Quantitative Finance

2001 - 2025

Current editor(s): Michael Dempster and Jim Gatheral

From Taylor & Francis Journals
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Volume 20, issue 12, 2020

Modeling and solving portfolio selection problems based on PVaR pp. 1889-1898

Yanli Huo, Chunhui Xu and Takayuki Shiina

Editor’s foreword pp. 1901-1902

Ke Tang

Bond flotation with exotic commodity collateral pp. 1903-1925

M. A. H. Dempster

The impact of US macroeconomic news announcements on Chinese commodity futures pp. 1927-1966

Haidong Cai, Shamim Ahmed, Ying Jiang and Xiaoquan Liu

Identifying the influential factors of commodity futures prices through a new text mining approach pp. 1967-1981

Jianping Li, Guowen Li, Xiaoqian Zhu and Yanzhen Yao

Index volatility and the put-call ratio: a tale of three markets pp. 1983-1996

Jianhua Gang, Nan Huang, Ke Song and Ruyi Zhang

Hedging housing price risks: some empirical evidence from the US pp. 1997-2013

Li Bao, William Cheung and Stephan Unger

The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets pp. 2015-2024

Gideon Bruce Arkorful, Haiqiang Chen, Xiaoqun Liu and Chuanhai Zhang

Volatility information difference between CDS, options, and the cross section of options returns pp. 2025-2036

Biao Guo, Yukun Shi and Yaofei Xu

Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree pp. 2037-2053

Changfu Ma, Wei Xu and George Yuan

Chinese write-down bonds: issuance and bank capital structure pp. 2055-2065

P. Li, Y. Han, S. Lin and T. Qiao

Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction pp. 2067-2083

Feng He, Baiao Liu-Chen, Xiangtong Meng, Xiong Xiong and Wei Zhang

Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness pp. 2085-2100

Shimeng Shi, Pei Liu and Jiayuan Xin

Neural network-based automatic factor construction pp. 2101-2114

Jie Fang, Jianwu Lin, Shutao Xia, Zhikang Xia, Shenglei Hu, Xiang Liu and Yong Jiang

Volume 20, issue 11, 2020

Pricing American options by exercise rate optimization pp. 1749-1760

Christian Bayer, Raúl Tempone and Sören Wolfers

Machine Learning for Asset Managers pp. 1761-1762

Kris Boudt

Unveiling the relation between herding and liquidity with trader lead-lag networks pp. 1765-1778

Carlo Campajola, Fabrizio Lillo and Daniele Tantari

The information content of high-frequency traders aggressive orders: recent evidence pp. 1779-1794

Pamela Saliba

Testing for jumps based on high-frequency data: a method exploiting microstructure noise pp. 1795-1809

Guangying Liu, Jing Xiang and Yuquan Cang

Pricing exchange options with correlated jump diffusion processes pp. 1811-1823

Nicola Cufaro Petroni and Piergiacomo Sabino

A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing pp. 1825-1837

Toshihiro Yamada and Kenta Yamamoto

On the dependence structure between S&P500, VIX and implicit Interexpectile Differences pp. 1839-1848

Fabio Bellini, Lorenzo Mercuri and Edit Rroji

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics pp. 1849-1878

Richard Gerlach, Antonio Naimoli and Giuseppe Storti

Forecasting high-dimensional realized volatility matrices using a factor model pp. 1879-1887

Keren Shen, Jianfeng Yao and Wai Keung Li

Volume 20, issue 10, 2020

An options-pricing approach to election prediction pp. 1583-1589

John Fry and Matt Burke

High-Dimensional Probability: An Introduction with Applications in Data Science pp. 1591-1594

Omiros Papaspiliopoulos

Inversion of convex ordering in the VIX market pp. 1597-1623

Julien Guyon

Optimal and equilibrium execution strategies with generalized price impact pp. 1625-1644

Masamitsu Ohnishi and Makoto Shimoshimizu

Forward-looking portfolio selection with multivariate non-Gaussian models pp. 1645-1661

