Quantitative Finance

2001 - 2025

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

Robert J. Elliott and Tak Kuen Siu

Risk Parity Fundamentals pp. 1801-1802

Sebastien Page

Calendar pp. 1803-1803

The Editors

Special Issue of on ‘Commodity Markets’ pp. 1807-1808

Christian-Oliver Ewald, Athanasios A. Pantelous and Georgios Sermpinis

Volatility forecasting of strategically linked commodity ETFs: gold-silver pp. 1809-1822

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

Christian-Oliver Ewald, Roy Nawar, Ruolan Ouyang and Tak Kuen Siu

A stochastic model for commodity pairs trading pp. 1843-1857

Ahmet Göncü and Erdinc Akyildirim

Jumps and stochastic volatility in crude oil prices and advances in average option pricing pp. 1859-1873

Ioannis Kyriakou, Panos Pouliasis and Nikos Papapostolou

Modelling, forecasting and trading with a new sliding window approach: the crack spread example pp. 1875-1886

Andreas Karathanasopoulos, Christian Dunis and Samer Khalil

Is news related to GDP growth a risk factor for commodity futures returns? pp. 1887-1899

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

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

Wei Yang, Ai Han, Yongmiao Hong and Shouyang Wang

Prediction of extreme price occurrences in the German day-ahead electricity market pp. 1929-1948

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

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

Christoph Wegener, Tobias Basse, Frederik Kunze and Hans-Jörg von Mettenheim

Editorial Board pp. ebi-ebi

The Editors

Erratum pp. ei-ei

The Editors

Volume 16, issue 11, 2016

Bifurcation patterns of market regime transition pp. 1631-1636

Sergey Kamenshchikov

Efficiently Inefficient: How Smart Money Invests & Market Prices Are Determined pp. 1637-1639

Tapio Pekkala

Calendar pp. 1641-1641

The Editors

Dynamic mode decomposition for financial trading strategies pp. 1643-1655

Jordan Mann and J. Nathan Kutz

Detecting intraday financial market states using temporal clustering pp. 1657-1678

D. Hendricks, T. Gebbie and D. Wilcox

Losing sight of the trees for the forest? Attention allocation and anomalies pp. 1679-1693

Heiko Jacobs and Martin Weber

Forecasting stock market returns over multiple time horizons pp. 1695-1712

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

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

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

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

Chung-Shin Liu, Meng-Shiuh Chang, Ximing Wu and Chin Man Chui

Erratum pp. ei-ei

The Editors

Volume 16, issue 10, 2016

A flexible spot multiple-curve model pp. 1465-1477

Martino Grasselli and Giulio Miglietta

Learning from Data pp. 1479-1482

Riccardo Rebonato

Calendar pp. 1483-1483

The Editors

Expected shortfall estimation for apparently infinite-mean models of operational risk pp. 1485-1494

Pasquale Cirillo and Nassim Nicholas Taleb

From insurance risk to credit portfolio management: a new approach to pricing CDOs pp. 1495-1510

Alessandro Andreoli, Luca Vincenzo Ballestra and Graziella Pacelli

Enhanced equity-credit modelling for contingent convertibles pp. 1511-1527

Tsz-Kin Chung and Yue-Kuen Kwok

Valuation of American options under the CGMY model pp. 1529-1539

Xu Guo and Yutian Li

The profitability of pairs trading strategies: distance, cointegration and copula methods pp. 1541-1558

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

Carlos Eduardo de Moura, Adrian Pizzinga and Jorge Zubelli

Dynamic asset–liability management in a Markov market with stochastic cash flows pp. 1575-1597

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

Sebastian Poledna and Stefan Thurner

Correlation estimation using components of Japanese candlesticks pp. 1615-1630

V. Popov

Volume 16, issue 9, 2016

Risk minimization and portfolio diversification pp. 1325-1332

Farzad Pourbabaee, Minsuk Kwak and Traian A. Pirvu

Model Risk in Financial Markets: From Financial Engineering to Risk Management pp. 1333-1337

