Content
January 2021, Volume 21, Issue 1
- 143-163 Mechanics of good trade execution in the framework of linear temporary market impact
by Claudio Bellani & Damiano Brigo - 165-183 Multivariate continuous-time modeling of wind indexes and hedging of wind risk
by Fred E. Benth & Troels S. Christensen & Victor Rohde
December 2020, Volume 20, Issue 12
- 1889-1898 Modeling and solving portfolio selection problems based on PVaR
by Yanli Huo & Chunhui Xu & Takayuki Shiina - 1901-1902 Editor’s foreword
by Ke Tang - 1903-1925 Bond flotation with exotic commodity collateral
by M. A. H. Dempster - 1927-1966 The impact of US macroeconomic news announcements on Chinese commodity futures
by Haidong Cai & Shamim Ahmed & Ying Jiang & Xiaoquan Liu - 1967-1981 Identifying the influential factors of commodity futures prices through a new text mining approach
by Jianping Li & Guowen Li & Xiaoqian Zhu & Yanzhen Yao - 1983-1996 Index volatility and the put-call ratio: a tale of three markets
by Jianhua Gang & Nan Huang & Ke Song & Ruyi Zhang - 1997-2013 Hedging housing price risks: some empirical evidence from the US
by Li Bao & William Cheung & Stephan Unger - 2015-2024 The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets
by Gideon Bruce Arkorful & Haiqiang Chen & Xiaoqun Liu & Chuanhai Zhang - 2025-2036 Volatility information difference between CDS, options, and the cross section of options returns
by Biao Guo & Yukun Shi & Yaofei Xu - 2037-2053 Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
by Changfu Ma & Wei Xu & George Yuan - 2055-2065 Chinese write-down bonds: issuance and bank capital structure
by P. Li & Y. Han & S. Lin & T. Qiao - 2067-2083 Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
by Feng He & Baiao Liu-Chen & Xiangtong Meng & Xiong Xiong & Wei Zhang - 2085-2100 Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness
by Shimeng Shi & Pei Liu & Jiayuan Xin - 2101-2114 Neural network-based automatic factor construction
by Jie Fang & Jianwu Lin & Shutao Xia & Zhikang Xia & Shenglei Hu & Xiang Liu & Yong Jiang
November 2020, Volume 20, Issue 11
- 1749-1760 Pricing American options by exercise rate optimization
by Christian Bayer & Raúl Tempone & Sören Wolfers - 1761-1762 Machine Learning for Asset Managers
by Kris Boudt - 1765-1778 Unveiling the relation between herding and liquidity with trader lead-lag networks
by Carlo Campajola & Fabrizio Lillo & Daniele Tantari - 1779-1794 The information content of high-frequency traders aggressive orders: recent evidence
by Pamela Saliba - 1795-1809 Testing for jumps based on high-frequency data: a method exploiting microstructure noise
by Guangying Liu & Jing Xiang & Yuquan Cang - 1811-1823 Pricing exchange options with correlated jump diffusion processes
by Nicola Cufaro Petroni & Piergiacomo Sabino - 1825-1837 A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
by Toshihiro Yamada & Kenta Yamamoto - 1839-1848 On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
by Fabio Bellini & Lorenzo Mercuri & Edit Rroji - 1849-1878 Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
by Richard Gerlach & Antonio Naimoli & Giuseppe Storti - 1879-1887 Forecasting high-dimensional realized volatility matrices using a factor model
by Keren Shen & Jianfeng Yao & Wai Keung Li
October 2020, Volume 20, Issue 10
- 1583-1589 An options-pricing approach to election prediction
by John Fry & Matt Burke - 1591-1594 High-Dimensional Probability: An Introduction with Applications in Data Science
by Omiros Papaspiliopoulos - 1597-1623 Inversion of convex ordering in the VIX market
by Julien Guyon - 1625-1644 Optimal and equilibrium execution strategies with generalized price impact
by Masamitsu Ohnishi & Makoto Shimoshimizu - 1645-1661 Forward-looking portfolio selection with multivariate non-Gaussian models
by Michele Leonardo Bianchi & Gian Luca Tassinari - 1663-1679 m-Double Poisson Lévy markets
by W. Buckley & H. Long & S. Perera - 1681-1699 Adjusting covariance matrix for risk management
