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December 2025, Volume 25, Issue 12
- 1873-1904 Social contagion and asset prices: Reddit's self-organized bull runs
by Valentina Semenova & Julian Winkler - 1905-1906 Handbook of Sharing Confidential Data: Differential Privacy, Secure Multiparty Computation, and Synthetic Data
by Behnoosh Zamanlooy - 1907-1919 Benchmark-neutral pricing
by Eckhard Platen - 1921-1938 The pricing of total loss absorption capacity bonds in a jump-diffusion model with regime-switching
by Wenyang Xu & Christian Oliver Ewald & Linjia Dong & Zhaojun Yang - 1939-1956 Optimal recursive utility maximization with debt-to-income limits
by Kyoung Jin Choi & Minsuk Kwak & Byung Hwa Lim - 1957-1969 On the predictive power of food commodity futures prices in forecasting inflation
by Ankush Agarwal & Christian Oliver Ewald & Shuya Zhang & Yihan Zou - 1971-1989 On the realized joint Laplace transform of volatilities with application to test the volatility dependence
by Xinwei Feng & Yu Jiang & Zhi Liu & Zhe Meng - 1991-2007 Analytics on conditional moment generating functions of stochastic volatility models
by Lilian Hu & Yue Kuen Kwok - 2009-2020 A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
by Antonis Papapantoleon & Jasper Rou - 2021-2034 Numerical perspectives on the rebalancing premium
by Jean-Michel Maeso & Gregory Gadzinski & Lionel Martellini & Vincent Milhau
November 2025, Volume 25, Issue 11
- 1675-1677 Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’
by Christian Oliver Ewald & Erik Haugom & Ståle Størdal & Sjur Westgaard - 1679-1694 Merged LSTM-MLP for option valuation
by Jacob Vinje & Erlend Stegavik Rygg & Cassandra Wu & Morten Risstad & Rita Pimentel & Sjur Westgaard & Christian O. Ewald - 1695-1716 A hybrid combination approach to forecast freight rates volatility
by A. Alizadeh & B. R. Groven & M. Marchese & I. Moutzouris & M. Risstad & C. A. B. Rustad - 1717-1729 Ex ante and ex post risk premiums in electricity futures
by M. Angeles Carnero & Stein-Erik Fleten & Ståle Størdal & Sjur Westgaard - 1731-1744 Intra-day seasonality and abnormal returns in the Brent crude oil futures market
by Christian Oliver Ewald & Erik Haugom & Ruolan Ouyang & Erik Smith-Meyer & Ståle Størdal - 1745-1770 Volatility connectedness of commodity futures and its application in portfolio optimization
by Chengkai Zhuang & Ruolan Ouyang - 1771-1788 Harnessing uncertainty: a new approach to real estate investment decision support
by Arne Johan Pollestad & Are Oust - 1789-1811 α-threshold networks in credit risk models
by Eduard Baumöhl & Štefan Lyócsa - 1813-1829 Semi-Markov-modulated exponential-affine bond prices
by Tak Kuen Siu & Robert J. Elliott - 1831-1849 Robust SME investment and financing under market frictions
by Lianfen Wang & Yao Wang & Hai Zhang & Shunming Zhang - 1851-1872 Greenwashing risk in asset pricing: the shift after the Paris agreement
by Karen Bacher & Malin DØskeland & Rodrigo Graça & Maria Lavrutich & Magnus Pierce & Rita Pimentel
October 2025, Volume 25, Issue 10
- 1507-1516 Generation of synthetic financial time series by diffusion models
by Tomonori Takahashi & Takayuki Mizuno - 1517-1534 Closed-form option formulas for Kou-like models
by Matteo Gardini & Piergiacomo Sabino - 1535-1555 On the Hull-White model with volatility smile for Valuation Adjustments