Michele Leonardo Bianchi and Gian Luca Tassinari

m-Double Poisson Lévy markets pp. 1663-1679

W. Buckley, H. Long and S. Perera

Adjusting covariance matrix for risk management pp. 1681-1699

Philip L. H. Yu, F.C. Ng and Jessica K.W. Ting

Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options pp. 1701-1720

Jiangming Xiang and Xiaoqun Wang

An agent-based model for the assessment of LTV caps pp. 1721-1748

Dimitrios Laliotis, Alejandro Buesa, Miha Leber and Javier Población

Volume 20, issue 9, 2020

A neural network approach to understanding implied volatility movements pp. 1405-1413

Jay Cao, Jacky Chen and John Hull

Behavioral Finance: What Everyone Needs to Know pp. 1415-1416

The Editors

Quant GANs: deep generation of financial time series pp. 1419-1440

Magnus Wiese, Robert Knobloch, Ralf Korn and Peter Kretschmer

Modelling the joint behaviour of electricity prices in interconnected markets pp. 1441-1456

Troels Sønderby Christensen and Fred Espen Benth

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model pp. 1457-1473

Christian Bayer, Chiheb Ben Hammouda and Raúl Tempone

Clearing price distributions in call auctions pp. 1475-1493

M. Derksen, B. Kleijn and R. de Vilder

Optimal market making in the presence of latency pp. 1495-1512

Xuefeng Gao and Yunhan Wang

High-dimensional index tracking based on the adaptive elastic net pp. 1513-1530

Lianjie Shu, Fangquan Shi and Guoliang Tian

Stock-specific sentiment and return predictability pp. 1531-1551

Guillaume Coqueret

Measuring liquidity commonality in financial markets pp. 1553-1566

Chenlu Li, Baibing Li and Kai-Hong Tee

Deep learning for ranking response surfaces with applications to optimal stopping problems pp. 1567-1581

Ruimeng Hu

Volume 20, issue 8, 2020

Strike from volatility and delta-with-premium pp. 1227-1235

Peter Jäckel

Book review pp. 1237-1238

The Editors

Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network pp. 1239-1261

John M. Mulvey, Yifan Sun, Mengdi Wang and Jing Ye

Algorithmic trading in a microstructural limit order book model pp. 1263-1283

Frédéric Abergel, Côme Huré and Huyên Pham

Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process pp. 1285-1306

Lan Wu, Xin Zang and Hongxin Zhao

Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series pp. 1307-1324

Tat Lung (Ron) Chan and Nicholas Hale

An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes pp. 1325-1343

Tat Lung (Ron) Chan

Macroeconomic fundamentals, jump dynamics and expected volatility pp. 1345-1371

Zhiyuan Pan, Ruijun Bu, Li Liu and Yudong Wang

From equity to default correlation with taxes pp. 1373-1388

Sheen Liu, Howard Qi and Yan Alice Xie

Accelerated share repurchase and other buyback programs: what neural networks can bring pp. 1389-1404

Olivier Guéant, Iuliia Manziuk and Jiang Pu

Volume 20, issue 7, 2020

Shock amplification in financial networks with applications to the CCP feasibility pp. 1045-1056

Dohyun Ahn

Stochastic Disorder Problems pp. 1057-1058

Sebastien Lleo

Are trading invariants really invariant? Trading costs matter pp. 1059-1068

Frédéric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud and Michael Benzaquen

Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations pp. 1069-1083

G. dos Reis, M. Pfeuffer and G. Smith

Risk management of deposit insurance corporations with risk-based premiums and credit default swaps pp. 1085-1100

Yang-Che Wu, Ting-Fu Chen and Shih-Kuei Lin

Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective pp. 1101-1122

George Chalamandaris

Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model pp. 1123-1148

Robert Matthijs Verschuren

Stock volatility predictability in bull and bear markets pp. 1149-1167

Xingyi Li and Valeriy Zakamulin

Effects of intervaling on high-frequency realized higher-order moments pp. 1169-1184

Richard Mawulawoe Ahadzie and Nagaratnam Jeyasreedharan

Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy? pp. 1185-1197

Jean-Michel Maeso and Lionel Martellini

Least-squares Monte-Carlo methods for optimal stopping investment under CEV models pp. 1199-1211

