Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 21, issue 12, 2021

Portfolio insurers and constant weight traders: who will survive? pp. 1993-2004

Emilio Barucci, Pietro Dindo and Francesca Grassetti

An Introduction to Machine Learning in Quantitative Finance pp. 2005-2006

Gonçalo dos Reis and Calum Strange

An investigation of cryptocurrency data: the market that never sleeps pp. 2007-2024

David Vidal-Tomás

A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics pp. 2025-2054

Len Patrick Dominic M. Garces and Gerald H. L. Cheang

Dynamic patterns of daily lead-lag networks in stock markets pp. 2055-2068

Yongli Li, Chao Liu, Tianchen Wang and Baiqing Sun

Antinoise in U.S. equity markets pp. 2069-2087

Enoch Cheng and Clemens C. Struck

Revisiting the Samuelson hypothesis on energy futures pp. 2089-2101

W.-H. Liu

The interest rate factor in commodity markets pp. 2103-2118

Haicheng Shu

Time-frequency forecast of the equity premium pp. 2119-2135

Gonçalo Faria and Fabio Verona

Volume 21, issue 11, 2021

Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model pp. 1791-1805

Zhiyuan Pan, Yudong Wang and Li Liu

The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative pp. 1807-1808

Rosario Mantegna

CMS spread options pp. 1809-1824

Patrick S. Hagan, Andrew S. Lesniewski, G. E. Skoufis and Diana E. Woodward

Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies pp. 1825-1853

Alla Petukhina, Simon Trimborn, Wolfgang Härdle and Hermann Elendner

Why has the equal weight portfolio underperformed and what can we do about it? pp. 1855-1868

B. H. Taljaard and E. Maré

When do two- or three-fund separation theorems hold? pp. 1869-1883

Carole Bernard, Corrado De Vecchi and Steven Vanduffel

The limitations of estimating implied densities from option prices pp. 1885-1904

Austin Shelton, Hayden Kane and Charles Favreau

Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective pp. 1905-1919

Simon Behrendt

The Hull–White model under volatility uncertainty pp. 1921-1933

Julian Hölzermann

Implied Markov transition matrices under structural price models pp. 1935-1954

Boris Defourny and Somayeh Moazeni

Forecasting robust value-at-risk estimates: evidence from UK banks pp. 1955-1975

Marius Galabe Sampid and Haslifah M. Hasim

CME iceberg order detection and prediction pp. 1977-1992

Dmitry Zotikov and Anton Antonov

Volume 21, issue 10, 2021

Tile test for back-testing risk evaluation pp. 1605-1619

Gilles Zumbach

How does bank credit affect the shape of business groups' internal capital markets? pp. 1621-1645

Andrea Giovannetti

Continuous-time stochastic mutual fund management game between active and passive funds pp. 1647-1667

Kai Han, Ximin Rong, Yang Shen and Hui Zhao

Quantitative statistical robustness for tail-dependent law invariant risk measures pp. 1669-1685

Wei Wang, Huifu Xu and Tiejun Ma

Implied volatility directional forecasting: a machine learning approach pp. 1687-1706

Spyridon D. Vrontos, John Galakis and Ioannis D. Vrontos

Robust portfolio rebalancing with cardinality and diversification constraints pp. 1707-1721

Zhihua Zhao, Fengmin Xu, Donglei Du and Wang Meihua

Optimal investment strategy in the family of 4/2 stochastic volatility models pp. 1723-1751

Yuyang Cheng and Marcos Escobar-Anel

Option hedging using LSTM-RNN: an empirical analysis pp. 1753-1772

Junhuan Zhang and Wenjun Huang

On a new parametrization class of solvable diffusion models and transition probability kernels pp. 1773-1790

Sebastian F. Tudor, Rupak Chatterjee and Igor Tydniouk

Volume 21, issue 9, 2021

Can heterogeneous agent models explain the alleged mispricing of the S&P 500? pp. 1413-1433

