Content
July 2022, Volume 22, Issue 7
- 1343-1354 Time-dependent relations between gaps and returns in a Bitcoin order book
by Roberto Mota-Navarro & Paulino Monroy-Castillero & Francois Leyvraz - 1355-1369 Some analytical results on bivariate stable distributions with an application in operational risk
by L. Tafakori & M. Bee & A.R. Soltani - 1371-1390 On model robustness of the regime switching approach for pegged foreign exchange markets
by Yunbo Zhang & Samuel Drapeau - 1391-1404 Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
by Dilip B. Madan & King Wang
June 2022, Volume 22, Issue 6
- 1017-1036 How to build a cross-impact model from first principles: theoretical requirements and empirical results
by Mehdi Tomas & Iacopo Mastromatteo & Michael Benzaquen - 1037-1049 Optimal solution of the liquidation problem under execution and price impact risks
by Francesca Mariani & Lorella Fatone - 1051-1069 A reinforcement learning approach to optimal execution
by Ciamac C. Moallemi & Muye Wang - 1071-1090 QuantNet: transferring learning across trading strategies
by Adriano Koshiyama & Stefano B. Blumberg & Nick Firoozye & Philip Treleaven & Sebastian Flennerhag - 1091-1111 What is the value of the cross-sectional approach to deep reinforcement learning?
by Amine Mohamed Aboussalah & Ziyun Xu & Chi-Guhn Lee - 1113-1132 Are missing values important for earnings forecasts? A machine learning perspective
by Ajim Uddin & Xinyuan Tao & Chia-Ching Chou & Dantong Yu - 1133-1152 Stock market prediction based on adaptive training algorithm in machine learning
by Hongjoong Kim & Sookyung Jun & Kyoung-Sook Moon - 1153-1167 Size and power in tests of return predictability
by Stephen F. LeRoy & Rish Singhania - 1169-1192 Effective Markovian projection: application to CMS spread options and mid-curve swaptions
by M. Felpel & J. Kienitz & T. A. McWalter - 1193-1216 International portfolio choice under multi-factor stochastic volatility
by Marcos Escobar-Anel & Sebastian Ferrando & Christoph Gschnaidtner & Alexey Rubtsov
May 2022, Volume 22, Issue 5
- 799-811 Static replication of European standard dispersion options
by Sébastien Bossu & Peter Carr & Andrew Papanicolaou - 813-815 Continuous-Time Asset Pricing Theory
by Philip Protter - 817-834 A new representation of the risk-neutral distribution and its applications
by Zhenyu Cui & Yuewu Xu - 835-860 Pricing electricity day-ahead cap futures with multifactor skew-t densities
by Takuji Matsumoto & Derek Bunn & Yuji Yamada - 861-869 A simple robust asset pricing model under statistical ambiguity
by Luis García-Feijóo & Ariel M. Viale - 871-887 Smooth ambiguity preferences and asset prices with a jump-diffusion process
by Masataka Suzuki - 889-905 On the investment strategies in occupational pension plans
by F. Bosserhoff & A. Chen & N. Sørensen & M. Stadje - 907-921 On an irreversible investment problem with two-factor uncertainty
by F. Dammann & G. Ferrari - 923-942 Proper fund size: a perspective from both investors and fund managers
by Linlin Zhang & Jiajun Jiang & Yunbi An - 943-971 ‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets
by Abinash Mishra & Pranjal Srivastava & Anindya S. Chakrabarti - 973-995 Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics
by Maria Elena De Giuli & Andrea Flori & Daniela Lazzari & Alessandro Spelta - 997-1016 Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach
by Xiaodong Wang & Fushing Hsieh
April 2022, Volume 22, Issue 4
- 611-629 Stationary Heston model: calibration and pricing of exotics using product recursive quantization
by Vincent Lemaire & Thibaut Montes & Gilles Pagès - 631-631 In Memoriam Mardi Dungey
by Michael Dempster & Jim Gatheral - 633-634 Errata: Instantaneous Portfolio theory
by Dilip B. Madan & Sofie Reyners & Wim Schoutens - 635-637 Applied Econometrics
by Ali G. Yucel - 639-656 JDOI variance reduction method and the pricing of American-style options
