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Quantitative Finance

2001 - 2019

Current editor(s): Michael Dempster and Jim Gatheral

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Volume 16, issue 12, 2016

Pricing regime-switching risk in an HJM interest rate environment pp. 1791-1800 Downloads
Robert J. Elliott and Tak Kuen Siu
Risk Parity Fundamentals pp. 1801-1802 Downloads
Sebastien Page
Calendar pp. 1803-1803 Downloads
The Editors
Special Issue of on ‘Commodity Markets’ pp. 1807-1808 Downloads
Christian-Oliver Ewald, Athanasios A. Pantelous and Georgios Sermpinis
Volatility forecasting of strategically linked commodity ETFs: gold-silver pp. 1809-1822 Downloads
Štefan Lyócsa and Peter Molnár
The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model pp. 1823-1842 Downloads
Christian-Oliver Ewald, Roy Nawar, Ruolan Ouyang and Tak Kuen Siu
A stochastic model for commodity pairs trading pp. 1843-1857 Downloads
Ahmet Göncü and Erdinc Akyildirim
Jumps and stochastic volatility in crude oil prices and advances in average option pricing pp. 1859-1873 Downloads
Ioannis Kyriakou, Panos K. Pouliasis and Nikos Papapostolou
Modelling, forecasting and trading with a new sliding window approach: the crack spread example pp. 1875-1886 Downloads
Andreas Karathanasopoulos, Christian Dunis and Samer Khalil
Is news related to GDP growth a risk factor for commodity futures returns? pp. 1887-1899 Downloads
Daniel Tsvetanov, Jerry Coakley and Neil Kellard
Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities pp. 1901-1915 Downloads
Charalampos Stasinakis, Georgios Sermpinis, Ioannis Psaradellis and Thanos Verousis
Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling pp. 1917-1928 Downloads
Wei Yang, Ai Han, Yongmiao Hong and Shouyang Wang
Prediction of extreme price occurrences in the German day-ahead electricity market pp. 1929-1948 Downloads
Lars Ivar Hagfors, Hilde Hørthe Kamperud, Florentina Paraschiv, Marcel Prokopczuk, Alma Sator and Sjur Westgaard
Modelling and pricing of catastrophe risk bonds with a temperature-based agricultural application pp. 1949-1959 Downloads
N. Karagiannis, H. Assa, A. A. Pantelous and Calum Turvey
Oil prices and sovereign credit risk of oil producing countries: an empirical investigation pp. 1961-1968 Downloads
Christoph Wegener, Tobias Basse, Frederik Kunze and Hans-Jörg von Mettenheim
Editorial Board pp. ebi-ebi Downloads
The Editors
Erratum pp. ei-ei Downloads
The Editors

Volume 16, issue 11, 2016

Bifurcation patterns of market regime transition pp. 1631-1636 Downloads
Sergey Kamenshchikov
Efficiently Inefficient: How Smart Money Invests & Market Prices Are Determined pp. 1637-1639 Downloads
Tapio Pekkala
Calendar pp. 1641-1641 Downloads
The Editors
Dynamic mode decomposition for financial trading strategies pp. 1643-1655 Downloads
Jordan Mann and J. Nathan Kutz
Detecting intraday financial market states using temporal clustering pp. 1657-1678 Downloads
D. Hendricks, T. Gebbie and D. Wilcox
Losing sight of the trees for the forest? Attention allocation and anomalies pp. 1679-1693 Downloads
Heiko Jacobs and Martin Weber
Forecasting stock market returns over multiple time horizons pp. 1695-1712 Downloads
Dimitri Kroujiline, Maxim Gusev, Dmitry Ushanov, Sergey V. Sharov and Boris Govorkov
Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets pp. 1713-1724 Downloads
Zhi-Qiang Jiang, Askery Canabarro, Boris Podobnik, H. Eugene Stanley and Wei-Xing Zhou
Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk pp. 1725-1740 Downloads
S. Simaitis, C. S. L. de Graaf, N. Hari and D. Kandhai
Numerical methods for dynamic Bertrand oligopoly and American options under regime switching pp. 1741-1762 Downloads
Swathi Amarala and Justin W. L. Wan
Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach pp. 1763-1789 Downloads
Chung-Shin Liu, Meng-Shiuh Chang, Ximing Wu and Chin Man Chui
Erratum pp. ei-ei Downloads
The Editors