Thomas Lux

Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading pp. 1435-1436

Blanka Horvath

Active and passive portfolio management with latent factors pp. 1437-1459

A. Al-Aradi and S. Jaimungal

Mean–variance portfolio selection under partial information with drift uncertainty pp. 1461-1473

Jie Xiong, Zuo Quan Xu and Jiayu Zheng

Optimal portfolio allocation and asset centrality revisited pp. 1475-1490

Jose Olmo

A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects pp. 1491-1499

Halina Frydman, Anna Matuszyk, Chang Li and Weicheng Zhu

Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling pp. 1501-1518

I. Anagnostou, T. Squartini, D. Kandhai and D. Garlaschelli

Callable barrier reverse convertible securities pp. 1519-1532

Jerome Detemple and Yerkin Kitapbayev

Heterogeneity and clustering of defaults pp. 1533-1549

A. K. Karlis, Giorgos Galanis, S. Terovitis and M. S. Turner

Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model pp. 1551-1565

Fen-Ying Chen, Sharon S. Yang and Hong-Chih Huang

Pairs trading with general state space models pp. 1567-1587

Guang Zhang

Coherent portfolio performance ratios pp. 1589-1603

Yoram Kroll, Andrea Marchioni and Moshe Ben-Horin

Volume 21, issue 8, 2021

From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect pp. 1235-1247

Aditi Dandapani, Paul Jusselin and Mathieu Rosenbaum

Bitcoin, currencies, and fragility pp. 1249-1255

Nassim Nicholas Taleb

Cryptocurrencies change everything pp. 1257-1262

Alexander Lipton

Mathematics of the Bond Market: A Lévy Processes Approach pp. 1263-1265

Zorana Grbac and Blanka Horvath

When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market pp. 1267-1279

Klaus Grobys

Explicit option valuation in the exponential NIG model pp. 1281-1299

Jean-Philippe Aguilar

Valuation of options under a constant elasticity of variance process and stochastic volatility pp. 1301-1307

Mohammed A. AbaOud

Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing pp. 1309-1323

Jian Liang, Zhe Xu and Peter Li

Learning the dynamics of technical trading strategies pp. 1325-1349

N. J. Murphy and T. J. Gebbie

Reduction of estimation error impact in the risk parity strategies pp. 1351-1364

Hyuksoo Kim and Saejoon Kim

Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS) pp. 1365-1386

Marco Realdon

Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables pp. 1387-1411

Nima Nonejad

Volume 21, issue 7, 2021

Beyond convexity pp. 1067-1075

Jessica James, Michael Leister and Christoph Rieger

The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution pp. 1077-1081

Alexander Lipton

A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’ pp. 1083-1086

Jaehyuk Choi and Lixin Wu

Computation of expected shortfall by fast detection of worst scenarios pp. 1087-1108

Bruno Bouchard, Adil Reghai and Benjamin Virrion

Backtesting expected shortfall and beyond pp. 1109-1125

Kaihua Deng and Jie Qiu

Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes pp. 1127-1146

Masaaki Fukasawa and Asuto Hirano

Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme pp. 1147-1161

Yuji Shinozaki

Multilayer information spillover networks: measuring interconnectedness of financial institutions pp. 1163-1185

Gang-Jin Wang, Shuyue Yi, Chi Xie and H. Eugene Stanley

Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing pp. 1187-1206

Lijun Bo, Yanchu Liu and Tingting Zhang

Estimating large losses in insurance analytics and operational risk using the g-and-h distribution pp. 1207-1221

Marco Bee, J. Hambuckers and L. Trapin

Bond indifference prices pp. 1223-1233

Matthew Lorig and Bin Zou

Volume 21, issue 6, 2021

Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle pp. 881-889

Andrew F. Siegel

Handbook of Financial Risk Management pp. 891-892

Allan M. Malz

Smart Alpha: active management with unstable and latent factors pp. 893-909

C. Boucher, A. Jasinski, P. Kouontchou and S. Tokpavi

A practical guide to robust portfolio optimization pp. 911-928

C. Yin, R. Perchet and F. Soupé

The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics pp. 929-943

Gurupdesh Pandher

Informative option portfolios in filter design for option pricing models pp. 945-965

