499 Downloads
Qingfu Liu, Yiuman Tse and Linlin Zhang
Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition pp. 1501-1515 Downloads
Qiuling Hua, Tingfeng Jiang and Zhang Cheng
Option prices and stock market momentum: evidence from China pp. 1517-1529 Downloads
Jianping Li, Yanzhen Yao, Yibing Chen and Cheng-Few Lee
The role of derivatives in hedge fund activism pp. 1531-1541 Downloads
Jie (Michael) Guo, Jianhua Gang, Nan Hu and Vinay Utham
Chinese write-down bonds and bank capital structure pp. 1543-1558 Downloads
Ping Li, Hui Meng and Feihui Yu
Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach pp. 1559-1571 Downloads
Wonho Song, Doojin Ryu and Robert I. Webb
Modelling the shape of the limit order book pp. 1575-1597 Downloads
Federico Platania, Pedro Serrano and Mikel Tapia
Detailed study of a moving average trading rule pp. 1599-1617 Downloads
Fernando F. Ferreira, A. Christian Silva and Ju-Yi Yen

Volume 18, issue 8, 2018

Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation pp. 1249-1259 Downloads
David Ardia, Kris Boudt and Giang Nguyen
Asymptotic Theory of Transaction Costs pp. 1261-1262 Downloads
Sébastien Lleo
Calendar pp. 1263-1263 Downloads
The Editors
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity pp. 1265-1294 Downloads
V. Bergen, M. Escobar, A. Rubtsov and R. Zagst
Portfolio optimization under Expected Shortfall: contour maps of estimation error pp. 1295-1313 Downloads
Fabio Caccioli, Imre Kondor and Gábor Papp
Modelling fundamental analysis in portfolio selection pp. 1315-1326 Downloads
Huazhu Zhang and Cheng Yan
Generalized Pareto processes and fund liquidity risk pp. 1327-1343 Downloads
Sascha Desmettre, Johan de Kock, Peter Ruckdeschel and Frank Thomas Seifried
Instantaneous portfolio theory pp. 1345-1364 Downloads
Dilip B. Madan
Buy-and-hold mean-variance portfolios with a random exit strategy pp. 1365-1377 Downloads
C. D. Fuh and S. F. Luo
Optimal investment strategies for general utilities under dynamic elasticity of variance models pp. 1379-1388 Downloads
Wenyuan Li and Jingtang Ma
Transaction costs and crowding pp. 1389-1410 Downloads
Ludwig B. Chincarini
Transaction cost optimization for online portfolio selection pp. 1411-1424 Downloads
Bin Li, Jialei Wang, Dingjiang Huang and Steven C. H. Hoi
Portfolio performance of linear SDF models: an out-of-sample assessment pp. 1425-1436 Downloads
Massimo Guidolin, Erwin Hansen and Martín Lozano-Banda
Corrigendum pp. ei-ei Downloads
The Editors

Volume 18, issue 7, 2018

Optimal embedded leverage pp. 1077-1085 Downloads
Christian Lundström and Jarkko Peltomäki
Economics for the Common Good pp. 1087-1088 Downloads
Frank Milne
Calendar pp. 1089-1089 Downloads
The Editors
Calibration to American options: numerical investigation of the de-Americanization method pp. 1091-1113 Downloads
O. Burkovska, M. Gass, K. Glau, M. Mahlstedt, W. Schoutens and B. Wohlmuth
Learning minimum variance discrete hedging directly from the market pp. 1115-1128 Downloads
Ke Nian, Thomas F. Coleman and Yuying Li
Price impact and bursts in liquidity provision pp. 1129-1148 Downloads
R. Gençay, S. Mahmoodzadeh, J. Rojček and M. C. Tseng
Singular Fourier–Padé series expansion of European option prices pp. 1149-1171 Downloads
Tat Lung (Ron) Chan
A term structure model of interest rates with quadratic volatility pp. 1173-1198 Downloads
Hideyuki Takamizawa
Interest rate trees: extensions and applications pp. 1199-1209 Downloads
John Hull and Alan White
Statistical tests of distributional scaling properties for financial return series pp. 1211-1232 Downloads
Mark Hallam and Jose Olmo
Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk pp. 1233-1247 Downloads
Klaus Grobys

