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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 17, issue 12, 2017

An empirical method of calculating the term premium pp. 1783-1793 Downloads
Jessica James, Michael Leister and Christoph Rieger
Financial Enterprise Risk Management pp. 1795-1797 Downloads
Riccardo Rebonato
Calendar pp. 1799-1799 Downloads
The Editors
Applications sought for book review editor from 2018 pp. 1800-1800 Downloads
The Editors
Special Issue of on ‘Systemic risk analytics’ pp. 1803-1804 Downloads
Peter Sarlin and Tuomas Peltonen
Can bank-specific variables predict contagion effects? pp. 1805-1832 Downloads
Christoph Siebenbrunner, Michael Sigmund and Stefan Kerbl
Financial networks and interconnectedness in an advanced emerging market economy pp. 1833-1858 Downloads
Ariel J. Sun and Jorge A. Chan-Lau
Monitoring systemic risk in the hedge fund sector pp. 1859-1883 Downloads
Frank Hespeler and Giuseppe Loiacono
Multichannel contagion and systemic stabilisation strategies in interconnected financial markets pp. 1885-1904 Downloads
Antoaneta Sergueiva, V. L. Raju Chinthalapati, Thanos Verousis and Louisa Chen
Equity markets’ clustering and the global financial crisis pp. 1905-1922 Downloads
Carlos León, Geun-Young Kim, Constanza Martínez and Daeyup Lee
Network reconstruction with UK CDS trade repository data pp. 1923-1932 Downloads
William Abel and Laura Silvestri
Toward robust early-warning models: a horse race, ensembles and model uncertainty pp. 1933-1963 Downloads
Markus Holopainen and Peter Sarlin
Dissecting the financial cycle with dynamic factor models pp. 1965-1994 Downloads
Christian Menden and Christian Proaño
Sovereign risk in the Euro area: a multivariate stochastic process approach pp. 1995-2008 Downloads
Paolo Giudici and Laura Parisi

Volume 17, issue 11, 2017

‘To have what they are having’: portfolio choice for mimicking mean–variance savers pp. 1645-1653 Downloads
Vasyl Golosnoy and Nestor Parolya
The Production of Money: How to Break the Power of Bankers pp. 1655-1657 Downloads
Diane Coyle
Calendar pp. 1659-1659 Downloads
The Editors
Option pricing under short-lived arbitrage: theory and tests pp. 1661-1681 Downloads
Jimmy E. Hilliard and Jitka Hilliard
Backward simulation methods for pricing American options under the CIR process pp. 1683-1695 Downloads
Wenbin Hu and Junzi Zhou
Determining the integrated volatility via limit order books with multiple records pp. 1697-1714 Downloads
Yiqi Liu, Qiang Liu, Zhi Liu and Deng Ding
HARA utility maximization in a Markov-switching bond–stock market pp. 1715-1733 Downloads
M. Escobar, D. Neykova and R. Zagst
On the properties of the Lambda value at risk: robustness, elicitability and consistency pp. 1735-1743 Downloads
M. Burzoni, I. Peri and C. M. Ruffo
Factor pricing in commodity futures and the role of liquidity pp. 1745-1757 Downloads
Terence Tai Leung Chong, Sunny Chun Tsui and Wing Chan
Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition pp. 1759-1782 Downloads
Lin Zhao and Sweder van Wijnbergen

Volume 17, issue 10, 2017

FX options in target zones pp. 1477-1486 Downloads
Peter P. Carr and Zura Kakushadze
The Undoing Project: A Friendship that Changed the World pp. 1487-1488 Downloads
Andreas Kapsner
Calendar pp. 1489-1489 Downloads
The Editors
Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios pp. 1491-1507 Downloads
Jingnan Chen, Mark D. Flood and Richard B. Sowers
Bond yields and debt supply: new evidence through the lens of a preferred-habitat model pp. 1509-1522 Downloads
Till Strohsal
Optimising the multilateral netting of fungible OTC derivatives pp. 1523-1534 Downloads
Dominic O’Kane
Hedging efficiently under correlation pp. 1535-1547 Downloads
Roberto Daluiso and Massimo Morini
On an efficient multiple time step Monte Carlo simulation of the SABR model pp. 1549-1565 Downloads
Álvaro Leitao, Lech A. Grzelak and Cornelis W. Oosterlee
Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance pp. 1567-1581 Downloads
Chou-Wen Wang, Sharon S. Yang and Jr-Wei Huang
A mixed C-vine copula model for hedging price and volumetric risk in wind power trading pp. 1583-1600 Downloads
Anca Pircalabu and Jesper Jung
Latency and liquidity provision in a limit order book pp. 1601-1616 Downloads
Julius Bonart and Martin D. Gould
Testing weak exogeneity in multiplicative error models pp. 1617-1630 Downloads
Kul B. Luintel and Yongdeng Xu
Dynamic mean–VaR portfolio selection in continuous time pp. 1631-1643 Downloads
Ke Zhou, Jiangjun Gao, Duan Li and Xiangyu Cui