Volume 16, issue 10, 2016

A flexible spot multiple-curve model pp. 1465-1477 Downloads
Martino Grasselli and Giulio Miglietta
Learning from Data pp. 1479-1482 Downloads
Riccardo Rebonato
Calendar pp. 1483-1483 Downloads
The Editors
Expected shortfall estimation for apparently infinite-mean models of operational risk pp. 1485-1494 Downloads
Pasquale Cirillo and Nassim Nicholas Taleb
From insurance risk to credit portfolio management: a new approach to pricing CDOs pp. 1495-1510 Downloads
Alessandro Andreoli, Luca Vincenzo Ballestra and Graziella Pacelli
Enhanced equity-credit modelling for contingent convertibles pp. 1511-1527 Downloads
Tsz-Kin Chung and Yue-Kuen Kwok
Valuation of American options under the CGMY model pp. 1529-1539 Downloads
Xu Guo and Yutian Li
The profitability of pairs trading strategies: distance, cointegration and copula methods pp. 1541-1558 Downloads
Hossein Rad, Rand Kwong Yew Low and Robert Faff
A pairs trading strategy based on linear state space models and the Kalman filter pp. 1559-1573 Downloads
Carlos Eduardo de Moura, Adrian Pizzinga and Jorge Zubelli
Dynamic asset–liability management in a Markov market with stochastic cash flows pp. 1575-1597 Downloads
Haixiang Yao, Xun Li, Zhifeng Hao and Yong Li
Elimination of systemic risk in financial networks by means of a systemic risk transaction tax pp. 1599-1613 Downloads
Sebastian Poledna and Stefan Thurner
Correlation estimation using components of Japanese candlesticks pp. 1615-1630 Downloads
V. Popov

Volume 16, issue 9, 2016

Risk minimization and portfolio diversification pp. 1325-1332 Downloads
Farzad Pourbabaee, Minsuk Kwak and Traian A. Pirvu
Model Risk in Financial Markets: From Financial Engineering to Risk Management pp. 1333-1337 Downloads
Mark Cummins, Orla McCullagh and Bernard Murphy
Calendar pp. 1339-1339 Downloads
The Editors
Optimal static quadratic hedging pp. 1341-1355 Downloads
Tim Leung and Matthew Lorig
Model risk of contingent claims pp. 1357-1374 Downloads
Nils Detering and Natalie Packham
Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes pp. 1375-1391 Downloads
Pingping Zeng and Yue Kuen Kwok
Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions pp. 1393-1411 Downloads
Yijie Peng, Michael C. Fu and Jian-Qiang Hu
Fed funds futures variance futures pp. 1413-1422 Downloads
Damir Filipović and Anders B. Trolle
Estimation of zero-intelligence models by L1 data pp. 1423-1444 Downloads
Martin Šmíd
Reducing transaction costs with low-latency trading algorithms pp. 1445-1451 Downloads
Sasha Stoikov and Rolf Waeber
US stock returns: are there seasons of excesses? pp. 1453-1464 Downloads
Marco Bee, Debbie J. Dupuis and Luca Trapin

Volume 16, issue 8, 2016

A new variance reduction method for option pricing based on sampling the vertices of a simplex pp. 1165-1173 Downloads
Jong Jun Park and Geon Ho Choe
Algorithmic and High Frequency Trading pp. 1175-1176 Downloads
Marcos Lopez de Prado
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics pp. 1179-1201 Downloads
Emmanuel Bacry, Thibault Jaisson and Jean--François Muzy
A model for interest rates with clustering effects pp. 1203-1218 Downloads
Donatien Hainaut
Market procyclicality and systemic risk pp. 1219-1235 Downloads
P. Tasca and S. Battiston
The premium of dynamic trading in a discrete-time setting pp. 1237-1257 Downloads
Haixiang Yao, ZhongFei Li and Xingyi Li
On an automatic and optimal importance sampling approach with applications in finance pp. 1259-1271 Downloads
Huei-Wen Teng, Cheng-Der Fuh and Chun-Chieh Chen
Beyond CAPM: estimating the cost of equity considering idiosyncratic risks pp. 1273-1296 Downloads
Enrico Laghi and Michele Di Marcantonio
When do jumps matter for portfolio optimization? pp. 1297-1311 Downloads
Marius Ascheberg, Nicole Branger, Holger Kraft and Frank Thomas Seifried
American-style options in jump-diffusion models: estimation and evaluation pp. 1313-1324 Downloads
Hatem Ben-Ameur, Rim Chérif and Bruno Rémillard

