Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 23, issue 12, 2023

Smiles in delta pp. 1713-1728

Arianna Mingone

Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices pp. 1729-1730

Damir Filipovic

Effective stochastic local volatility models pp. 1731-1750

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

Thomas R. Bollinger, William R. Melick and Charles Thomas

Functional quantization of rough volatility and applications to volatility derivatives pp. 1769-1792

O. Bonesini, G. Callegaro and A. Jacquier

Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model pp. 1793-1813

M. Escobar-Anel, M. Kschonnek and R. Zagst

Dynamic core-satellite investing using higher order moments: an explicit solution pp. 1815-1831

Yanfeng Wang, Wanbo Lu and Kris Boudt

A basket half full: sparse portfolios pp. 1833-1852

Ekaterina Seregina

Cryptocurrency factor momentum pp. 1853-1869

Christian Fieberg, Gerrit Liedtke, Daniel Metko and Adam Zaremba

Rule-based trading on an order-driven exchange: a reassessment pp. 1871-1886

Alan Isaac and Vasudeva Ramaswamy

Volume 23, issue 11, 2023

Correction pp. i-i

The Editors

Can volatility solve the naive portfolio puzzle? pp. 1545-1560

Michael Curran, Patrick O'Sullivan and Ryan Zalla

Islamic Philanthropy: Exploring Zakat, Waqf, and Sadaqah in Islamic Finance and Economics pp. 1561-1563

Ubbadul Adzkiya’, Anis Fittria and Syamsul Wathani

Household financial health: a machine learning approach for data-driven diagnosis and prescription pp. 1565-1595

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

Sanghyeon Bae, Yongjae Lee and Woo Chang Kim

Technical analysis as a sentiment barometer and the cross-section of stock returns pp. 1617-1636

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

Eduardo Amorim Vilela de Salis and Leandro Maciel

A multi-curve HJM factor model for pricing and risk management pp. 1659-1675

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

Weinan Zhang and Pingping Zeng

On prices and returns in commercial prediction markets pp. 1699-1712

Karl Whelan

Volume 23, issue 10, 2023

Cross-impact of order flow imbalance in equity markets pp. 1373-1393

Rama Cont, Mihai Cucuringu and Chao Zhang

Book review pp. 1395-1396

Vladimir V. Piterbarg

A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection pp. 1397-1409

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

Saeed Marzban, Erick Delage and Jonathan Yu-Meng Li

Multivariate systemic risk measures and computation by deep learning algorithms pp. 1431-1444

A. Doldi, Y. Feng, J.-P. Fouque and M. Frittelli

A neuro-structural framework for bankruptcy prediction pp. 1445-1464

Christakis Charalambous, Spiros H. Martzoukos and Zenon Taoushianis

Distributionally robust end-to-end portfolio construction pp. 1465-1482

Giorgio Costa and Garud N. Iyengar

f-Betas and portfolio optimization with f-divergence induced risk measures pp. 1483-1496

Rui Ding

Bayesian nonparametric portfolio selection with rolling maximum drawdown control pp. 1497-1510

Xiaoling Mei, Yachong Wang and Weixuan Zhu

The role of fleeting orders on option expiration days pp. 1511-1529

Antonio Figueiredo, Pankaj Jain and Suchismita Mishra

Model-free analysis of real option exercise probability and timing pp. 1531-1544

Sang Baum Kang and Pascal Létourneau

Volume 23, issue 9, 2023

Stable dividends under linear-quadratic optimisation pp. 1199-1215

B. Avanzi, D. K. Falden and M. Steffensen

Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach pp. 1217-1219

Zezen Zainul Ali, Rahmatullah and Imaro Sidqi

Volatility is (mostly) path-dependent pp. 1221-1258

Julien Guyon and Jordan Lekeufack

Weak approximations and VIX option price expansions in forward variance curve models pp. 1259-1283

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

Mnacho Echenim, Emmanuel Gobet and Anne-Claire Maurice

A general approach for lookback option pricing under Markov models pp. 1305-1324

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

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

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

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

Robert Jarrow and Siguang Li

Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127) pp. 1053-1054

Michael Dempster

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation pp. 1055-1078

Anne MacKay, Marie-Claude Vachon and Zhenyu Cui

Option pricing under stochastic volatility models with latent volatility pp. 1079-1097

Jean-François Bégin and Frédéric Godin

From optimal martingales to randomized dual optimal stopping pp. 1099-1113

Denis Belomestny and John Schoenmakers

Optimal trading with transaction costs and short-term predictability pp. 1115-1127

Shashidhar Murthy and John K. Wald

Pairs trading with wavelet transform pp. 1129-1154

Burak Alparslan Eroğlu, Haluk Yener and Taner Yigit

Leveraged funds: robust replication and performance evaluation pp. 1155-1176

Paolo Guasoni and Eberhard Mayerhofer

Extracting implied volatilities from bank bonds pp. 1177-1197

Michele Leonardo Bianchi and Gian Luca Tassinari

Volume 23, issue 6, 2023

Weighted variance swaps hedge against impermanent loss pp. 901-911

Masaaki Fukasawa, Basile Maire and Marcus Wunsch

The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems pp. 913-915

Ria Kusumaningrum, Rully Trihantana and Tubagus Rifqy Thantawi

Deep-learning models for forecasting financial risk premia and their interpretations pp. 917-929