Volume 17, issue 9, 2017

Assessing the effectiveness of local and global quadratic hedging under GARCH models pp. 1305-1318 Downloads
Maciej Augustyniak, Frédéric Godin and Clarence Simard
Money changes everything: how finance made civilization possible pp. 1319-1322 Downloads
Alexander Lipton
Calendar pp. 1323-1323 Downloads
The Editors
Approximate pricing of swaptions in affine and quadratic models pp. 1325-1345 Downloads
Anna Maria Gambaro, Ruggero Caldana and Gianluca Fusai
A novel Monte Carlo approach to hybrid local volatility models pp. 1347-1366 Downloads
Anthonie W. van der Stoep, Lech A. Grzelak and Cornelis W. Oosterlee
A re-examination of Libor rigging: a time-varying cointegration perspective pp. 1367-1386 Downloads
Chew Chua, Sandy Suardi and Yuanchen Chang
How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates pp. 1387-1401 Downloads
Ally Quan Zhang and Matthias Thul
Practical Bayesian support vector regression for financial time series prediction and market condition change detection pp. 1403-1416 Downloads
T. Law and J. Shawe-Taylor
Extreme risk spillover network: application to financial institutions pp. 1417-1433 Downloads
Gang-Jin Wang, Chi Xie, Kaijian He and H. Eugene Stanley
Systemic risk and dynamics of contagion: a duplex inter-bank network pp. 1435-1445 Downloads
Ding Ding, Liyan Han and Libo Yin
The lead–lag relationship between the spot and futures markets in China pp. 1447-1456 Downloads
Donghua Wang, Jingqing Tu, Xiaohui Chang and Saiping Li
Recursive risk measures under regime switching applied to portfolio selection pp. 1457-1476 Downloads
Zhiping Chen, Jia Liu and Yongchang Hui

Volume 17, issue 8, 2017

Optimal execution strategy and liquidity adjusted value-at-risk pp. 1147-1157 Downloads
Yasong Jin
Optimal Mean Reversion Trading pp. 1159-1164 Downloads
Henri Leowski
Calendar pp. 1165-1165 Downloads
The Editors
Modified profile likelihood inference and interval forecast of the burst of financial bubbles pp. 1167-1186 Downloads
V. Filimonov, Guilherme Demos and D. Sornette
Herding behaviour and volatility clustering in financial markets pp. 1187-1203 Downloads
Noemi Schmitt and Frank Westerhoff
Dynamic factor long memory volatility pp. 1205-1221 Downloads
Richard Harris and Anh T. H. Nguyen
An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern pp. 1223-1241 Downloads
Kuang-Liang Chang and Shih-Ti Yu
No-arbitrage bounds for the forward smile given marginals pp. 1243-1256 Downloads
Sergey Badikov, Antoine Jacquier, Daphne Qing Liu and Patrick Roome
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model pp. 1257-1275 Downloads
Maria Cristina Recchioni, Yu Sun and Gabriele Tedeschi
Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis pp. 1277-1304 Downloads
Hui ‘Fox’ Ling and Christian Franzen

Volume 17, issue 7, 2017

Examining the profitability of automatic trading strategies with a focus on trend indicators pp. 979-991 Downloads
Erhard Reschenhofer and Thomas Sinkovics
Option Valuation under Stochastic Volatility II: With Mathematica Code pp. 993-995 Downloads
David Pottinton
Calendar pp. 997-997 Downloads
The Editors
The role of volume in order book dynamics: a multivariate Hawkes process analysis pp. 999-1020 Downloads
Marcello Rambaldi, Emmanuel Bacry and Fabrizio Lillo
The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data pp. 1021-1035 Downloads
Nick Taylor and Yongdeng Xu
Optimal portfolio positioning within generalized Johnson distributions pp. 1037-1055 Downloads
N. Naguez and Jean-Luc Prigent
Last look pp. 1057-1070 Downloads
Roel Oomen
A structural framework for modelling contingent capital pp. 1071-1088 Downloads
J. Li, A. Metzler and R. M. Reesor
Online Kernel estimation of stationary stochastic diffusion models pp. 1089-1103 Downloads
Xin Wang
Algebraic structure of vector fields in financial diffusion models and its applications pp. 1105-1117 Downloads
Yusuke Morimoto and Makiko Sasada
An analytical approximation for pricing VWAP options pp. 1119-1133 Downloads
Hideharu Funahashi and Masaaki Kijima
Credibilistic risk aversion pp. 1135-1145 Downloads
Yuanyuan Liu, Jian Zhou and Athanasios A. Pantelous