by Johan Auster & Ludovic Mathys & Fabio Maeder - 657-673 Variance reduction for risk measures with importance sampling in nested simulation
by Yue Xing & Tony Sit & Hoi Ying Wong - 675-689 Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
by Søren Asmussen & Mogens Bladt - 691-705 A generalized Esscher transform for option valuation with regime switching risk
by R. J. Elliott & T. K. Siu - 707-723 Cheapest-to-deliver collateral: a common factor approach
by F. L. Wolf & L. A. Grzelak & G. Deelstra - 725-742 Pricing renewable identification numbers under uncertainty
by Mohamad Afkhami & Hamed Ghoddusi - 743-760 Characterizing financial crises using high-frequency data
by Mardi Dungey & Jet Holloway & Abdullah Yalaman & Wenying Yao - 761-776 Life insurance surrender and liquidity risks
by Hsiaoyin Chang & Hato Schmeiser - 777-797 Rating frailty, Bayesian updates, and portfolio credit risk analysis
by Shang Bu & Nan Guo & Lingfei Li
March 2022, Volume 22, Issue 3
- 407-407 In memoriam Peter Carr
by Michael Dempster & Jim Gatheral - 409-421 Conditions for bubbles to arise under heterogeneous beliefs
by Seunghyun Lee & Hyungbin Park - 423-425 Synthetic Data for Deep Learning
by Blanka Horvath - 427-446 The SINC way: a fast and accurate approach to Fourier pricing
by Fabio Baschetti & Giacomo Bormetti & Silvia Romagnoli & Pietro Rossi - 447-462 A fast algorithm for simulation of rough volatility models
by Jingtang Ma & Haofei Wu - 463-480 Short-dated smile under rough volatility: asymptotics and numerics
by Peter K. Friz & Paul Gassiat & Paolo Pigato - 481-500 Robust control in a rough environment
by Bingyan Han & Hoi Ying Wong - 501-518 Additive normal tempered stable processes for equity derivatives and power-law scaling
by Michele Azzone & Roberto Baviera - 519-539 Performance measurement for option portfolios in a stochastic volatility framework
by Rainer Baule & Oliver Entrop & Sebastian Wessels - 541-561 Tempered stable processes with time-varying exponential tails
by Young Shin Kim & Kum-Hwan Roh & Raphael Douady - 563-583 State-dependent Hawkes processes and their application to limit order book modelling
by Maxime Morariu-Patrichi & Mikko S. Pakkanen - 585-596 Optimal trade execution for Gaussian signals with power-law resilience
by Martin Forde & Leandro Sánchez-Betancourt & Benjamin Smith - 597-610 Market making with inventory control and order book information
by E. Donatoni & S. Paterlini & F. Bazzana
February 2022, Volume 22, Issue 2
- 197-211 Bond market completeness under stochastic strings with distribution-valued strategies
by Alberto Bueno-Guerrero & Manuel Moreno & Javier F. Navas - 213-240 Classification of flash crashes using the Hawkes(p,q) framework
by Alexander Wehrli & Didier Sornette - 241-253 Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
by Khaldoun Khashanah & Chenjie Shao - 255-271 Forecasting market index volatility using Ross-recovered distributions
by Marie-Hélène Gagnon & Gabriel J. Power & Dominique Toupin - 273-287 Forecasting exchange rates using asymmetric losses: A Bayesian approach
by Georgios Tsiotas - 289-302 Myopic robust index tracking with Bregman divergence
by S. Penev & P. V. Shevchenko & W. Wu - 303-319 Estimation risk and the implicit value of index-tracking
by Brian Clark & Chanaka Edirisinghe & Majeed Simaan - 321-331 Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm
by Xin Zhang & Lan Wu & Zhixue Chen - 333-347 Portfolio optimization with a prescribed terminal wealth distribution
by Ivan Guo & Nicolas Langrené & Grégoire Loeper & Wei Ning - 349-366 Sparse index clones via the sorted ℓ1-Norm
by Philipp J. Kremer & Damian Brzyski & Małgorzata Bogdan & Sandra Paterlini - 367-384 Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators
by Qun Zhang & Didier Sornette & Liyan Han - 385-406 The impact of CoCo bonds on systemic risk considering liquidity risk
by Ping Li & Yanhong Guo & Hui Meng
January 2022, Volume 22, Issue 1
- 1-21 Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?