Mark Cummins, Orla McCullagh and Bernard Murphy

Calendar pp. 1339-1339

The Editors

Optimal static quadratic hedging pp. 1341-1355

Tim Leung and Matthew Lorig

Model risk of contingent claims pp. 1357-1374

Nils Detering and Natalie Packham

Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes pp. 1375-1391

Pingping Zeng and Yue Kuen Kwok

Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions pp. 1393-1411

Yijie Peng, Michael C. Fu and Jian-Qiang Hu

Fed funds futures variance futures pp. 1413-1422

Damir Filipović and Anders B. Trolle

Estimation of zero-intelligence models by L1 data pp. 1423-1444

Martin Šmíd

Reducing transaction costs with low-latency trading algorithms pp. 1445-1451

Sasha Stoikov and Rolf Waeber

US stock returns: are there seasons of excesses? pp. 1453-1464

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

Jong Jun Park and Geon Ho Choe

Algorithmic and High Frequency Trading pp. 1175-1176

Marcos Lopez de Prado

Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics pp. 1179-1201

Emmanuel Bacry, Thibault Jaisson and Jean--François Muzy

A model for interest rates with clustering effects pp. 1203-1218

Donatien Hainaut

Market procyclicality and systemic risk pp. 1219-1235

P. Tasca and Stefano Battiston

The premium of dynamic trading in a discrete-time setting pp. 1237-1257

Haixiang Yao, ZhongFei Li and Xingyi Li

On an automatic and optimal importance sampling approach with applications in finance pp. 1259-1271

Huei-Wen Teng, Cheng-Der Fuh and Chun-Chieh Chen

Beyond CAPM: estimating the cost of equity considering idiosyncratic risks pp. 1273-1296

Enrico Laghi and Michele Di Marcantonio

When do jumps matter for portfolio optimization? pp. 1297-1311

Marius Ascheberg, Nicole Branger, Holger Kraft and Frank Thomas Seifried

American-style options in jump-diffusion models: estimation and evaluation pp. 1313-1324

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

Mark Joshi and Navin Ranasinghe

Mostly Harmless Econometrics: An Empiricist’s Companion; Mastering ‘Metrics: The Path from Cause to Effect pp. 1009-1013

Riccardo Rebonato

Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility pp. 1019-1036

John Birge and Luis Chavez-Bedoya

Dependence calibration and portfolio fit with factor-based subordinators pp. 1037-1052

Elisa Luciano, Marina Marena and Patrizia Semeraro

A semiparametric graphical modelling approach for large-scale equity selection pp. 1053-1067

Han Liu, John Mulvey and Tianqi Zhao

Elliptical tempered stable distribution pp. 1069-1087

Hassan A. Fallahgoul, Young S. Kim and Frank Fabozzi

Modelling electricity prices: a time change approach pp. 1089-1109

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

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

Huawei Niu and Dingcheng Wang

Recovering the real-world density and liquidity premia from option data pp. 1147-1164

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

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

Richard Barwell

Rational multi-curve models with counterparty-risk valuation adjustments pp. 847-866

Stéphane Crépey, Andrea Macrina, Tuyet Mai Nguyen and David Skovmand

Analytical pricing of single barrier options under local volatility models pp. 867-886

Hideharu Funahashi and Masaaki Kijima

Pricing under rough volatility pp. 887-904

Christian Bayer, Peter Friz and Jim Gatheral

Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees pp. 905-928

Yao Tung Huang and Yue Kuen Kwok

Partial hedging and cash requirements in discrete time pp. 929-945

Erdnç Akyildirim and Albert Altarovici

Approximation methods for multiple period Value at Risk and Expected Shortfall prediction pp. 947-968

Carl Lönnbark

Trading profitability from learning and adaptation on the Tokyo Stock Exchange pp. 969-996

Ryuichi Yamamoto

Volume 16, issue 5, 2016

Ross recovery with recurrent and transient processes pp. 667-676

Hyungbin Park

FX Option Performance: An Analysis of the Value Delivered by FX Options Since the Start of the Market pp. 677-678

Barry Ryan

Performance ratio-based coherent risk measure and its application pp. 681-693

Zhiping Chen, Qianhui Hu and Ruiyue Lin

Evaluation of volatility predictions in a VaR framework pp. 695-709

Alessandra Amendola and V. Candila

Analytic approximation formulae for European crack spread options pp. 711-725

M.A. Aba Oud and J. Goard

Valuation of forward start options under affine jump-diffusion models pp. 727-747

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

Sharon S. Yang, Jr-Wei Huang and Chuang-Chang Chang

Optimal hedging in an extended binomial market under transaction costs pp. 763-776

Norman Josephy, Lucia Kimball and Victoria Steblovskaya

Predicting recovery rates using logistic quantile regression with bounded outcomes pp. 777-792

Jhao-Siang Siao, Ruey-Ching Hwang and Chih-Kang Chu

Prediction of stock price movement based on daily high prices pp. 793-826

Marija Gorenc Novak and Dejan Velušček

Volume 16, issue 4, 2016

Forecasting risk via realized GARCH, incorporating the realized range pp. 501-511