by Philip L. H. Yu & F.C. Ng & Jessica K.W. Ting - 1701-1720 Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
by Jiangming Xiang & Xiaoqun Wang - 1721-1748 An agent-based model for the assessment of LTV caps
by Dimitrios Laliotis & Alejandro Buesa & Miha Leber & Javier Población
September 2020, Volume 20, Issue 9
- 1405-1413 A neural network approach to understanding implied volatility movements
by Jay Cao & Jacky Chen & John Hull - 1415-1416 Behavioral Finance: What Everyone Needs to Know
by The Editors - 1419-1440 Quant GANs: deep generation of financial time series
by Magnus Wiese & Robert Knobloch & Ralf Korn & Peter Kretschmer - 1441-1456 Modelling the joint behaviour of electricity prices in interconnected markets
by Troels Sønderby Christensen & Fred Espen Benth - 1457-1473 Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
by Christian Bayer & Chiheb Ben Hammouda & Raúl Tempone - 1475-1493 Clearing price distributions in call auctions
by M. Derksen & B. Kleijn & R. de Vilder - 1495-1512 Optimal market making in the presence of latency
by Xuefeng Gao & Yunhan Wang - 1513-1530 High-dimensional index tracking based on the adaptive elastic net
by Lianjie Shu & Fangquan Shi & Guoliang Tian - 1531-1551 Stock-specific sentiment and return predictability
by Guillaume Coqueret - 1553-1566 Measuring liquidity commonality in financial markets
by Chenlu Li & Baibing Li & Kai-Hong Tee - 1567-1581 Deep learning for ranking response surfaces with applications to optimal stopping problems
by Ruimeng Hu
August 2020, Volume 20, Issue 8
- 1227-1235 Strike from volatility and delta-with-premium
by Peter Jäckel - 1237-1238 Book review
by The Editors - 1239-1261 Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
by John M. Mulvey & Yifan Sun & Mengdi Wang & Jing Ye - 1263-1283 Algorithmic trading in a microstructural limit order book model
by Frédéric Abergel & Côme Huré & Huyên Pham - 1285-1306 Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process
by Lan Wu & Xin Zang & Hongxin Zhao - 1307-1324 Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
by Tat Lung (Ron) Chan & Nicholas Hale - 1325-1343 An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes
by Tat Lung (Ron) Chan - 1345-1371 Macroeconomic fundamentals, jump dynamics and expected volatility
by Zhiyuan Pan & Ruijun Bu & Li Liu & Yudong Wang - 1373-1388 From equity to default correlation with taxes
by Sheen Liu & Howard Qi & Yan Alice Xie - 1389-1404 Accelerated share repurchase and other buyback programs: what neural networks can bring
by Olivier Guéant & Iuliia Manziuk & Jiang Pu
July 2020, Volume 20, Issue 7
- 1045-1056 Shock amplification in financial networks with applications to the CCP feasibility
by Dohyun Ahn - 1057-1058 Stochastic Disorder Problems
by Sébastien Lleo - 1059-1068 Are trading invariants really invariant? Trading costs matter
by Frédéric Bucci & Fabrizio Lillo & Jean-Philippe Bouchaud & Michael Benzaquen - 1069-1083 Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
by G. dos Reis & M. Pfeuffer & G. Smith - 1085-1100 Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
by Yang-Che Wu & Ting-Fu Chen & Shih-Kuei Lin - 1101-1122 Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective
by George Chalamandaris - 1123-1148 Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
by Robert Matthijs Verschuren - 1149-1167 Stock volatility predictability in bull and bear markets
by Xingyi Li & Valeriy Zakamulin - 1169-1184 Effects of intervaling on high-frequency realized higher-order moments
by Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan - 1185-1197 Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
by Jean-Michel Maeso & Lionel Martellini - 1199-1211 Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
by Jingtang Ma & Zhengyang Lu & Wenyuan Li & Jie Xing - 1213-1226 Forward or backward simulation? A comparative study
by Piergiacomo Sabino
June 2020, Volume 20, Issue 6
- 887-894 From risk bearing to propheteering