Andrew W. Lo and Manish Singh

A generative model of a limit order book using recurrent neural networks pp. 931-958

Hanna Hultin, Henrik Hult, Alexandre Proutiere, Samuel Samama and Ala Tarighati

Decomposing LIBOR in transition: evidence from the futures markets pp. 959-978

Jacob Bjerre Skov and David Skovmand

A subdiffusive stochastic volatility jump model pp. 979-1002

Jean-Loup Dupret and Donatien Hainaut

A statistical test of market efficiency based on information theory pp. 1003-1018

Xavier Brouty and Matthieu Garcin

Optimal asset allocation under search frictions and stochastic interest rate pp. 1019-1033

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

Henrique Guerreiro and João Guerra

Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering pp. 739-740

Mark Greenwood

Multivariate quadratic Hawkes processes—part I: theoretical analysis pp. 741-758

Cécilia Aubrun, Michael Benzaquen and Jean-Philippe Bouchaud

Coupled GARCH(1,1) model pp. 759-776

Huasheng Nie and Henri Waelbroeck

A data-driven deep learning approach for options market making pp. 777-797

Qianhui Lai, Xuefeng Gao and Lingfei Li

Delta hedging bitcoin options with a smile pp. 799-817

Carol Alexander and Arben Imeraj

Hedging cryptos with Bitcoin futures pp. 819-841

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

Olivier Menoukeu-Pamen, Guangli Xu and Xiaoyang Zhuo

Quantitative reverse stress testing, bottom up pp. 863-875

Claudio Albanese, Stéphane Crépey and Stefano Iabichino

A theoretical generalization of the Markowitz model incorporating skewness and kurtosis pp. 877-886

Pierpaolo Uberti

The timing of debt renegotiation and its implications for irreversible investment and capital structure pp. 887-900

Zhaojun Yang and Nanhui Zhu

Volume 23, issue 4, 2023

Metalearning of time series: an approximate dynamic programming approach pp. 539-551

Ricardo A. Collado and German Creamer

A Tour of C++, Third Edition pp. 553-555

Paul Bilokon

W-shaped implied volatility curves and the Gaussian mixture model pp. 557-577

Paul Glasserman and Dan Pirjol

The economics of time as it is embedded in the prices of options§ pp. 579-593

Dilip B. Madan and King Wang

A hybrid convolutional neural network with long short-term memory for statistical arbitrage pp. 595-613

P. Eggebrecht and Eva Lütkebohmert

Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks pp. 615-629

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

Andrew S. Na and Justin W. L. Wan

Simulated Greeks for American options pp. 653-676

Pascal Letourneau and Lars Stentoft

Pricing Asian options with stochastic convenience yield and jumps pp. 677-692

Christian-Oliver Ewald, Yuexiang Wu and Aihua Zhang

Hedging error as generalized timing risk pp. 693-703

Jiro Akahori, Flavia Barsotti and Y. Imamura

Persistence of jump-induced tail risk and limits to arbitrage pp. 705-719

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

Tommaso Mariotti, Fabrizio Lillo and Giacomo Toscano

A First Course in Random Matrix Theory for Physicists, Engineers and Data Scientists pp. 389-391

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

Carol Alexander and Michael Dakos

Integrating prediction in mean-variance portfolio optimization pp. 429-452

Andrew Butler and Roy H. Kwon

Kurtosis-based risk parity: methodology and portfolio effects pp. 453-469

M. D. Braga, C. R. Nava and Maria Zoia

Optimal asset allocation for commodity sovereign wealth funds pp. 471-495

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

Yuyang Cheng and Marcos Escobar-Anel

An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios pp. 521-537

William Smyth and Daniel Broby

Volume 23, issue 2, 2023

Analysis and modeling of client order flow in limit order markets pp. 187-205

Rama Cont, Mihai Cucuringu, Vacslav Glukhov and Felix Prenzel

Firefighting: The Financial Crisis and Its Lessons pp. 207-208

Jean-Philippe Bouchaud

Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing pp. 209-227

Christian Bayer, Chiheb Ben Hammouda and Raúl Tempone

SABR equipped with AI wings pp. 229-249

Hideharu Funahashi

Closed-form option pricing for exponential Lévy models: a residue approach pp. 251-278

Jean-Philippe Aguilar and Justin Lars Kirkby

Asymmetric short-rate model without lower bound pp. 279-295

Frédéric Vrins and Linqi Wang

Pricing commodity index options pp. 297-308

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

Chao Wang, Richard Gerlach and Qian Chen

Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks pp. 335-349

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

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

Maria Kosolapova, Michael Hanke and Alex Weissensteiner

Book review pp. 19-20

Gordon Lee

A two-step framework for arbitrage-free prediction of the implied volatility surface pp. 21-34

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

Zehua Zhang and Ran Zhao

Markovian approximations of stochastic Volterra equations with the fractional kernel pp. 53-70

Christian Bayer and Simon Breneis

The EWMA Heston model pp. 71-93

Léo Parent

Optimal reinsurance-investment with loss aversion under rough Heston model pp. 95-109

Jingtang Ma, Zhengyang Lu and Dengsheng Chen

Empirical deep hedging pp. 111-122

Oskari Mikkilä and Juho Kanniainen

Horizon effect on optimal retirement decision pp. 123-148

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

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

Hidetoshi Nakagawa and Hideyuki Takada