Richard Gerlach and Chao Wang

Econophysics and Physical Economics pp. 513-515

Chris Hunter

Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal pp. 519-533

Mark S. Joshi

General closed-form basket option pricing bounds pp. 535-554

Ruggero Caldana, Gianluca Fusai, Alessandro Gnoatto and Martino Grasselli

The multivariate Variance Gamma model: basket option pricing and calibration pp. 555-572

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

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

Jingtang Ma, Dongya Deng and Harry Zheng

Exploring the total positivity of yields correlations pp. 605-624

A. Goia and E. Salinelli

Unveiling investor-induced channels of financial contagion in the 2008 financial crisis using copulas pp. 625-637

Paulo Horta, Sérgio Lagoa and Luis Martins

Optimal pricing barriers in a regulated market using reflected diffusion processes pp. 639-647

Zheng Han, Yaozhong Hu and Chihoon Lee

Reversal of Monday returns pp. 649-665

Numan Ülkü and Kristiyan Andonov

Volume 16, issue 3, 2016

Regulatory arbitrage of risk measures pp. 337-347

Ruodu Wang

Probably Approximately Correct pp. 349-353

Riccardo Rebonato

Least-squares approach to risk parity in portfolio selection pp. 357-376

Xi Bai, Katya Scheinberg and Reha Tutuncu

Risk parity portfolios with risk factors pp. 377-388

Thierry Roncalli and G. Weisang

Normally distributed high-frequency returns: a subordination approach pp. 389-409

Ata Türkoğlu

A nesting framework for Markov-switching GARCH modelling with an application to the German stock market pp. 411-426

Gerrit Reher and Bernd Wilfling

A polynomial scheme of asymptotic expansion for backward SDEs and option pricing pp. 427-445

Masaaki Fujii

Partial differential equations for Asian option prices pp. 447-460

Christine Brown, J. C. Handley, C.-T. Lin and K. J. Palmer

Minimizing CVaR in global dynamic hedging with transaction costs pp. 461-475

F. Godin

Oil price and FX-rates dependency pp. 477-488

Joscha Beckmann, Theo Berger and Robert Czudaj

Macroeconomic impacts on commodity prices: China vs. the United States pp. 489-500

Libo Yin and Liyan Han

Volume 16, issue 2, 2016

Theoretical decompositions of the cross-sectional dispersion of stock returns pp. 169-180

Andrew Grant and Steve Satchell

Interest Rate Modelling in the Multi-curve Framework pp. 181-182

Massimo Morini

Special Issue on Stochastic Optimization Approaches to Financial and Energy Markets pp. 187-188

Giorgio Consigli and Yves Smeers

Building a stochastic programming model from scratch: a harvesting management example pp. 189-199

Ignacio Rios, Andres Weintraub and Roger J.-B. Wets

A parsimonious model for generating arbitrage-free scenario trees pp. 201-212

Andrea Consiglio, Angelo Carollo and Stavros Zenios

A non-parametric structural hybrid modeling approach for electricity prices pp. 213-230

S. Moazeni, M. Coulon, I. Arciniegas Rueda, B. Song and W.B. Powell

Real options valuation applied to transmission expansion planning pp. 231-246

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

Georg Ch. Pflug and Philipp Thoma

Modeling and evaluation of the option book hedging problem using stochastic programming pp. 259-273

Mathias Barkhagen and Jörgen Blomvall

Optimal retirement planning with a focus on single and joint life annuities pp. 275-295

Agnieszka Karolina Konicz, David Pisinger and Alex Weissensteiner

A uniformly distributed random portfolio pp. 297-307

Woo Chang Kim and Yongjae Lee

A dynamical systems model of price bubbles and cycles pp. 309-336

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

Mehdi Lallouache and Damien Challet

Portfolio Management under Stress pp. 13-14

Bernd Scherer

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics pp. 17-30

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

Elisa Alòs and Jorge A. León

Time-varying forecasts by variational approximation of sequential Bayesian inference pp. 43-67

Hui ‘Fox’ Ling and Douglas B. Stone

Random matrix application to correlations amongst the volatility of assets pp. 69-83

Ajay Singh and Dinghai Xu

Investing in the size factor pp. 85-100

Juan Laborda, Ricardo Laborda and Jose Olmo

Optimal capital growth with convex shortfall penalties pp. 101-117

Leonard C. MacLean, Yonggan Zhao and William T. Ziemba

Analytic bond pricing for short rate dynamics evolving on matrix Lie groups pp. 119-129

Nengli Lim and Nicolas Privault

Portfolio credit risk with predetermined default orders pp. 131-149

Lian Tang, Bin Wang and Kai-Nan Xiang

Conditional higher order moments in metal asset returns pp. 151-167

Steven J. Cochran, Iqbal Mansur and Babatunde Odusami