by Ilia Bouchouev - 895-897 Stochastic Flows and Jump-Diffusions
by Tak Kuen Siu - 899-918 Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
by C. E. Phelan & D. Marazzina & G. Germano - 919-933 A comparison principle between rough and non-rough Heston models—with applications to the volatility surface
by M. Keller-Ressel & A. Majid - 935-948 A revised option pricing formula with the underlying being banned from short selling
by Xin-Jiang He & Song-Ping Zhu - 949-967 Exchange options under clustered jump dynamics
by Yong Ma & Dongtao Pan & Tianyang Wang - 969-984 Slow-moving capital and stock returns
by Sergey Isaenko - 985-1007 Trend following with momentum versus moving averages: a tale of differences
by Valeriy Zakamulin & Javier Giner - 1009-1026 The implied Sharpe ratio
by Ankush Agarwal & Matthew Lorig - 1027-1043 Noise fit, estimation error and a Sharpe information criterion
by Dirk Paulsen & Jakob Söhl
May 2020, Volume 20, Issue 5
- 709-719 Option pricing methods in the City of London during the late 19th century
by George Dotsis - 721-722 Collected Works of Marida Bertocchi
by Costanza Torricelli - 723-743 On the first hitting time density for a reducible diffusion process
by Alexander Lipton & Vadim Kaushansky - 745-767 Probability weighting and default risk: a possible explanation for distressed stock puzzles
by Akira Yamazaki - 769-781 Random matrix models for datasets with fixed time horizons
by G. L. Zitelli - 783-797 A neural network enhanced volatility component model
by Jia Zhai & Yi Cao & Xiaoquan Liu - 799-821 Dynamic principal component CAW models for high-dimensional realized covariance matrices
by Bastian Gribisch & Michael Stollenwerk - 823-849 Implied volatility sentiment: a tale of two tails
by Luiz Félix & Roman Kräussl & Philip Stork - 851-865 Pricing high-dimensional American options by kernel ridge regression
by Wenbin Hu & Tomasz Zastawniak - 867-886 Variable annuities in a Lévy-based hybrid model with surrender risk
by Laura Ballotta & Ernst Eberlein & Thorsten Schmidt & Raghid Zeineddine
April 2020, Volume 20, Issue 4
- 531-542 Conic quantization: stochastic volatility and market implied liquidity
by Lucio Fiorin & Wim Schoutens - 543-544 Infinite Powers: The Story of Calculus - The Language of the Universe
by Sébastien Lleo - 545-545 Calendar
by The Editors - 547-571 Scenario analysis for derivative portfolios via dynamic factor models
by Martin B. Haugh & Octavio Ruiz Lacedelli - 573-591 Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
by Ludovic Goudenège & Andrea Molent & Antonino Zanette - 593-617 The dynamics of ex-ante weighted spread: an empirical analysis
by Georges Dionne & Xiaozhou Zhou - 619-638 VIX futures term structure and the expectations hypothesis
by Ivan Oscar Asensio - 639-652 Index tracking through deep latent representation learning
by Saejoon Kim & Soong Kim - 653-668 The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
by Qingfu Liu & Pan Jiang & Yunbi An & Keith Cheung - 669-689 A set-valued Markov chain approach to credit default
by Dianfa Chen & Jun Deng & Jianfen Feng & Bin Zou - 691-707 On the propensity to issue contingent convertible (CoCo) bonds
by José Fajardo & Layla Mendes
March 2020, Volume 20, Issue 3
- 347-357 A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
by W.J. Hinderks & R. Korn & A. Wagner - 359-360 Machine Learning: An Applied Mathematics Introduction
by Sébastien Lleo - 361-361 Calendar
by The Editors - 363-378 Buy rough, sell smooth
by Paul Glasserman & Pu He - 379-392 Calibrating rough volatility models: a convolutional neural network approach
by Henry Stone - 393-408 A PDE method for estimation of implied volatility
by Ivan Matić & Radoš Radoičić & Dan Stefanica - 409-423 Equilibrium implications of interest rate smoothing
by Diogo Duarte & Rodolfo Prieto - 425-446 Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk
by Marcus Scheffer & Gregor N. F. Weiß - 447-461 Market or limit orders?