by T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee - 1557-1580 Short-maturity options on realized variance in local-stochastic volatility models
by Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu - 1581-1597 A market resilient data-driven approach to option pricing
by Anindya Goswami & Nimit Rana - 1599-1614 Simulating and analyzing a sparse order book: an application to intraday electricity markets
by Philippe Bergault & Enzo Cognéville - 1615-1637 Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility
by Lihua Bian & Yang Shen & Wenjun Zhang & Bin Zou - 1639-1655 Investment, financing, strategic debt service, and liquidation
by Michi Nishihara & Takashi Shibata & Yuan Tian - 1657-1674 Calibration of risk aversion to real pension asset allocation
by Jens-Philip Dehn-Toftehøj & Debbie Kusch Falden & Mogens Steffensen
September 2025, Volume 25, Issue 9
- 1343-1373 Revisiting Cont's stylized facts for modern stock markets
by Ethan Ratliff-Crain & Colin M. Van Oort & Matthew T. K. Koehler & Brian F. Tivnan - 1375-1397 Macroscopic properties of equity markets: stylized facts and portfolio performance
by Steven Campbell & Qien Song & Ting-Kam Leonard Wong - 1399-1435 Into the microseconds: market relationships at the highest resolution using particle physics methodology
by P. Debie & J. M. E. Pennings & M. E. Verhulst & B. Tekinerdogan & J. Rembser & C. Catal & L. Moneta & A. Naumann - 1437-1459 Algorithmic and high-frequency trading problems for Semi-Markov and Hawkes jump-diffusion models
by Luca Lalor & Anatoliy Swishchuk - 1461-1483 New approaches of the multivariate GARCH residual: application to foreign exchange rates
by Kenichiro Shiraya & Kanji Suzuki & Tomohisa Yamakami - 1485-1506 Optimal harvest with multiple fishing zones, endogenous price and global uncertainty
by Jose Pizarro & Eduardo Schwartz
August 2025, Volume 25, Issue 8
- 1177-1198 Trading TP2 option violations
by Paul Glasserman & Mike Li & Dan Pirjol - 1199-1213 Efficient computations of prices and Greeks for autocallables under Heston model
by Xiaobo Hu & Jungong Xue - 1215-1232 How does liquidity shape the yield curve?
by Victor Le Coz & Iacopo Mastromatteo & Michael Benzaquen - 1233-1259 Structural changes and statistical causal relationships in agricultural commodities markets: the impact of public news sentiment and institutional announcements
by Ioannis Chalkiadakis & Gareth W. Peters & Guillaume Bagnarosa & Alexandre Gohin - 1261-1291 Sparse portfolio selection via topological data analysis based clustering
by Anubha Goel & Damir Filipović & Puneet Pasricha - 1293-1313 Optimal portfolio and labor-leisure decisions with intolerance for declining standards of living
by Jongbong An & Junkee Jeon & Takwon Kim - 1315-1332 A simple realized factor-based portfolio: improving minimum variance portfolio performance by incorporating low-frequency betas
by Wanbo Lu & Yifu Wang - 1333-1341 Bayesian probability of default models with Langevin dynamics
by Andrea Conti & Giacomo Morelli
July 2025, Volume 25, Issue 7
- 1015-1027 Attention-based reading, highlighting, and forecasting of the limit order book
by Jiwon Jung & Kiseop Lee - 1029-1030 Artificial Intelligence in Finance, Volume 1
by Raphael Douady - 1031-1046 Realized skewness of oil price returns and the short-term predictability for exchange rate
by Yaojie Zhang & Yuqing Feng & Chaojian Wei - 1047-1072 Modeling variance risk in financial markets using power-laws: new evidence from the Garman-Klass variance estimator
