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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 19, issue 7, 2019

Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation pp. 1075-1092 Downloads
Nathalie Oriol and Iryna Veryzhenko
The Economic Foundations of Risk Management pp. 1093-1094 Downloads
Natalie Packham
Calendar pp. 1095-1095 Downloads
The Editors
Stochastic regularization for the mean-variance allocation scheme pp. 1097-1120 Downloads
Gilles Zumbach
Enhancing the momentum strategy through deep regression pp. 1121-1133 Downloads
Saejoon Kim
Optimal investment and consumption under a continuous-time cointegration model with exponential utility pp. 1135-1149 Downloads
Guiyuan Ma and Song-Ping Zhu
Stock market uncertainty and economic fundamentals: an entropy-based approach pp. 1151-1163 Downloads
K. Ahn, D. Lee, S. Sohn and B. Yang
The endo–exo problem in high frequency financial price fluctuations and rejecting criticality pp. 1165-1178 Downloads
Spencer Wheatley, Alexander Wehrli and Didier Sornette
The influence of intraday seasonality on volatility transmission pattern pp. 1179-1197 Downloads
N. Alemany, V. Aragó and E. Salvador
A systematic and efficient simulation scheme for the Greeks of financial derivatives pp. 1199-1219 Downloads
Yuh-Dauh Lyuu, Huei-Wen Teng, Yao-Te Tseng and Sheng-Xiang Wang
Operational risk quantified with spectral risk measures: a refined closed-form approximation pp. 1221-1242 Downloads
Bin Tong, Xundi Diao and Chongfeng Wu
A new mixture cure model under competing risks to score online consumer loans pp. 1243-1253 Downloads
Nailong Zhang, Qingyu Yang, Aidan Kelleher and Wujun Si

Volume 19, issue 6, 2019

Dynamics and performance of decentralized portfolios with size-induced fund flows pp. 885-898 Downloads
Huamao Wang, Jun Yang and Yumei Yao
Stochastic Drawdowns pp. 899-900 Downloads
John Fry
Calendar pp. 901-901 Downloads
The Editors
Market making with minimum resting times pp. 903-920 Downloads
Álvaro Cartea and Yixuan Wang
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 pp. 921-935 Downloads
Johannes Stübinger
A simple mechanism for financial bubbles: time-varying momentum horizon pp. 937-959 Downloads
L. Lin, M. Schatz and D. Sornette
Sovereign risk zones in Europe during and after the debt crisis pp. 961-980 Downloads
Veni Arakelian, Petros Dellaportas, Roberto Savona and Marika Vezzoli
A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering pp. 981-996 Downloads
A. Verma, R. J. Buonocore and T. Di Matteo
Calibration and advanced simulation schemes for the Wishart stochastic volatility model pp. 997-1016 Downloads
G. La Bua and D. Marazzina
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution pp. 1017-1042 Downloads
Chao Wang, Qian Chen and Richard Gerlach
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations pp. 1043-1059 Downloads
Christian P. Fries
Real options under a double exponential jump-diffusion model with regime switching and partial information pp. 1061-1073 Downloads
Pengfei Luo, Jie Xiong, Jinqiang Yang and Zhaojun Yang

Volume 19, issue 5, 2019

Economic and political effects on currency clustering dynamics pp. 705-716 Downloads
M. Kremer, A. P. Becker, I. Vodenska, H. E. Stanley and R. Schäfer
Optimization Methods in Finance pp. 717-719 Downloads
Giorgio Consigli
Functional Itô calculus pp. 721-729 Downloads
Bruno Dupire
Calendar pp. 731-731 Downloads
The Editors
Price signatures pp. 733-761 Downloads
Roel Oomen
Leveraging a call-put ratio as a trading signal pp. 763-777 Downloads
Patrick Houlihan and Germán G. Creamer
Short-time near-the-money skew in rough fractional volatility models pp. 779-798 Downloads
C. Bayer, P. K. Friz, A. Gulisashvili, B. Horvath and B. Stemper
Backtesting extreme value theory models of expected shortfall pp. 799-825 Downloads
Alfonso Novales and Laura Garcia-Jorcano
A financially justifiable and practically implementable approach to coherent stress testing pp. 827-842 Downloads
Riccardo Rebonato
On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators pp. 843-858 Downloads
Riza Demirer, Guilherme Demos, Rangan Gupta and Didier Sornette
The impact of a partial borrowing limit on financial decisions pp. 859-883 Downloads
Byung Hwa Lim and Minsuk Kwak

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
Renee 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
A. 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
Andre 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
Page updated 2019-07-15