by Daniel Mitchell & Jingnan Chen - 463-482 Agent-based modelling in directional-change intrinsic time
by V. Petrov & A. Golub & R. Olsen - 483-497 A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
by Juan Dong & Lyudmila Korobenko & A. Deniz Sezer - 499-513 Investment decisions when utility depends on wealth and other attributes
by Andrew Grant & Steve Satchell - 515-526 Personalized goal-based investing via multi-stage stochastic goal programming
by Woo Chang Kim & Do-Gyun Kwon & Yongjae Lee & Jang Ho Kim & Changle Lin - 527-529 Correction
by The Editors
February 2020, Volume 20, Issue 2
- 1-1 Correction
by The Editors - 173-188 A critical investigation of cryptocurrency data and analysis
by C. Alexander & M. Dakos - 189-190 Advances in Financial Machine Learning
by Peter Schwendner - 191-191 Calendar
by The Editors - 193-205 Co-impact: crowding effects in institutional trading activity
by F. Bucci & I. Mastromatteo & Z. Eisler & F. Lillo & J.-P. Bouchaud & C.-A. Lehalle - 207-234 Estimating the money market microstructure with negative and zero interest rates
by Edoardo Rainone & Francesco Vacirca - 235-241 The Zumbach effect under rough Heston
by Omar El Euch & Jim Gatheral & Radoš Radoičić & Mathieu Rosenbaum - 243-254 A closed-form formula characterization of the Epps effect
by Giuseppe Buccheri & Giulia Livieri & Davide Pirino & Alessandro Pollastri - 255-274 Adaptive Lasso for vector Multiplicative Error Models
by Luca Cattivelli & Giampiero M. Gallo - 275-290 Loss aversion in an agent-based asset pricing model
by Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings - 291-310 Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
by Gerald H. L. Cheang & Len Patrick Dominic M. Garces - 311-328 Bayesian regularized artificial neural networks for the estimation of the probability of default
by Eduard Sariev & Guido Germano - 329-346 Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S
by Chris Charalambous & Spiros H. Martzoukos & Zenon Taoushianis
January 2020, Volume 20, Issue 1
- 1-8 Trend-following market behaviour at the 4pm London time BFIX and WMR fixing windows
by Carl Husselmann & Kristjan Kasikov - 9-10 Bond Pricing and Yield Curve Modeling: A Structural Approach
by Jingnan Chen - 11-11 Calendar
by The Editors - 13-27 Exponentiation of conditional expectations under stochastic volatility
by Elisa Alòs & Jim Gatheral & Radoš Radoičić - 29-36 A path-integral approximation for non-linear diffusions
by Luca Capriotti - 37-47 Options on a traded account: symmetric treatment of the underlying assets
by J. Vecer & J. Kampen & R. Navratil - 49-67 Quasi-Monte Carlo-based conditional pathwise method for option Greeks
by Chaojun Zhang & Xiaoqun Wang - 69-79 Stock market trend prediction using a functional time series approach
by Shih-Feng Huang & Meihui Guo & May-Ru Chen - 81-98 Analyzing order flows in limit order books with ratios of Cox-type intensities
by Ioane Muni Toke & Nakahiro Yoshida - 99-117 Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk
by Vladimir Chorniy & Vinay Kotecha - 119-132 Detecting and identifying arbitrage in the spot foreign exchange market
by Zhenyu Cui & Wenhan Qian & Stephen Taylor & Lingjiong Zhu - 133-145 On the interplay between multiscaling and stock dependence
by R. J. Buonocore & G. Brandi & R. N. Mantegna & T. Di Matteo - 147-171 Pricing bounds and bang-bang analysis of the Polaris variable annuities
by Zhiyi Shen & Chengguo Weng
December 2019, Volume 19, Issue 12
- 1933-1944 Trading too expensively in the FX market?
by Milla Siikanen & Ulrich Nögel & Juho Kanniainen - 1945-1949 The Book of Why: The New Science of Cause and Effect
by Lisa R. Goldberg - 1951-1951 Calendar
by The Editors - 1953-1974 Multilayer overlaps and correlations in the bank-firm credit network of Spain
by Duc Thi Luu & Thomas Lux - 1975-1993 Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx
by Olivier Nataf & Lieven De Moor - 1995-2013 Lifting the Heston model
by Eduardo Abi Jaber - 2015-2031 Volatility modeling and prediction: the role of price impact
by Ying Jiang & Yi Cao & Xiaoquan Liu & Jia Zhai - 2033-2050 Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
by Ymir Mäkinen & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis - 2051-2067 Forecasting trade durations via ACD models with mixture distributions
by R. P. Yatigammana & J. S. K. Chan & R. H. Gerlach - 2069-2085 Constrained optimality for controlled switching diffusions with an application to stock purchasing
by Xianggang Lu - 2087-2094 Closed-form Arrow-Debreu pricing for the Hull-White short rate model
by C. Turfus - 2095-2109 Rational explanation for rule-of-thumb practices in asset allocation
by Majeed Simaan & Yusif Simaan
November 2019, Volume 19, Issue 11
- 1763-1766 Impact is not just volatility
by Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud - 1767-1769 A Crisis of Beliefs: Investor Psychology and Financial Fragility