by Masoumeh Fathi & Klaus Grobys - 1073-1099 Crypto inverse-power options and fractional stochastic volatility
by Boyi Li & Weixuan Xia - 1101-1131 Deep limit order book forecasting: a microstructural guide
by Antonio Briola & Silvia Bartolucci & Tomaso Aste - 1133-1145 A methodological approach to the computational problems in the estimation of adjusted PIN model
by Oguz Ersan & Montasser Ghachem - 1147-1162 Life-cycle planning model with inflation and time-varying consumption constraints
by Dongdong Liu & Ning Wang & Lin Xu & Hao Wang - 1163-1176 Optimal portfolio choice with ESG considerations and asymmetric information
by Ying Jiao & Haibo Liu
June 2025, Volume 25, Issue 6
- 851-855 Fit for purpose
by Jessica James & Michael Leister & Christoph Rieger - 857-872 Bayesian nonparametric modelling of stochastic volatility
by Efthimios Nikolakopoulos - 873-893 Stock market simulator using hidden Markov generative model and its application in risk measurement
by Riasat Ali Istiaque & Chi Seng Pun & Brandon Yung Sin Yong - 895-918 Machine-learning regression methods for American-style path-dependent contracts
by Matteo Gambara & Giulia Livieri & Andrea Pallavicini - 919-947 The good, the bad, and latency: exploratory trading on Bybit and Binance
by Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff - 949-958 Betting Against (Bad) Beta
by Miguel C. Herculano - 959-971 Green technology innovation with environmental constraints
by Pengfei Luo & Yingxian Tan & Jinqiang Yang & Yanming Yao - 973-1006 Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants
by Duc Thi Luu & Hiroyasu Inoue & Lutz Honvehlmann & Thomas Lux & Yoshi Fujiwara - 1007-1014 Explaining risks: axiomatic risk attributions for financial models
by Dangxing Chen
May 2025, Volume 25, Issue 5
- 671-698 Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets
by Timothee Fabre & Ioane Muni Toke - 699-700 Hydrodynamics of Markets: Hidden Links between Physics and Finance
by Mayukh Mukhopadhyay - 701-710 Computing the SSR
by Peter K. Friz & Jim Gatheral - 711-732 Watanabe's expansion: a solution for the convexity conundrum
by D. Garcia-Lorite & R. Merino - 733-755 Spot beta estimation with asynchronous noisy prices
by Maria Elvira Mancino & Tommaso Mariotti & Giacomo Toscano - 757-771 An early-warning risk signals framework to capture systematic risk in financial markets
by Vito Ciciretti & Monomita Nandy & Alberto Pallotta & Suman Lodh & P. K. Senyo & Jekaterina Kartasova - 773-793 Enhanced indexation: can volatility timing improve portfolio performance?
by Qi Jiang & Chonghui Jiang & Yunbi An - 795-815 An optimal retirement problem with job switching and unemployment risks under subsistence consumption constraints
by Qi Li & Yong Hyun Shin & Ji-Hun Yoon - 817-840 The non-linear ESG premium
by Runfeng Yang & Juan-Angel Jimenez-Martin & Massimiliano Caporin - 841-849 A copula-based data augmentation strategy for the sensitivity analysis of extreme operational losses
by A. Khorrami Chokami & G. Rabitti
April 2025, Volume 25, Issue 4
- 509-525 Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks
by Ivan Guo & Nicolas Langrené & Jiahao Wu - 527-542 Bid-ask bounds for option prices: the two-tail distortion model
by Umberto Cherubini & Sabrina Mulinacci - 543-575 Multiperiod interval-based stochastic dominance with application to dynamic portfolios