Volume 18, issue 6, 2018

Pairs trading under transaction costs using model predictive control pp. 885-895 Downloads
James A. Primbs and Yuji Yamada
Stock Market Crashes: Predictable and Unpredictable and What to Do About Them pp. 897-899 Downloads
Didier Sornette and Tobias Huber
Calendar pp. 901-901 Downloads
The Editors
Linear models for the impact of order flow on prices. I. History dependent impact models pp. 903-915 Downloads
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Tóth
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model pp. 917-931 Downloads
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Tóth
Volatility is rough pp. 933-949 Downloads
Jim Gatheral, Thibault Jaisson and Mathieu Rosenbaum
Orthogonal expansions for VIX options under affine jump diffusions pp. 951-967 Downloads
Andrea Barletta and Elisa Nicolato
Bond and option pricing for interest rate model with clustering effects pp. 969-981 Downloads
Xin Zhang, Jie Xiong and Yang Shen
Robust and consistent estimation of generators in credit risk pp. 983-1001 Downloads
G. dos Reis and G. Smith
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options pp. 1003-1016 Downloads
J.-P. Fouque and Y. F. Saporito
Rao’s quadratic entropy and maximum diversification indexation pp. 1017-1031 Downloads
Benoît Carmichael, Gilles Boevi Koumou and Kevin Moran
Indexing mergers and acquisitions pp. 1033-1048 Downloads
Jianhua Gang, Jie (Michael) Guo, Nan Hu and Xi Li
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method pp. 1049-1075 Downloads
Jennifer Alonso-García, Oliver Wood and Jonathan Ziveyi

Volume 18, issue 5, 2018

Combining standard and behavioral portfolio theories: a practical and intuitive approach pp. 707-717 Downloads
Alexandre Alles Rodrigues and Sébastien Lleo
Calendar pp. 719-719 Downloads
The Editors
Special Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’ pp. 723-724 Downloads
Jason Laws and Georgios Sermpinis
Ultra-high-frequency lead–lag relationship and information arrival pp. 725-735 Downloads
Thong Minh Dao, Frank McGroarty and Andrew Urquhart
Forecasting and trading high frequency volatility on large indices pp. 737-748 Downloads
Fei Liu, Athanasios A. Pantelous and Hans-Jörg von Mettenheim
Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market pp. 749-760 Downloads
Roman Huptas
Neural network copula portfolio optimization for exchange traded funds pp. 761-775 Downloads
Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis and Yukun Shi
Correlation as probability: applications of Sheppard’s formula to financial assets pp. 777-787 Downloads
Javier Giner, Judit Mendoza Aguilar and Sandra Morini-Marrero
Cross-border exchanges and volatility forecasting pp. 789-799 Downloads
Abhinav Goyal, Vasileios Kallinterakis, Dimos Kambouroudis and Jason Laws
The shifting dependence dynamics between the G7 stock markets pp. 801-812 Downloads
Ahmed BenSaïda, Sabri Boubaker and Duc Khuong Nguyen
Cross-sectional dispersion and expected returns pp. 813-826 Downloads
Thanos Verousis and Nikolaos Voukelatos
Government bond yields in Germany and Spain—empirical evidence from better days pp. 827-835 Downloads
Tobias Basse, Christoph Wegener and Frederik Kunze
Monetary policy and stock valuation: structural VAR identification and size effects pp. 837-848 Downloads
Alexandros Kontonikas and Zivile Zekaite
A dynamic equilibrium model for U-shaped pricing kernels pp. 851-875 Downloads
Akira Yamazaki
Estimating a regime switching pairs trading model pp. 877-883 Downloads
Robert J. Elliott and Reza Bradrania
Erratum pp. ei-ei Downloads
The Editors

Volume 18, issue 4, 2018

Too fast or too slow? Determining the optimal speed of financial markets pp. 519-532 Downloads
Daniel Fricke and Austin Gerig
Call for Papers: Special Issue on ‘AI and machine learning in finance’ pp. 533- Downloads
The Editors
Calendar pp. 535- Downloads
The Editors
A multiple-curve Lévy forward rate model in a two-price economy pp. 537-561 Downloads
Ernst Eberlein and Christoph Gerhart
Multi-curve HJM modelling for risk management pp. 563-590 Downloads
Chiara Sabelli, Michele Pioppi, Luca Sitzia and Giacomo Bormetti
An agent-based model of corporate bond trading pp. 591-608 Downloads
K. Braun-Munzinger, Z. Liu and A. E. Turrell
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula pp. 609-622 Downloads
Stefano De Marco and Claude Martini
Option augmented density forecasts of market returns with monotone pricing kernel pp. 623-635 Downloads
Brendan K. Beare and Asad Dossani
Analytic value function for optimal regime-switching pairs trading rules pp. 637-654 Downloads
Yang Bai and Lan Wu
Optimal execution in Hong Kong given a market-on-close benchmark pp. 655-671 Downloads
Christoph Frei and Nicholas Westray
COS method for option pricing under a regime-switching model with time-changed Lévy processes pp. 673-692 Downloads
G. Tour, N. Thakoor, A. Q. M. Khaliq and D. Y. Tangman
Recursive marginal quantization of higher-order schemes pp. 693-706 Downloads
T. A. McWalter, R. Rudd, J. Kienitz and Eckhard Platen