by Paul Besson & Matthieu Lasnier - 23-24 Blockchain and Distributed Ledgers: Mathematics, Technology, and Economics
by Artur Sepp - 28-30 Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance
by Giorgio Consigli & Miloš Kopa & Alois Pichler - 31-45 Quantification of risk in classical models of finance
by Alois Pichler & Ruben Schlotter - 47-73 Equal risk pricing and hedging of financial derivatives with convex risk measures
by Saeed Marzban & Erick Delage & Jonathan Yu-Meng Li - 75-94 Kelly investing with downside risk control in a regime-switching market
by Leonard MacLean & Yonggan Zhao - 95-112 The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems
by John R. Birge & Jörgen Blomvall & Jonas Ekblom - 113-127 Distributionally robust portfolio optimization with linearized STARR performance measure
by Ran Ji & Miguel A. Lejeune & Zhengyang Fan - 129-145 Lifetime consumption and investment with housing, deferred annuities and home equity release
by Chul Jang & Iqbal Owadally & Andrew Clare & Muhammad Kashif - 149-169 Liquidity fluctuations and the latent dynamics of price impact
by Luca Philippe Mertens & Alberto Ciacci & Fabrizio Lillo & Giulia Livieri - 171-195 Price impact on term structure
by Damiano Brigo & Federico Graceffa & Eyal Neuman
December 2021, Volume 21, Issue 12
- 1993-2004 Portfolio insurers and constant weight traders: who will survive?
by Emilio Barucci & Pietro Dindo & Francesca Grassetti - 2005-2006 An Introduction to Machine Learning in Quantitative Finance
by Gonçalo dos Reis & Calum Strange - 2007-2024 An investigation of cryptocurrency data: the market that never sleeps
by D. Vidal-Tomás - 2025-2054 A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
by Len Patrick Dominic M. Garces & Gerald H. L. Cheang - 2055-2068 Dynamic patterns of daily lead-lag networks in stock markets
by Yongli Li & Chao Liu & Tianchen Wang & Baiqing Sun - 2069-2087 Antinoise in U.S. equity markets
by Enoch Cheng & Clemens C. Struck - 2089-2101 Revisiting the Samuelson hypothesis on energy futures
by W.-H. Liu - 2103-2118 The interest rate factor in commodity markets
by Haicheng Shu - 2119-2135 Time-frequency forecast of the equity premium
by Gonçalo Faria & Fabio Verona
November 2021, Volume 21, Issue 11
- 1791-1805 Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model
by Zhiyuan Pan & Yudong Wang & Li Liu - 1807-1808 The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative
by Rosario N. Mantegna - 1809-1824 CMS spread options
by Patrick S. Hagan & Andrew S. Lesniewski & G. E. Skoufis & Diana E. Woodward - 1825-1853 Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies
by Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner - 1855-1868 Why has the equal weight portfolio underperformed and what can we do about it?
by B. H. Taljaard & E. Maré - 1869-1883 When do two- or three-fund separation theorems hold?
by Carole Bernard & Corrado De Vecchi & Steven Vanduffel - 1885-1904 The limitations of estimating implied densities from option prices
by Austin Shelton & Hayden Kane & Charles Favreau - 1905-1919 Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective
by Simon Behrendt - 1921-1933 The Hull–White model under volatility uncertainty
by Julian Hölzermann - 1935-1954 Implied Markov transition matrices under structural price models
by Boris Defourny & Somayeh Moazeni - 1955-1975 Forecasting robust value-at-risk estimates: evidence from UK banks
by Marius Galabe Sampid & Haslifah M. Hasim - 1977-1992 CME iceberg order detection and prediction
by Dmitry Zotikov & Anton Antonov
October 2021, Volume 21, Issue 10
- 1605-1619 Tile test for back-testing risk evaluation
by Gilles Zumbach - 1621-1645 How does bank credit affect the shape of business groups' internal capital markets?