Volume 17, issue 6, 2017

CoCo bonds and implied CET1 volatility pp. 813-824 Downloads
Jan De Spiegeleer, Stephan Höcht, Ine Marquet and Wim Schoutens
Stochastic Volatility Modeling pp. 825-828 Downloads
Julien Guyon
Calendar pp. 829-829 Downloads
The Editors
Quasi-centralized limit order books pp. 831-853 Downloads
Martin D. Gould, Mason A. Porter and Sam D. Howison
Pricing via recursive quantization in stochastic volatility models pp. 855-872 Downloads
Giorgia Callegaro, Lucio Fiorin and Martino Grasselli
Geometric Asian option pricing in general affine stochastic volatility models with jumps pp. 873-888 Downloads
Friedrich Hubalek, Martin Keller-Ressel and Carlo Sgarra
Efficient willow tree method for European-style and American-style moving average barrier options pricing pp. 889-906 Downloads
Ling Lu, Wei Xu and Zhehui Qian
Calibrating a market model with stochastic volatility to commodity and interest rate risk pp. 907-925 Downloads
P. Karlsson, K. F. Pilz and Erik Schlogl
A joint model for temperature and natural gas with an application to the US market pp. 927-941 Downloads
Roberto Baviera and Teodoro Federico Mainetti
The shape of small sample biases in pricing kernel estimations pp. 943-958 Downloads
Dietmar P. J. Leisen
Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies pp. 959-977 Downloads
Hao Meng, Hai-Chuan Xu, Wei-Xing Zhou and Didier Sornette

Volume 17, issue 5, 2017

Birth or burst of financial bubbles: which one is easier to diagnose? pp. 657-675 Downloads
Guilherme Demos and D. Sornette
Asset Management: A Systematic Approach to Factor Investing pp. 677-680 Downloads
Riccardo Rebonato
Calendar pp. 681-681 Downloads
The Editors
Modelling intensities of order flows in a limit order book pp. 683-701 Downloads
Ioane Muni Toke and Nakahiro Yoshida
Model-based pairs trading in the bitcoin markets pp. 703-716 Downloads
P. S. Lintilhac and A. Tourin
Low-latency liquidity inefficiency strategies pp. 717-727 Downloads
Christian Oesch and Dietmar Maringer
Tail-risk protection trading strategies pp. 729-744 Downloads
N. Packham, J. Papenbrock, P. Schwendner and F. Woebbeking
The dynamics of leveraged ETFs returns: a panel data study pp. 745-761 Downloads
Antoine Giannetti
Binary switch portfolio pp. 763-780 Downloads
Tengfei Li, Kani Chen, Yang Feng and Zhiliang Ying
Interacting default intensity with a hidden Markov process pp. 781-794 Downloads
Feng-Hui Yu, Wai-Ki Ching, Jia-Wen Gu and Tak Kuen Siu
Predictability of structural co-movement in commodity prices: the role of technical indicators pp. 795-812 Downloads
Libo Yin, Qingyuan Yang and Zhi Su

Volume 17, issue 4, 2017

Penalizing variances for higher dependency on factors pp. 479-489 Downloads
Jang Ho Kim, Woo Chang Kim and Frank J. Fabozzi
Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling pp. 491-494 Downloads
Jean Czerlinski Whitmore
Calendar pp. 495-495 Downloads
The Editors
Pricing options on mean reverting underliers pp. 497-513 Downloads
Dilip B. Madan
The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments pp. 515-529 Downloads
Simon Ellersgaard, Martin Jönsson and Rolf Poulsen
Pricing and hedging contingent claims using variance and higher order moment swaps pp. 531-550 Downloads
Leonidas Rompolis and Elias Tzavalis
Arithmetic variance swaps pp. 551-569 Downloads
Stamatis Leontsinis and Carol Alexander
An estimation procedure for the Hawkes process pp. 571-595 Downloads
Matthias Kirchner
Risk-based capital for credit insurers with business cycles and dynamic leverage pp. 597-612 Downloads
Issouf Soumaré and Ernest Tafolong
Identification and critical time forecasting of real estate bubbles in the USA pp. 613-631 Downloads
Diego Ardila, Dorsa Sanadgol, Peter Cauwels and Didier Sornette
Systemic risk in the European sovereign and banking system pp. 633-656 Downloads
Simon Xu, Francis In, Catherine Forbes and Inchang Hwang