by Giorgio Consigli & Brian Vasquez Campos & Jia Liu - 577-590 When order execution meets informed trading
by Longjie Xu & Yufeng Shi - 591-616 A model of financial bubbles and drawdowns with non-local behavioral self-referencing
by Yannick Malevergne & Didier Sornette & Ran Wei - 617-631 Provisions and economic capital for credit losses†
by D. Bastide & S. Crépey - 633-652 A social media alert system for meme stocks
by Ilaria Gianstefani & Luigi Longo & Massimo Riccaboni - 653-670 Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices
by Sara Solanilla Blanco
March 2025, Volume 25, Issue 3
- 343-357 Multiple equilibria in mean-field game models of firm competition with strategic complementarities
by Jodi Dianetti & Salvatore Federico & Giorgio Ferrari & Giuseppe Floccari - 359-381 Optimal liquidation under indirect price impact with propagator
by Jean-Loup Dupret & Donatien Hainaut - 383-401 Relative entropy-regularized robust optimal order execution
by Meng Wang & Tai-Ho Wang - 403-419 Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction
by M. Sipke Dom & Clint Howard & Maarten Jansen & Harald Lohre - 421-442 Ensemble learning for portfolio valuation and risk management
by Lotfi Boudabsa & Damir Filipović - 443-470 Options-driven volatility forecasting
by Nikolas Michael & Mihai Cucuringu & Sam Howison - 471-489 Pricing and calibration in the 4-factor path-dependent volatility model
by Guido Gazzani & Julien Guyon - 491-508 Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖
by Sergio Caprioli & Raphael Cavallari & Jacopo Foschi & Riccardo Cogo
February 2025, Volume 25, Issue 2
- 161-162 Special Issue on XXIV Workshop on Quantitative Finance
by Marina Di Giacinto & Holger Kraft - 163-180 Risk measures based on weak optimal transport
by Michael Kupper & Max Nendel & Alessandro Sgarabottolo - 181-195 Asset and Factor Risk Budgeting: a balanced approach
by Adil Rengim Cetingoz & Olivier Guéant - 197-216 Randomized signature methods in optimal portfolio selection
by Erdinç Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou - 217-229 Portfolio and reinsurance optimization under unknown market price of risk
by Claudia Ceci & Katia Colaneri - 231-248 Asset prices when large investors interact strategically
by Giuliano Curatola - 249-268 Market consistent bid-ask option pricing under Dempster-Shafer uncertainty
by A. Cinfrignini & D. Petturiti & B. Vantaggi - 269-290 Introducing and testing the Carr model of default
by Federico Maglione - 291-306 Liquidity Coverage at Risk
by Giacomo Morelli & Virginia Pugliese & Paolo Santucci de Magistris - 307-322 Online learning of order flow and market impact with Bayesian change-point detection methods
by Ioanna-Yvonni Tsaknaki & Fabrizio Lillo & Piero Mazzarisi - 323-342 The geometry of multi-curve interest rate models
by Claudio Fontana & Giacomo Lanaro & Agatha Murgoci
January 2025, Volume 25, Issue 1
- 1-16 NN de-Americanization: an efficient method to facilitate calibration of American-style options
by Peter Pommergård Lind & Jim Gatheral - 17-30 Lost in the LIBOR transition
by Alex Backwell & Andrea Macrina & Erik Schlögl & David Skovmand - 31-49 A semi-parametric dynamic conditional correlation framework for risk forecasting
by Giuseppe Storti & Chao Wang - 51-61 On the implied volatility skew outside the at-the-money point