Piotr Orłowski

Effects of a government subsidy and labor flexibility on portfolio selection and retirement pp. 967-989

Kyunghyun Park, Hyoseob Lee and Yong Hyun Shin

Robust portfolios with commodities and stochastic interest rates pp. 991-1010

Junhe Chen, Matt Davison, M. Escobar-Anel and Golara Zafari

Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis pp. 1011-1025

Kerstin Bergk, Mario Brandtner and Wolfgang Kürsten

Portfolio choices: comparative statics under both expected return and volatility uncertainty pp. 1027-1035

Qian Lin and Dejian Tian

Call auction, continuous trading and closing price formation pp. 1037-1065

Jiayi Li, Sumei Luo and Guangyou Zhou

Volume 21, issue 5, 2021

Lattice-based hedging schemes under GARCH models pp. 697-710

Maciej Augustyniak, Alexandru Badescu and Zhiyu Guo

Financial Modeling in Commodity Markets pp. 711-712

Stein Frydenberg

Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors pp. 713-727

Ana González-Urteaga, Belén Nieto and Gonzalo Rubio

Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes pp. 729-752

Alexander Wehrli, Spencer Wheatley and Didier Sornette

Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue pp. 753-770

J. L. Ma, S. S. Zhu and Y. Wu

Improvements in estimating the probability of informed trading models pp. 771-796

Tsung-Chi Cheng and Hung-Neng Lai

Generative adversarial networks for financial trading strategies fine-tuning and combination pp. 797-813

Adriano Koshiyama, Nikan Firoozye and Philip Treleaven

The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments pp. 815-835

Minjoo Kim, Junhong Yang, Pengcheng Song and Yang Zhao

Effective stochastic volatility: applications to ZABR-type models pp. 837-852

M. Felpel, J. Kienitz and T. A. McWalter

Jumps and oil futures volatility forecasting: a new insight pp. 853-863

Feng Ma, Chao Liang, Qing Zeng and Haibo Li

Uncertainty shocks of Trump election in an interval model of stock market pp. 865-879

Yuying Sun, Kenan Qiao and Shouyang Wang

Volume 21, issue 4, 2021

Correction pp. i-i

The Editors

Graph theoretical representations of equity indices and their centrality measures pp. 523-537

Luca F. Di Cerbo and Stephen Taylor

Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models pp. 539-540

Artem Dyachenko

Rough volatility, CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime pp. 541-563

Martin Forde, Benjamin Smith and Lauri Viitasaari

Fractional stochastic volatility correction to CEV implied volatility pp. 565-574

Hyun-Gyoon Kim, Se-Jin Kwon and Jeong-Hoon Kim

Artificial neural network for option pricing with and without asymptotic correction pp. 575-592

Hideharu Funahashi

Equal risk pricing of derivatives with deep hedging pp. 593-608

Alexandre Carbonneau and Frédéric Godin

Application of power series approximation techniques to valuation of European style options pp. 609-635

Nikolay Gudkov and Jonathan Ziveyi

A functional analysis approach to the static replication of European options pp. 637-655

Sébastien Bossu, Peter Carr and Andrew Papanicolaou

Mean-variance portfolio selection with non-negative state-dependent risk aversion pp. 657-671

Tianxiao Wang, Zhuo Jin and Jiaqin Wei

Efficient computation of mean reverting portfolios using cyclical coordinate descent pp. 673-684