Volume 16, issue 7, 2016

Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates pp. 997-1008 Downloads
Mark Joshi and Navin Ranasinghe
Mostly Harmless Econometrics: An Empiricist’s Companion; Mastering ‘Metrics: The Path from Cause to Effect pp. 1009-1013 Downloads
Riccardo Rebonato
Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility pp. 1019-1036 Downloads
John Birge and Luis Chavez-Bedoya
Dependence calibration and portfolio fit with factor-based subordinators pp. 1037-1052 Downloads
Elisa Luciano, Marina Marena and Patrizia Semeraro
A semiparametric graphical modelling approach for large-scale equity selection pp. 1053-1067 Downloads
Han Liu, John Mulvey and Tianqi Zhao
Elliptical tempered stable distribution pp. 1069-1087 Downloads
Hassan A. Fallahgoul, Young S. Kim and Frank J. Fabozzi
Modelling electricity prices: a time change approach pp. 1089-1109 Downloads
Lingfei Li, Rafael Mendoza-Arriaga, Zhiyu Mo and Daniel Mitchell
An alternative method to estimate parameters in modelling the behaviour of commodity prices pp. 1111-1127 Downloads
Andrés García-Mirantes, Beatriz Larraz and Javier Población
Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy pp. 1129-1145 Downloads
Huawei Niu and Dingcheng Wang
Recovering the real-world density and liquidity premia from option data pp. 1147-1164 Downloads
Mathias Barkhagen, Jörgen Blomvall and Eckhard Platen

Volume 16, issue 6, 2016

A forward equation for barrier options under the Brunick & Shreve Markovian projection pp. 827-838 Downloads
Ben Hambly, Matthieu Mariapragassam and Christoph Reisinger
The Social Value of the Financial Sector: Too Big to Fail or Just Too Big? pp. 839-843 Downloads
Richard Barwell
Rational multi-curve models with counterparty-risk valuation adjustments pp. 847-866 Downloads
Stéphane Crépey, Andrea Macrina, Tuyet Mai Nguyen and David Skovmand
Analytical pricing of single barrier options under local volatility models pp. 867-886 Downloads
Hideharu Funahashi and Masaaki Kijima
Pricing under rough volatility pp. 887-904 Downloads
Christian Bayer, Peter Friz and Jim Gatheral
Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees pp. 905-928 Downloads
Yao Tung Huang and Yue Kuen Kwok
Partial hedging and cash requirements in discrete time pp. 929-945 Downloads
Erdnç Akyildirim and Albert Altarovici
Approximation methods for multiple period Value at Risk and Expected Shortfall prediction pp. 947-968 Downloads
Carl Lönnbark
Trading profitability from learning and adaptation on the Tokyo Stock Exchange pp. 969-996 Downloads
Ryuichi Yamamoto

Volume 16, issue 5, 2016

Ross recovery with recurrent and transient processes pp. 667-676 Downloads
Hyungbin Park
FX Option Performance: An Analysis of the Value Delivered by FX Options Since the Start of the Market pp. 677-678 Downloads
Barry Ryan
Performance ratio-based coherent risk measure and its application pp. 681-693 Downloads
Zhiping Chen, Qianhui Hu and Ruiyue Lin
Evaluation of volatility predictions in a VaR framework pp. 695-709 Downloads
Alessandra Amendola and V. Candila
Analytic approximation formulae for European crack spread options pp. 711-725 Downloads
M.A. Aba Oud and J. Goard
Valuation of forward start options under affine jump-diffusion models pp. 727-747 Downloads
João Pedro Vidal Nunes and Tiago Ramalho Viegas Alcaria
Detecting and modelling the jump risk of CO 2 emission allowances and their impact on the valuation of option on futures contracts pp. 749-762 Downloads
Sharon S. Yang, Jr-Wei Huang and Chuang-Chang Chang
Optimal hedging in an extended binomial market under transaction costs pp. 763-776 Downloads
Norman Josephy, Lucia Kimball and Victoria Steblovskaya
Predicting recovery rates using logistic quantile regression with bounded outcomes pp. 777-792 Downloads
Jhao-Siang Siao, Ruey-Ching Hwang and Chih-Kang Chu
Prediction of stock price movement based on daily high prices pp. 793-826 Downloads
Marija Gorenc Novak and Dejan Velušček

Volume 16, issue 4, 2016

Forecasting risk via realized GARCH, incorporating the realized range pp. 501-511 Downloads
Richard Gerlach and Chao Wang
Econophysics and Physical Economics pp. 513-515 Downloads
Chris Hunter
Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal pp. 519-533 Downloads
Mark S. Joshi
General closed-form basket option pricing bounds pp. 535-554 Downloads
Ruggero Caldana, Gianluca Fusai, Alessandro Gnoatto and Martino Grasselli
The multivariate Variance Gamma model: basket option pricing and calibration pp. 555-572 Downloads
Daniël Linders and Ben Stassen
Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion pp. 573-592 Downloads
Son-Nan Chen, Pao-Peng Hsu and Chang-Yi Li
Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offs pp. 593-603 Downloads
Jingtang Ma, Dongya Deng and Harry Zheng
Exploring the total positivity of yields correlations pp. 605-624 Downloads
A. Goia and E. Salinelli
Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas pp. 625-637 Downloads
Paulo Horta, Sérgio Lagoa and Luis Martins
Optimal pricing barriers in a regulated market using reflected diffusion processes pp. 639-647 Downloads
Zheng Han, Yaozhong Hu and Chihoon Lee
Reversal of Monday returns pp. 649-665 Downloads
Numan Ülkü and Kristiyan Andonov