by Michele Azzone & Lorenzo Torricelli - 63-89 An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps
by Thomas K. Kloster & Elisa Nicolato - 91-115 A new test of factor model for asset returns: based on pleiotropy model
by Qing Jiang & Xingwei Tong & Peng Wu & Xun Zhang - 117-141 Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing
by Ling Zhang & Pei Wang & Yang Shen - 143-160 A note on closed-form spread option valuation under log-normal models
by Nuerxiati Abudurexiti & Kai He & Dongdong Hu & Hasanjan Sayit
December 2024, Volume 24, Issue 12
- 1711-1724 Price dynamics with circuit breakers
by Sandro Claudio Lera & Didier Sornette & Florian Ulmann - 1725-1727 Deep Learning: Foundations and Concepts
by Blanka N. Horvath & Anastasis Kratsios & Raeid Saqur - 1729-1745 On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
by Matteo Michielon - 1747-1772 A unifying approach for the pricing of debt securities
by Marie-Claude Vachon & Anne MacKay - 1773-1797 Equity protection swaps: investment insurance for superannuation accounts
by Huansang Xu & Ruyi Liu & Marek Rutkowski - 1799-1822 Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives
by Immacolata Oliva & Ilaria Stefani - 1823-1837 Semi-parametric financial risk forecasting incorporating multiple realized measures
by Rangika Peiris & Chao Wang & Richard Gerlach & Minh-Ngoc Tran - 1839-1856 Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches
by Gaoxiu Qiao & Yijun Pan & Chao Liang - 1857-1873 Predicting VIX with adaptive machine learning
by Yunfei Bai & Charlie X. Cai - 1875-1882 On general semi-closed-form solutions for VIX derivative pricing
by Étienne Bacon & Jean-François Bégin & Geneviève Gauthier
November 2024, Volume 24, Issue 11
- 1545-1559 Algorithmic trading of real-time electricity with machine learning
by Vighnesh Natarajan Ganesh & Derek Bunn - 1561-1578 Revisiting elastic string models of forward interest rates
by Victor Le Coz & Jean-Philippe Bouchaud - 1579-1595 Risk-free rate caplets pricing by CTMC approximation
by Fengming Liu & Yingda Song - 1597-1620 Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
by Benjamin Joseph & Grégoire Loeper & Jan Obłój - 1621-1640 Counting jumps: does the counting process count?
by Laura Ballotta & Gianluca Fusai & Daniele Marazzina - 1641-1667 Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering
by Raffaele Mattera & George Athanasopoulos & Rob Hyndman - 1669-1678 High-dimensional macroeconomic stress testing of corporate recovery rate
by Abdolreza Nazemi & Friedrich Baumann & Melanie Schienle & Frank J. Fabozzi - 1679-1702 Optimal attention allocation: picking alpha or betting on beta?
by Zuyao Gu & Yun Shi & Tingjin Yan & Yong Zhou - 1703-1709 Optimal hedging with variational preferences under convex risk measures
by Marcelo Righi
October 2024, Volume 24, Issue 10
- 1381-1398 Equity auction dynamics: latent liquidity models with activity acceleration
by Mohammed Salek & Damien Challet & Ioane Muni Toke - 1399-1400 Virtual Barrels: Quantitative Trading in the Oil Market
by Christina Nikitopoulos - 1401-1421 Risk conscious investment
by Dilip B. Madan & Wim Schoutens & King Wang - 1423-1443 Network analysis of aggregated money flows in stock markets
by Joonas Karaila & Kestutis Baltakys & Henri Hansen & Anubha Goel & Juho Kanniainen - 1445-1461 Forecasting the equity premium: can machine learning beat the historical average?