Théophile Griveau-Billion and B. Calderhead

An alternative nonparametric tail risk measure pp. 685-696

Keith K.F. Law, W.K. Li and Philip L.H. Yu

Volume 21, issue 3, 2021

Quantization goes polynomial pp. 361-376

Giorgia Callegaro, Lucio Fiorin and Andrea Pallavicini

Metals and Energy Finance pp. 377-378

Jacco Thijssen

Robust statistical arbitrage strategies pp. 379-402

Eva Lütkebohmert and Julian Sester

G-expected utility maximization with ambiguous equicorrelation pp. 403-419

Chi Seng Pun

Realized higher-order comoments pp. 421-429

Kwangil Bae and Soonhee Lee

A cost-effective approach to portfolio construction with range-based risk measures pp. 431-447

Chi Seng Pun and Lei Wang

TERES: Tail Event Risk Expectile Shortfall pp. 449-460

Andrija Mihoci, Wolfgang Härdle and Cathy Yi-Hsuan Chen

A Markov chain approximation scheme for option pricing under skew diffusions pp. 461-480

Kailin Ding, Zhenyu Cui and Yongjin Wang

Speed-up credit exposure calculations for pricing and risk management pp. 481-499

Kathrin Glau, Ricardo Pachon and Christian Pötz

Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units pp. 501-522

W. Dong and B. Kang

Volume 21, issue 2, 2021

Optimal multi-asset trading with linear costs: a mean-field approach pp. 185-195

Matt Emschwiller, Benjamin Petit and Jean-Philippe Bouchaud

A Course on Rough Paths: With an Introduction to Regularity Structures pp. 197-198

Antoine Lejay

Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior pp. 199-219

John Birge and L. Chavez-Bedoya

Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty pp. 221-242

David Bauder, Taras Bodnar, Nestor Parolya and Wolfgang Schmid

Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models pp. 243-261

R. Giacometti, G. Torri and Sandra Paterlini

A note on - vs. -expected loss portfolio constraints pp. 263-270

Jia-Wen Gu, Mogens Steffensen and Harry Zheng

Martingale transport with homogeneous stock movements pp. 271-280

Stephan Eckstein and Michael Kupper

Static replication of barrier-type options via integral equations pp. 281-294

Kyoung-Kuk Kim and Dong-Young Lim

The market nanostructure origin of asset price time reversal asymmetry pp. 295-304

Marcus Cordi, Damien Challet and Serge Kassibrakis

Pricing and hedging performance on pegged FX markets based on a regime switching model pp. 305-322

Yunbo Zhang and Samuel Drapeau

Design of adaptive Elman networks for credit risk assessment pp. 323-340

Marco Corazza, Davide De March and Giacomo di Tollo

Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money? pp. 341-360

Viktor Manahov

Volume 21, issue 1, 2021

Volatility has to be rough pp. 1-8

Masaaki Fukasawa

Machine Learning in Finance: From Theory to Practice pp. 9-10

Guillaume Coqueret

Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models pp. 11-27

Blanka Horvath, Aitor Muguruza and Mehdi Tomas

Dynamic programming for optimal stopping via pseudo-regression pp. 29-44

Christian Bayer, Martin Redmann and John Schoenmakers

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions pp. 45-67

Yangang Chen and Justin W. L. Wan

Market impact: a systematic study of the high frequency options market pp. 69-84

Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou, Jean-Jacques Rabeyrin and Frédéric Abergel

Algorithmic market making for options pp. 85-97

Bastien Baldacci, Philippe Bergault and Olivier Guéant

XVA analysis from the balance sheet pp. 99-123

Claudio Albanese, Stéphane Crépey, Rodney Hoskinson and Bouazza Saadeddine

Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities pp. 125-142

Jimmy E. Hilliard, Jitka Hilliard and Yinan Ni

Mechanics of good trade execution in the framework of linear temporary market impact pp. 143-163

Claudio Bellani and Damiano Brigo

Multivariate continuous-time modeling of wind indexes and hedging of wind risk pp. 165-183

Fred E. Benth, Troels S. Christensen and Victor Rohde