Jingtang Ma, Zhengyang Lu, Wenyuan Li and Jie Xing

Forward or backward simulation? A comparative study pp. 1213-1226

Piergiacomo Sabino

Volume 20, issue 6, 2020

From risk bearing to propheteering pp. 887-894

Ilia Bouchouev

Stochastic Flows and Jump-Diffusions pp. 895-897

Tak Kuen Siu

Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities pp. 899-918

C. E. Phelan, D. Marazzina and Guido Germano

A comparison principle between rough and non-rough Heston models—with applications to the volatility surface pp. 919-933

M. Keller-Ressel and A. Majid

A revised option pricing formula with the underlying being banned from short selling pp. 935-948

Xin-Jiang He and Song-Ping Zhu

Exchange options under clustered jump dynamics pp. 949-967

Yong Ma, Dongtao Pan and Tianyang Wang

Slow-moving capital and stock returns pp. 969-984

Sergey Isaenko

Trend following with momentum versus moving averages: a tale of differences pp. 985-1007

Valeriy Zakamulin and Javier Giner

The implied Sharpe ratio pp. 1009-1026

Ankush Agarwal and Matthew Lorig

Noise fit, estimation error and a Sharpe information criterion pp. 1027-1043

Dirk Paulsen and Jakob Söhl

Volume 20, issue 5, 2020

Option pricing methods in the City of London during the late 19th century pp. 709-719

George Dotsis

Collected Works of Marida Bertocchi pp. 721-722

Costanza Torricelli

On the first hitting time density for a reducible diffusion process pp. 723-743

Alexander Lipton and Vadim Kaushansky

Probability weighting and default risk: a possible explanation for distressed stock puzzles pp. 745-767

Akira Yamazaki

Random matrix models for datasets with fixed time horizons pp. 769-781

G. L. Zitelli

A neural network enhanced volatility component model pp. 783-797

Jia Zhai, Yi Cao and Xiaoquan Liu

Dynamic principal component CAW models for high-dimensional realized covariance matrices pp. 799-821

Bastian Gribisch and Michael Stollenwerk

Implied volatility sentiment: a tale of two tails pp. 823-849

Luiz Félix, Roman Kräussl and Philip Stork

Pricing high-dimensional American options by kernel ridge regression pp. 851-865

Wenbin Hu and Tomasz Zastawniak

Variable annuities in a Lévy-based hybrid model with surrender risk pp. 867-886

Laura Ballotta, Ernst Eberlein, Thorsten Schmidt and Raghid Zeineddine

Volume 20, issue 4, 2020

Conic quantization: stochastic volatility and market implied liquidity pp. 531-542

Lucio Fiorin and Wim Schoutens

Infinite Powers: The Story of Calculus - The Language of the Universe pp. 543-544

Sébastien Lleo

Calendar pp. 545-545

The Editors

Scenario analysis for derivative portfolios via dynamic factor models pp. 547-571

Martin B. Haugh and Octavio Ruiz Lacedelli

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models pp. 573-591

Ludovic Goudenège, Andrea Molent and Antonino Zanette

The dynamics of ex-ante weighted spread: an empirical analysis pp. 593-617

Georges Dionne and Xiaozhou Zhou

VIX futures term structure and the expectations hypothesis pp. 619-638

Ivan Oscar Asensio

Index tracking through deep latent representation learning pp. 639-652

Saejoon Kim and Soong Kim

The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets pp. 653-668

Qingfu Liu, Pan Jiang, Yunbi An and Keith Cheung

A set-valued Markov chain approach to credit default pp. 669-689

Dianfa Chen, Jun Deng, Jianfen Feng and Bin Zou

On the propensity to issue contingent convertible (CoCo) bonds pp. 691-707

José Fajardo and Layla Mendes

Volume 20, issue 3, 2020

A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices pp. 347-357

W.J. Hinderks, R. Korn and A. Wagner

Machine Learning: An Applied Mathematics Introduction pp. 359-360

Sébastien Lleo

Calendar pp. 361-361

The Editors

Buy rough, sell smooth pp. 363-378

Paul Glasserman and Pu He

Calibrating rough volatility models: a convolutional neural network approach pp. 379-392