by Xingfu Xu & Wei-han Liu - 1463-1491 Detecting bubbles via FDR and FNR based on calibrated p-values
by Giulia Genoni & Piero Quatto & Gianmarco Vacca - 1493-1508 Detecting rough volatility: a filtering approach
by Camilla Damian & Rüdiger Frey - 1509-1527 Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
by Yinzhong Huang & Weilin Xiao & Xiaojian Yu - 1529-1544 Investigating the price determinants of the European Emission Trading System: a non-parametric approach
by Cristiano Salvagnin & Aldo Glielmo & Maria Elena De Giuli & Antonietta Mira
September 2024, Volume 24, Issue 9
- 1197-1198 Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday
by Jim Gatheral & Mike Tehranchi - 1199-1225 Path shadowing Monte Carlo
by Rudy Morel & Stéphane Mallat & Jean-Philippe Bouchaud - 1227-1234 Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
by Christian Bongiorno & Damien Challet - 1235-1245 When to efficiently rebalance a portfolio
by Masayuki Ando & Masaaki Fukasawa - 1247-1261 Efficient option pricing in the rough Heston model using weak simulation schemes
by Christian Bayer & Simon Breneis - 1263-1285 Deep calibration with random grids
by Fabio Baschetti & Giacomo Bormetti & Pietro Rossi - 1287-1300 On the pricing of capped volatility swaps using machine learning techniques
by Stephan Höcht & Wim Schoutens & Eva Verschueren - 1301-1326 GPT's idea of stock factors
by Yuhan Cheng & Ke Tang - 1327-1340 Risk factor aggregation and stress testing
by Natalie Packham - 1341-1352 On the impact of feeding cost risk in aquaculture valuation and decision making
by Christian Oliver Ewald & Kevin Kamm - 1353-1379 15 years of Adjoint Algorithmic Differentiation (AAD) in finance
by Luca Capriotti & Mike Giles
August 2024, Volume 24, Issue 8
- 1017-1033 Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
by Leif Andersen & Dominique Bang - 1035-1036 Quantum Machine Learning and Optimisation in Finance
by Tushar Vaidya - 1037-1055 FX Open Forward
by Julien Hok & Alex S.L. Tse - 1057-1076 Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
by Álvaro Guinea Juliá & Alet Roux - 1077-1103 FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
by Vedant Choudhary & Sebastian Jaimungal & Maxime Bergeron - 1105-1127 DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
by Fernando Moreno-Pino & Stefan Zohren - 1129-1156 Neural network empowered liquidity pricing in a two-price economy under conic finance settings
by Matteo Michielon & Diogo Franquinho & Alessandro Gentile & Asma Khedher & Peter Spreij - 1157-1176 A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
by Thomas Deschatre & Xavier Warin - 1177-1195 GDP-linked bonds as a new asset class
by Ellie Papavassiliou & Nikolas Topaloglou & Stavros A. Zenios
July 2024, Volume 24, Issue 7
- 851-869 Valuation and hedging of cryptocurrency inverse options
by V. Lucic & A. Sepp - 889-908 On joint marginal expected shortfall and associated contribution risk measures
by Tong Pu & Yifei Zhang & Yiying Zhang - 921-953 Regulating stochastic clocks§
by Zhe Fei & Weixuan Xia - 955-974 Pricing airbag option via first passage time approach
by Zheng Liu & Xiaosong Qian & Jing Yao & Yinghui Dong - 975-992 Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
by Ruting Wang & Valerio Potì & Wolfgang Karl Härdle
June 2024, Volume 24, Issue 7
- 875-888 Consistent curves in the -world: optimal bonds portfolio
by Gaddiel Y. Ouaknin - 909-919 Predicting forward default probabilities of firms: a discrete-time forward hazard model with firm-specific frailty
by Ruey-Ching Hwang & Yi-Chi Chen - 993-1015 Earnings mean reversion and dynamic optimal capital structure
by Elettra Agliardi & Marios Charalambides & Nicos Koussis
May 2024, Volume 24, Issue 6
- 735-751 Mean-variance portfolio with wealth and volatility dependent risk aversion
by Shican Liu
June 2024, Volume 24, Issue 6
- 677-689 Interest rate convexity in a Gaussian framework
by Antoine Jacquier & Mugad Oumgari - 691-692 Causal Factor Investing
by Luis Seco - 693-718 Cross-section without factors: a string model for expected returns
by Walter Distaso & Antonio Mele & Grigory Vilkov - 753-777 Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
by Chendi Ni & Yuying Li & Peter Forsyth - 779-809 Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
by Yutong Lu & Gesine Reinert & Mihai Cucuringu - 811-825 Optimal trading and competition with information in the price impact model
by Longjie Xu & Yufeng Shi - 827-849 ESG risk exposure: a tale of two tails
by Runfeng Yang & Massimiliano Caporin & Juan-Angel Jiménez-Martin
July 2024, Volume 24, Issue 6
- 719-733 Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
by Gilles Boevi Koumou
April 2024, Volume 24, Issue 5
- 521-539 Optimal operation of a hydropower plant in a stochastic environment
by Isabel Figuerola-Ferretti & Eduardo Schwartz & Ignacio Segarra
June 2024, Volume 24, Issue 5
- 569-591 Deep learning for enhanced index tracking
by Zhiwen Dai & Lingfei Li
May 2024, Volume 24, Issue 5
- 545-568 Do price trajectory data increase the efficiency of market impact estimation?