Volume 17, issue 3, 2017

Optimal portfolios with downside risk pp. 315-325 Downloads
Fima Klebaner, Zinoviy Landsman, Udi Makov and Jing Yao
A Random Walk Down Wall Street: The Time-Tested Strategy For Successful Investing pp. 327-330 Downloads
Antonios Sangvinatsos
Call for Papers: Special Issue on “Hawkes Processes in Finance” pp. 331-331 Downloads
The Editors
Calendar pp. 333-333 Downloads
The Editors
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management pp. 335-351 Downloads
Duy-Minh Dang, P. A. Forsyth and K. R. Vetzal
Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms pp. 353-367 Downloads
N. Grishina, C. A. Lucas and P. Date
Forecasting trends with asset prices pp. 369-382 Downloads
Ahmed Bel Hadj Ayed, Grégoire Loeper and Frédéric Abergel
Execution in an aggregator pp. 383-404 Downloads
Roel Oomen
Time series momentum and moving average trading rules pp. 405-421 Downloads
Ben Marshall, Nhut H. Nguyen and Nuttawat Visaltanachoti
24-Hour realized volatilities and transatlantic volatility interdependence pp. 423-435 Downloads
Robert Maderitsch
A new time-varying optimal copula model identifying the dependence across markets pp. 437-453 Downloads
Bing-Yue Liu, Qiang Ji and Ying Fan
Rollover risk and credit risk under time-varying margin pp. 455-469 Downloads
Xuezhong He, Eva Lütkebohmert and Yajun Xiao
Risk based capital for guaranteed minimum withdrawal benefit pp. 471-478 Downloads
Runhuan Feng and Jan Vecer

Volume 17, issue 2, 2017

Call option compensation and managers’ intertemporal risk-taking behaviour pp. 157-164 Downloads
Katarzyna Romaniuk
Phishing for Phools: The Economics of Manipulation & Deception pp. 165-167 Downloads
Taylor Spears
Calendar pp. 169-169 Downloads
The Editors
Quadratic Hawkes processes for financial prices pp. 171-188 Downloads
P. Blanc, J. Donier and J.-P. Bouchaud
Short-time at-the-money skew and rough fractional volatility pp. 189-198 Downloads
Masaaki Fukasawa
Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility pp. 199-215 Downloads
Richard Gerlach, Declan Walpole and Chao Wang
Profiling high-frequency equity price movements in directional changes pp. 217-225 Downloads
Edward P. K. Tsang, Ran Tao, Antoaneta Serguieva and Shuai Ma
Double-jump diffusion model for VIX: evidence from VVIX pp. 227-240 Downloads
Xin Zang, Jun Ni, Jing-Zhi Huang and Lan Wu
Optimal investment under multi-factor stochastic volatility pp. 241-260 Downloads
Marcos Escobar, Sebastian Ferrando and Alexey Rubtsov
Estimating discrete dividends by no-arbitrage pp. 261-274 Downloads
Sascha Desmettre, Sarah Grün and Frank Thomas Seifried
Alternative to beta coefficients in the context of diffusions pp. 275-288 Downloads
Guillaume Bernis and Simone Scotti
Transitions in the stock markets of the US, UK and Germany pp. 289-297 Downloads
Matthias Raddant and Friedrich Wagner
Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market pp. 299-313 Downloads
Luca Vincenzo Ballestra, Graziella Pacelli and Davide Radi

Volume 17, issue 1, 2017

Risk premia: asymmetric tail risks and excess returns pp. 1-14 Downloads
Y. Lempérière, C. Deremble, T. T. Nguyen, P. Seager, M. Potters and J. P. Bouchaud
Behavioral Risk Management pp. 15-18 Downloads
Riccardo Rebonato
Calendar pp. 19-19 Downloads
The Editors
Optimal order placement in limit order markets pp. 21-39 Downloads
Rama Cont and Arseniy Kukanov
Optimal execution with non-linear transient market impact pp. 41-54 Downloads
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
Optimal execution with uncertain order fills in Almgren–Chriss framework pp. 55-69 Downloads
Xue Cheng, Marina Di Giacinto and Tai-Ho Wang
A behavioural model of investor sentiment in limit order markets pp. 71-86 Downloads
Carl Chiarella, Xuezhong He, Lei Shi and Lijian Wei
Intraday pairs trading strategies on high frequency data: the case of oil companies pp. 87-100 Downloads
Bo Liu, Lo-Bin Chang and Hélyette Geman
Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information pp. 101-120 Downloads
Mattia Montagna and Thomas Lux
Risk forecasting in (T)GARCH models with uncorrelated dependent innovations pp. 121-137 Downloads
Benjamin Beckers, Helmut Herwartz and Moritz Seidel
Smooth nonparametric Bernstein vine copulas pp. 139-156 Downloads
Marcus Scheffer and Gregor N. F. Weiß
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