by Riccardo Rebonato - 1771-1774 Election predictions are arbitrage-free: response to Taleb
by Aubrey Clayton - 1775-1776 All roads lead to quantitative finance
by Nassim Nicholas Taleb & Dhruv Madeka - 1777-1777 Calendar
by The Editors - 1779-1795 Systemic illiquidity in the interbank network
by Gerardo Ferrara & Sam Langfield & Zijun Liu & Tomohiro Ota - 1797-1815 Tightening robust price bounds for exotic derivatives
by Eva Lütkebohmert & Julian Sester - 1817-1837 Model-driven statistical arbitrage on LETF option markets
by S. Nasekin & W. K. Härdle - 1839-1855 Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
by Daniel Borup & Johan S. Jakobsen - 1857-1873 On the efficacy of stop-loss rules in the presence of overnight gaps
by Argimiro Arratia & Albert Dorador - 1875-1892 Extreme downside risk and market turbulence
by Richard D. F. Harris & Linh H. Nguyen & Evarist Stoja - 1893-1904 Index tracking with utility enhanced weighting
by Ephraim Clark & Nitin Deshmukh & Celal Barkan Güran & Konstantino Kassimatis - 1905-1919 Portfolio choice with skewness preference and wealth-dependent risk aversion
by Congming Mu & Weidong Tian & Jinqiang Yang - 1921-1931 Real options maximizing survival probability under incomplete markets
by Jinglu Jiang & Congming Mu & Juan Peng & Jinqiang Yang
October 2019, Volume 19, Issue 10
- 1599-1608 The Aumann-Serrano risk factor and asset pricing: evidence from the Chinese A-share market
by Jianhua Gang & Zongxin Qian & Fan Chen - 1609-1610 Mathematical Finance: A Very Short Introduction
by John Hull - 1611-1611 Calendar
by The Editors - 1613-1625 Disentangling and quantifying market participant volatility contributions
by Marcello Rambaldi & Emmanuel Bacry & Jean-François Muzy - 1627-1638 Forecasting realised volatility using ARFIMA and HAR models
by Marwan Izzeldin & M. Kabir Hassan & Vasileios Pappas & Mike Tsionas - 1639-1658 Simulation-based Value-at-Risk for nonlinear portfolios
by Junyao Chen & Tony Sit & Hoi Ying Wong - 1659-1672 Structural asset pricing theory with wavelets
by Elizabeth Ann Housworth & Todd B. Walker & Chen Xu - 1673-1687 Weighing asset pricing factors: a least squares model averaging approach
by Yue Qiu & Yu Ren & Tian Xie - 1689-1704 American-type basket option pricing: a simple two-dimensional partial differential equation
by Hamza Hanbali & Daniel Linders - 1705-1726 Dynamic credit default swap curves in a network topology
by Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle - 1727-1740 A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
by Sylvia Endres & Johannes Stübinger - 1741-1761 Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
by Bing Dong & Wei Xu & Yue Kuen Kwok
September 2019, Volume 19, Issue 9
- 1425-1438 Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value
by Yaojie Zhang & Yu Wei & Li Liu - 1439-1440 Financial Engineering: Selected Works of Alexander Lipton
by Jessica James - 1441-1441 Calendar
by The Editors - 1445-1448 Editors' foreword
by Germán G. Creamer & Gary Kazantsev & Tomaso Aste - 1449-1459 Universal features of price formation in financial markets: perspectives from deep learning
by Justin Sirignano & Rama Cont - 1461-1471 Far from the madding crowd: collective wisdom in prediction markets
by G. Bottazzi & D. Giachini - 1473-1489 Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics
by Ying Chen & Wee Song Chua & Wolfgang Karl Härdle - 1491-1498 Forecasting market states
by Pier Francesco Procacci & Tomaso Aste - 1499-1506 Encoding of high-frequency order information and prediction of short-term stock price by deep learning
by Daigo Tashiro & Hiroyasu Matsushima & Kiyoshi Izumi & Hiroki Sakaji - 1507-1515 Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction
by Shun Chen & Lei Ge - 1517-1529 Learning multi-market microstructure from order book data
by Geonhwan Ju & Kyoung-Kuk Kim & Dong-Young Lim - 1531-1542 A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
by Germán G. Creamer & Chihoon Lee - 1543-1553 The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios
by Igor Halperin - 1555-1565 Detection of false investment strategies using unsupervised learning methods
by Marcos López de Prado & Michael J. Lewis - 1569-1577 Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
by Salim Lahmiri & Stelios Bekiros - 1579-1597 Estimation of risk contributions with MCMC
by Takaaki Koike & Mihoko Minami
August 2019, Volume 19, Issue 8
- 1255-1266 Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
by M. Bee & J. Hambuckers & L. Trapin - 1267-1268 The Art of Statistics: Learning from Data
by Sébastien Lleo - 1269-1269 Calendar
by The Editors - 1271-1291 Deep hedging
by H. Buehler & L. Gonon & J. Teichmann & B. Wood - 1293-1320 Dynamics of foreign exchange implied volatility and implied correlation surfaces
by S. Beer & H. Fink