by Fengpei Li & Vitalii Ihnatiuk & Yu Chen & Jiahe Lin & Ryan J. Kinnear & Anderson Schneider & Yuriy Nevmyvaka & Henry Lam - 593-612 Risk management under weighted limited expected loss
by An Chen & Thai Nguyen - 613-626 A study on asset price bubble dynamics: explosive trend or quadratic variation?
by Robert A. Jarrow & Simon S. Kwok - 627-642 The contagion of extreme risks between fossil and green energy markets: evidence from China
by Xiaohang Ren & Ya Xiao & Feng He & Giray Gozgor - 643-653 Dynamic partial (co)variance forecasting model
by Zirong Chen & Yao Zhou - 655-676 Optimal reinsurance under a new design: two layers and multiple reinsurers
by Dingjun Yao & Jinxia Zhu
January 2024, Volume 24, Issue 3-4
- 347-363 Implied roughness in the term structure of oil market volatility
by Mesias Alfeus & Christina S. Nikitopoulos & Ludger Overbeck - 451-464 Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
by Matteo Pelagatti & Giacomo Sbrana
April 2024, Volume 24, Issue 3-4
- 367-386 Speed and duration of drawdown under general Markov models
by Lingfei Li & Pingping Zeng & Gongqiu Zhang - 387-407 Tail risk aversion and backwardation of index futures
by Jufang Liang & Dan Yang & Qian Han - 465-479 A modified CTGAN-plus-features-based method for optimal asset allocation
by José-Manuel Peña & Fernando Suárez & Omar Larré & Domingo Ramírez & Arturo Cifuentes - 499-520 Narrative triggers of information sensitivity
by Kim Ristolainen
March 2024, Volume 24, Issue 3-4
- 433-449 Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
by Dan Pirjol & Lingjiong Zhu - 481-498 Interactions between monetary and macroprudential policies
by Gustavo Libório Rocha Lima & Regis Augusto Ely & Daniel Oliveira Cajueiro
February 2024, Volume 24, Issue 3-4
- 365-366 Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear
by Aurélien Alfonsi & Stefano De Marco - 409-432 A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
by J. H. Hoencamp & S. Jain & B. D. Kandhai
February 2024, Volume 24, Issue 2
- 201-202 Handbook of Price Impact Modeling
by Johannes Muhle-Karbe - 221-232 Deep impulse control: application to interest rate intervention
by Bowen Jia & Hoi Ying Wong - 233-252 Risk sharing with deep neural networks
by M. Burzoni & A. Doldi & E. Monzio Compagnoni - 253-263 Optimal stop-loss rules in markets with long-range dependence
by Yun Xiang & Shijie Deng - 265-279 When is cross impact relevant?
by Victor Le Coz & Iacopo Mastromatteo & Damien Challet & Michael Benzaquen
January 2024, Volume 24, Issue 2
- 175-199 Fin-GAN: forecasting and classifying financial time series via generative adversarial networks
by Milena Vuletić & Felix Prenzel & Mihai Cucuringu - 203-220 Physics-informed convolutional transformer for predicting volatility surface
by Soohan Kim & Seok-Bae Yun & Hyeong-Ohk Bae & Muhyun Lee & Youngjoon Hong - 281-303 A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
by Zongxia Liang & Yang Liu & Ming Ma & Rahul Pothi Vinoth - 305-327 Dynamic currency hedging with non-Gaussianity and ambiguity
by Paweł Polak & Urban Ulrych