by Andrea Giovannetti - 1647-1667 Continuous-time stochastic mutual fund management game between active and passive funds
by Kai Han & Ximin Rong & Yang Shen & Hui Zhao - 1669-1685 Quantitative statistical robustness for tail-dependent law invariant risk measures
by Wei Wang & Huifu Xu & Tiejun Ma - 1687-1706 Implied volatility directional forecasting: a machine learning approach
by Spyridon D. Vrontos & John Galakis & Ioannis D. Vrontos - 1707-1721 Robust portfolio rebalancing with cardinality and diversification constraints
by Zhihua Zhao & Fengmin Xu & Donglei Du & Wang Meihua - 1723-1751 Optimal investment strategy in the family of 4/2 stochastic volatility models
by Yuyang Cheng & Marcos Escobar-Anel - 1753-1772 Option hedging using LSTM-RNN: an empirical analysis
by Junhuan Zhang & Wenjun Huang - 1773-1790 On a new parametrization class of solvable diffusion models and transition probability kernels
by Sebastian F. Tudor & Rupak Chatterjee & Igor Tydniouk
September 2021, Volume 21, Issue 9
- 1413-1433 Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
by Thomas Lux - 1435-1436 Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading
by Blanka Horvath - 1437-1459 Active and passive portfolio management with latent factors
by A. Al-Aradi & S. Jaimungal - 1461-1473 Mean–variance portfolio selection under partial information with drift uncertainty
by Jie Xiong & Zuo Quan Xu & Jiayu Zheng - 1475-1490 Optimal portfolio allocation and asset centrality revisited
by Jose Olmo - 1491-1499 A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects
by Halina Frydman & Anna Matuszyk & Chang Li & Weicheng Zhu - 1501-1518 Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
by I. Anagnostou & T. Squartini & D. Kandhai & D. Garlaschelli - 1519-1532 Callable barrier reverse convertible securities
by Jerome Detemple & Yerkin Kitapbayev - 1533-1549 Heterogeneity and clustering of defaults
by A. K. Karlis & G. Galanis & S. Terovitis & M. S. Turner - 1551-1565 Valuation of non-negative equity guarantees, considering contagion risk for house prices under the HJM interest rate model
by Fen-Ying Chen & Sharon S. Yang & Hong-Chih Huang - 1567-1587 Pairs trading with general state space models
by Guang Zhang - 1589-1603 Coherent portfolio performance ratios
by Yoram Kroll & Andrea Marchioni & Moshe Ben-Horin
August 2021, Volume 21, Issue 8
- 1235-1247 From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect
by Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum - 1249-1255 Bitcoin, currencies, and fragility
by Nassim Nicholas Taleb - 1257-1262 Cryptocurrencies change everything
by Alexander Lipton - 1263-1265 Mathematics of the Bond Market: A Lévy Processes Approach
by Zorana Grbac & Blanka Horvath - 1267-1279 When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market
by Klaus Grobys - 1281-1299 Explicit option valuation in the exponential NIG model
by Jean-Philippe Aguilar - 1301-1307 Valuation of options under a constant elasticity of variance process and stochastic volatility
by Mohammed A. AbaOud - 1309-1323 Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing
by Jian Liang & Zhe Xu & Peter Li - 1325-1349 Learning the dynamics of technical trading strategies
by N. J. Murphy & T. J. Gebbie - 1351-1364 Reduction of estimation error impact in the risk parity strategies
by Hyuksoo Kim & Saejoon Kim - 1365-1386 Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
by Marco Realdon - 1387-1411 Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables
by Nima Nonejad
July 2021, Volume 21, Issue 7
- 1067-1075 Beyond convexity
by Jessica James & Michael Leister & Christoph Rieger - 1077-1081 The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
by Alexander Lipton - 1083-1086 A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
