Economics at your fingertips  

Quantitative Finance

2001 - 2019

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.
Track citations for all items by RSS feed
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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
Page updated 2019-06-26