Volume 16, issue 3, 2016

Regulatory arbitrage of risk measures pp. 337-347 Downloads
Ruodu Wang
Probably Approximately Correct pp. 349-353 Downloads
Riccardo Rebonato
Least-squares approach to risk parity in portfolio selection pp. 357-376 Downloads
Xi Bai, Katya Scheinberg and Reha Tutuncu
Risk parity portfolios with risk factors pp. 377-388 Downloads
T. Roncalli and G. Weisang
Normally distributed high-frequency returns: a subordination approach pp. 389-409 Downloads
Ata Türkoğlu
A nesting framework for Markov-switching GARCH modelling with an application to the German stock market pp. 411-426 Downloads
Gerrit Reher and Bernd Wilfling
A polynomial scheme of asymptotic expansion for backward SDEs and option pricing pp. 427-445 Downloads
Masaaki Fujii
Partial differential equations for Asian option prices pp. 447-460 Downloads
Christine Brown, J. C. Handley, C.-T. Lin and K. J. Palmer
Minimizing CVaR in global dynamic hedging with transaction costs pp. 461-475 Downloads
F. Godin
Oil price and FX-rates dependency pp. 477-488 Downloads
Joscha Beckmann, Theo Berger and Robert Czudaj
Macroeconomic impacts on commodity prices: China vs. the United States pp. 489-500 Downloads
Libo Yin and Liyan Han

Volume 16, issue 2, 2016

Theoretical decompositions of the cross-sectional dispersion of stock returns pp. 169-180 Downloads
Andrew Grant and Steve Satchell
Interest Rate Modelling in the Multi-curve Framework pp. 181-182 Downloads
Massimo Morini
Special Issue on Stochastic Optimization Approaches to Financial and Energy Markets pp. 187-188 Downloads
Giorgio Consigli and Yves Smeers
Building a stochastic programming model from scratch: a harvesting management example pp. 189-199 Downloads
Ignacio Rios, Andres Weintraub and Roger J.-B. Wets
A parsimonious model for generating arbitrage-free scenario trees pp. 201-212 Downloads
Andrea Consiglio, Angelo Carollo and Stavros Zenios
A non-parametric structural hybrid modeling approach for electricity prices pp. 213-230 Downloads
S. Moazeni, M. Coulon, I. Arciniegas Rueda, B. Song and W.B. Powell
Real options valuation applied to transmission expansion planning pp. 231-246 Downloads
S. Lumbreras, D. W. Bunn, A. Ramos and M. Chronopoulos
Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation pp. 247-257 Downloads
Georg Ch. Pflug and Philipp Thoma
Modeling and evaluation of the option book hedging problem using stochastic programming pp. 259-273 Downloads
Mathias Barkhagen and Jörgen Blomvall
Optimal retirement planning with a focus on single and joint life annuities pp. 275-295 Downloads
Agnieszka Karolina Konicz, David Pisinger and Alex Weissensteiner
A uniformly distributed random portfolio pp. 297-307 Downloads
Woo Chang Kim and Yongjae Lee
A dynamical systems model of price bubbles and cycles pp. 309-336 Downloads
Vinod Cheriyan and Anton J. Kleywegt

Volume 16, issue 1, 2016

The limits of statistical significance of Hawkes processes fitted to financial data pp. 1-11 Downloads
Mehdi Lallouache and Damien Challet
Portfolio Management under Stress pp. 13-14 Downloads
Bernd Scherer
American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics pp. 17-30 Downloads
Ankush Agarwal, Sandeep Juneja and Ronnie Sircar
On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation pp. 31-42 Downloads
Elisa Alòs and Jorge A. León
Time-varying forecasts by variational approximation of sequential Bayesian inference pp. 43-67 Downloads
Hui ‘Fox’ Ling and Douglas B. Stone
Random matrix application to correlations amongst the volatility of assets pp. 69-83 Downloads
Ajay Singh and Dinghai Xu
Investing in the size factor pp. 85-100 Downloads
Juan Laborda, Ricardo Laborda and Jose Olmo
Optimal capital growth with convex shortfall penalties pp. 101-117 Downloads
Leonard C. MacLean, Yonggan Zhao and William T. Ziemba
Analytic bond pricing for short rate dynamics evolving on matrix Lie groups pp. 119-129 Downloads
Nengli Lim and Nicolas Privault
Portfolio credit risk with predetermined default orders pp. 131-149 Downloads
Lian Tang, Bin Wang and Kai-Nan Xiang
Conditional higher order moments in metal asset returns pp. 151-167 Downloads
Steven J. Cochran, Iqbal Mansur and Babatunde Odusami
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