Henry Stone

A PDE method for estimation of implied volatility pp. 393-408

Ivan Matić, Radoš Radoičić and Dan Stefanica

Equilibrium implications of interest rate smoothing pp. 409-423

Diogo Duarte and Rodolfo Prieto

Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk pp. 425-446

Marcus Scheffer and Gregor N. F. Weiß

Market or limit orders? pp. 447-461

Daniel Mitchell and Jingnan Chen

Agent-based modelling in directional-change intrinsic time pp. 463-482

V. Petrov, A. Golub and R. Olsen

A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets pp. 483-497

Juan Dong, Lyudmila Korobenko and A. Deniz Sezer

Investment decisions when utility depends on wealth and other attributes pp. 499-513

Andrew Grant and Steve Satchell

Personalized goal-based investing via multi-stage stochastic goal programming pp. 515-526

Woo Chang Kim, Do-Gyun Kwon, Yongjae Lee, Jang Ho Kim and Changle Lin

Correction pp. 527-529

The Editors

Volume 20, issue 2, 2020

A critical investigation of cryptocurrency data and analysis pp. 173-188

Carol Alexander and M. Dakos

Advances in Financial Machine Learning pp. 189-190

Peter Schwendner

Calendar pp. 191-191

The Editors

Co-impact: crowding effects in institutional trading activity pp. 193-205

F. Bucci, I. Mastromatteo, Z. Eisler, F. Lillo, J.-P. Bouchaud and C.-A. Lehalle

Estimating the money market microstructure with negative and zero interest rates pp. 207-234

Edoardo Rainone and Francesco Vacirca

The Zumbach effect under rough Heston pp. 235-241

Omar El Euch, Jim Gatheral, Radoš Radoičić and Mathieu Rosenbaum

A closed-form formula characterization of the Epps effect pp. 243-254

Giuseppe Buccheri, Giulia Livieri, Davide Pirino and Alessandro Pollastri

Adaptive Lasso for vector Multiplicative Error Models pp. 255-274

Luca Cattivelli and Giampiero Gallo

Loss aversion in an agent-based asset pricing model pp. 275-290

Radu T. Pruna, Maria Polukarov and Nicholas R. Jennings

Representation of exchange option prices under stochastic volatility jump-diffusion dynamics pp. 291-310

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

Bayesian regularized artificial neural networks for the estimation of the probability of default pp. 311-328

Eduard Sariev and Guido Germano

Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S pp. 329-346

Chris Charalambous, Spiros H. Martzoukos and Zenon Taoushianis

Correction pp. ei-ei

The Editors

Volume 20, issue 1, 2020

Trend-following market behaviour at the 4pm London time BFIX and WMR fixing windows pp. 1-8

Carl Husselmann and Kristjan Kasikov

Bond Pricing and Yield Curve Modeling: A Structural Approach pp. 9-10

Jingnan Chen

Calendar pp. 11-11

The Editors

Exponentiation of conditional expectations under stochastic volatility pp. 13-27

Elisa Alòs, Jim Gatheral and Radoš Radoičić

A path-integral approximation for non-linear diffusions pp. 29-36

Luca Capriotti

Options on a traded account: symmetric treatment of the underlying assets pp. 37-47

J. Vecer, J. Kampen and R. Navratil

Quasi-Monte Carlo-based conditional pathwise method for option Greeks pp. 49-67

Chaojun Zhang and Xiaoqun Wang

Stock market trend prediction using a functional time series approach pp. 69-79

Shih-Feng Huang, Meihui Guo and May-Ru Chen

Analyzing order flows in limit order books with ratios of Cox-type intensities pp. 81-98

Ioane Muni Toke and Nakahiro Yoshida

Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk pp. 99-117

Vladimir Chorniy and Vinay Kotecha

Detecting and identifying arbitrage in the spot foreign exchange market pp. 119-132

Zhenyu Cui, Wenhan Qian, Stephen Taylor and Lingjiong Zhu

On the interplay between multiscaling and stock dependence pp. 133-145

R. J. Buonocore, G. Brandi, Rosario Mantegna and T. Di Matteo

Pricing bounds and bang-bang analysis of the Polaris variable annuities pp. 147-171

Zhiyi Shen and Chengguo Weng