Volume 18, issue 3, 2018

Optimal portfolios under a correlation constraint pp. 333-345 Downloads
C. Bernard, D. Cornilly and S. Vanduffel
The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction pp. 347-349 Downloads
Nikolaos Tessaromatis
Calendar pp. 351-351 Downloads
The Editors
Short term prediction of extreme returns based on the recurrence interval analysis pp. 353-370 Downloads
Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro, Boris Podobnik, Chi Xie, H. Eugene Stanley and Wei-Xing Zhou
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns pp. 371-393 Downloads
Rasmus T. Varneskov and Pierre Perron
A Bayesian encompassing test using combined value-at-risk estimates pp. 395-417 Downloads
Georgios Tsiotas
A logistic regression point of view toward loss given default distribution estimation pp. 419-435 Downloads
Ruey-Ching Hwang and Chih-Kang Chu
Empirical comparison of hazard models in predicting SMEs failure pp. 437-466 Downloads
Jairaj Gupta, Andros Gregoriou and Tahera Ebrahimi
Liquidity risk in derivatives valuation: an improved credit proxy method pp. 467-481 Downloads
Sumit Sourabh, Markus Hofer and Drona Kandhai
A new integral equation formulation for American put options pp. 483-490 Downloads
Song-Ping Zhu, Xin-Jiang He and XiaoPing Lu
Smoothing the payoff for efficient computation of Basket option prices pp. 491-505 Downloads
Christian Bayer, Markus Siebenmorgen and Raul Tempone
Sequential Monte Carlo for fractional stochastic volatility models pp. 507-517 Downloads
Alexandra Chronopoulou and Konstantinos Spiliopoulos

Volume 18, issue 2, 2018

Sell in May and go away: the evidence in the international equity index futures markets pp. 171-181 Downloads
Constantine Dzhabarov, Alexandre Ziegler and William T. Ziemba
The Economy: Economics for a Changing World pp. 183-185 Downloads
Riccardo Rebonato
Calendar pp. 187-187 Downloads
The Editors
Editors’ foreword pp. 191-192 Downloads
Maggie Chen, Alan Hawkes, Khaldoun Khashanah, David McMillan, Mathieu Rosenbaum, Enrico Scalas and Steve Yang
Hawkes processes and their applications to finance: a review pp. 193-198 Downloads
Alan G. Hawkes
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix pp. 199-212 Downloads
M. Achab, E. Bacry, J. F. Muzy and M. Rambaldi
A slightly depressing jump model: intraday volatility pattern simulation pp. 213-224 Downloads
Khaldoun Khashanah, Jing Chen and Alan Hawkes
Performance of information criteria for selection of Hawkes process models of financial data pp. 225-235 Downloads
J. Chen, A. G. Hawkes, Enrico Scalas and M. Trinh
Collective synchronization and high frequency systemic instabilities in financial markets pp. 237-247 Downloads
Lucio Maria Calcagnile, Giacomo Bormetti, Michele Treccani, Stefano Marmi and Fabrizio Lillo
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration pp. 249-264 Downloads
Xiaofei Lu and Frédéric Abergel
Transform analysis for Hawkes processes with applications in dark pool trading pp. 265-282 Downloads
Xuefeng Gao, Xiang Zhou and Lingjiong Zhu
Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market pp. 283-293 Downloads
M. Schneider, F. Lillo and Loriana Pelizzon
Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events pp. 295-310 Downloads
Steve Y. Yang, Anqi Liu, Jing Chen and Alan Hawkes
Constant proportion portfolio insurance strategies in contagious markets pp. 311-331 Downloads
Alice Buccioli and Thomas Kokholm

Volume 18, issue 1, 2018

Election predictions as martingales: an arbitrage approach pp. 1-5 Downloads
Nassim Nicholas Taleb
Algorithmic and High-Frequency Trading pp. 7-8 Downloads
Mathieu Rosenbaum
Calendar pp. 9-9 Downloads
The Editors
The value of convexity: a theoretical and empirical investigation pp. 11-30 Downloads
Riccardo Rebonato and Vladislav Putyatin
Impact of multiple curve dynamics in credit valuation adjustments under collateralization pp. 31-44 Downloads
Giacomo Bormetti, Damiano Brigo, Marco Francischello and Andrea Pallavicini
On VIX futures in the rough Bergomi model pp. 45-61 Downloads
Antoine Jacquier, Claude Martini and Aitor Muguruza
Dividend derivatives pp. 63-81 Downloads
R. S. Tunaru
Dynamic portfolio optimization across hidden market regimes pp. 83-95 Downloads
Peter Nystrup, Henrik Madsen and Erik Lindström
Optimal pair-trading strategy over long/short/square positions—empirical study pp. 97-119 Downloads
Kiyoshi Suzuki
Pairs trading with partial cointegration pp. 121-138 Downloads
Matthew Clegg and Christopher Krauss
How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns pp. 139-169 Downloads
Massimo Guidolin, Alexei G. Orlov and Manuela Pedio
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