by Jaehyuk Choi & Lixin Wu - 1087-1108 Computation of expected shortfall by fast detection of worst scenarios
by Bruno Bouchard & Adil Reghai & Benjamin Virrion - 1109-1125 Backtesting expected shortfall and beyond
by Kaihua Deng & Jie Qiu - 1127-1146 Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes
by Masaaki Fukasawa & Asuto Hirano - 1147-1161 Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme
by Yuji Shinozaki - 1163-1185 Multilayer information spillover networks: measuring interconnectedness of financial institutions
by Gang-Jin Wang & Shuyue Yi & Chi Xie & H. Eugene Stanley - 1187-1206 Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
by Lijun Bo & Yanchu Liu & Tingting Zhang - 1207-1221 Estimating large losses in insurance analytics and operational risk using the g-and-h distribution
by M. Bee & J. Hambuckers & L. Trapin - 1223-1233 Bond indifference prices
by Matthew Lorig & Bin Zou
June 2021, Volume 21, Issue 6
- 881-889 Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle
by Andrew F. Siegel - 891-892 Handbook of Financial Risk Management
by Allan M. Malz - 893-909 Smart Alpha: active management with unstable and latent factors
by C. Boucher & A. Jasinski & P. Kouontchou & S. Tokpavi - 911-928 A practical guide to robust portfolio optimization
by C. Yin & R. Perchet & F. Soupé - 929-943 The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics
by Gurupdesh Pandher - 945-965 Informative option portfolios in filter design for option pricing models
by Piotr Orłowski - 967-989 Effects of a government subsidy and labor flexibility on portfolio selection and retirement
by Kyunghyun Park & Hyoseob Lee & Yong Hyun Shin - 991-1010 Robust portfolios with commodities and stochastic interest rates
by Junhe Chen & Matt Davison & M. Escobar-Anel & Golara Zafari - 1011-1025 Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis
by Kerstin Bergk & Mario Brandtner & Wolfgang Kürsten - 1027-1035 Portfolio choices: comparative statics under both expected return and volatility uncertainty
by Qian Lin & Dejian Tian - 1037-1065 Call auction, continuous trading and closing price formation
by Jiayi Li & Sumei Luo & Guangyou Zhou
May 2021, Volume 21, Issue 5
- 697-710 Lattice-based hedging schemes under GARCH models
by Maciej Augustyniak & Alexandru Badescu & Zhiyu Guo - 711-712 Financial Modeling in Commodity Markets
by Stein Frydenberg - 713-727 Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
by Ana González-Urteaga & Belén Nieto & Gonzalo Rubio - 729-752 Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
by Alexander Wehrli & Spencer Wheatley & Didier Sornette - 753-770 Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue
by J. L. Ma & S. S. Zhu & Y. Wu - 771-796 Improvements in estimating the probability of informed trading models
by Tsung-Chi Cheng & Hung-Neng Lai - 797-813 Generative adversarial networks for financial trading strategies fine-tuning and combination
by Adriano Koshiyama & Nick Firoozye & Philip Treleaven - 815-835 The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
by Minjoo Kim & Junhong Yang & Pengcheng Song & Yang Zhao - 837-852 Effective stochastic volatility: applications to ZABR-type models
by M. Felpel & J. Kienitz & T. A. McWalter - 853-863 Jumps and oil futures volatility forecasting: a new insight
by Feng Ma & Chao Liang & Qing Zeng & Haibo Li - 865-879 Uncertainty shocks of Trump election in an interval model of stock market
by Yuying Sun & Kenan Qiao & Shouyang Wang
April 2021, Volume 21, Issue 4
- 1-1 Correction
by The Editors - 523-537 Graph theoretical representations of equity indices and their centrality measures
by Luca F. Di Cerbo & Stephen Taylor - 539-540 Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models
by Artem Dyachenko - 541-563 Rough volatility, CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime
by Martin Forde & Benjamin Smith & Lauri Viitasaari - 565-574 Fractional stochastic volatility correction to CEV implied volatility
by Hyun-Gyoon Kim & Se-Jin Kwon & Jeong-Hoon Kim - 575-592 Artificial neural network for option pricing with and without asymptotic correction
by Hideharu Funahashi - 593-608 Equal risk pricing of derivatives with deep hedging
by Alexandre Carbonneau & Frédéric Godin - 609-635 Application of power series approximation techniques to valuation of European style options
by Nikolay Gudkov & Jonathan Ziveyi - 637-655 A functional analysis approach to the static replication of European options
by Sébastien Bossu & Peter Carr & Andrew Papanicolaou - 657-671 Mean-variance portfolio selection with non-negative state-dependent risk aversion
by Tianxiao Wang & Zhuo Jin & Jiaqin Wei - 673-684 Efficient computation of mean reverting portfolios using cyclical coordinate descent
by T. Griveau-Billion & B. Calderhead - 685-696 An alternative nonparametric tail risk measure
by Keith K.F. Law & W.K. Li & Philip L.H. Yu
March 2021, Volume 21, Issue 3
- 361-376 Quantization goes polynomial
by Giorgia Callegaro & Lucio Fiorin & Andrea Pallavicini - 377-378 Metals and Energy Finance
by Jacco Thijssen - 379-402 Robust statistical arbitrage strategies
by Eva Lütkebohmert & Julian Sester - 403-419 G-expected utility maximization with ambiguous equicorrelation
by Chi Seng Pun - 421-429 Realized higher-order comoments
by Kwangil Bae & Soonhee Lee - 431-447 A cost-effective approach to portfolio construction with range-based risk measures
by Chi Seng Pun & Lei Wang - 449-460 TERES: Tail Event Risk Expectile Shortfall
by Andrija Mihoci & Wolfgang Karl Härdle & Cathy Yi-Hsuan Chen - 461-480 A Markov chain approximation scheme for option pricing under skew diffusions
by Kailin Ding & Zhenyu Cui & Yongjin Wang - 481-499 Speed-up credit exposure calculations for pricing and risk management
by Kathrin Glau & Ricardo Pachon & Christian Pötz - 501-522 Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
by W. Dong & B. Kang
February 2021, Volume 21, Issue 2
- 185-195 Optimal multi-asset trading with linear costs: a mean-field approach
by Matt Emschwiller & Benjamin Petit & Jean-Philippe Bouchaud - 197-198 A Course on Rough Paths: With an Introduction to Regularity Structures
by Antoine Lejay - 199-219 Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
by John R. Birge & L. Chavez-Bedoya - 221-242 Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty
by David Bauder & Taras Bodnar & Nestor Parolya & Wolfgang Schmid - 243-261 Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
by R. Giacometti & G. Torri & S. Paterlini - 263-270 A note on - vs. -expected loss portfolio constraints
by Jia-Wen Gu & Mogens Steffensen & Harry Zheng - 271-280 Martingale transport with homogeneous stock movements
by Stephan Eckstein & Michael Kupper - 281-294 Static replication of barrier-type options via integral equations
by Kyoung-Kuk Kim & Dong-Young Lim - 295-304 The market nanostructure origin of asset price time reversal asymmetry
by Marcus Cordi & Damien Challet & Serge Kassibrakis - 305-322 Pricing and hedging performance on pegged FX markets based on a regime switching model
by Yunbo Zhang & Samuel Drapeau - 323-340 Design of adaptive Elman networks for credit risk assessment
by Marco Corazza & Davide De March & Giacomo di Tollo - 341-360 Cryptocurrency liquidity during extreme price movements: is there a problem with virtual money?
by Viktor Manahov
January 2021, Volume 21, Issue 1
- 1-8 Volatility has to be rough
by Masaaki Fukasawa - 9-10 Machine Learning in Finance: From Theory to Practice
by Guillaume Coqueret