Content
April 2018, Volume 18, Issue 4
- 533-533 Call for Papers: Special Issue on ‘AI and machine learning in finance’
by The Editors - 535-535 Calendar
by The Editors - 537-561 A multiple-curve Lévy forward rate model in a two-price economy
by Ernst Eberlein & Christoph Gerhart - 563-590 Multi-curve HJM modelling for risk management
by Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti - 591-608 An agent-based model of corporate bond trading
by K. Braun-Munzinger & Z. Liu & A. E. Turrell - 609-622 Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
by Stefano De Marco & Claude Martini - 623-635 Option augmented density forecasts of market returns with monotone pricing kernel
by Brendan K. Beare & Asad Dossani - 637-654 Analytic value function for optimal regime-switching pairs trading rules
by Yang Bai & Lan Wu - 655-671 Optimal execution in Hong Kong given a market-on-close benchmark
by Christoph Frei & Nicholas Westray - 673-692 COS method for option pricing under a regime-switching model with time-changed Lévy processes
by G. Tour & N. Thakoor & A. Q. M. Khaliq & D. Y. Tangman - 693-706 Recursive marginal quantization of higher-order schemes
by T. A. McWalter & R. Rudd & J. Kienitz & E. Platen
March 2018, Volume 18, Issue 3
- 333-345 Optimal portfolios under a correlation constraint
by C. Bernard & D. Cornilly & S. Vanduffel - 347-349 The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction
by Nikolaos Tessaromatis - 351-351 Calendar
by The Editors - 353-370 Short term prediction of extreme returns based on the recurrence interval analysis
by Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou - 371-393 Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
by Rasmus T. Varneskov & Pierre Perron - 395-417 A Bayesian encompassing test using combined value-at-risk estimates
by Georgios Tsiotas - 419-435 A logistic regression point of view toward loss given default distribution estimation
by Ruey-Ching Hwang & Chih-Kang Chu - 437-466 Empirical comparison of hazard models in predicting SMEs failure
by Jairaj Gupta & Andros Gregoriou & Tahera Ebrahimi - 467-481 Liquidity risk in derivatives valuation: an improved credit proxy method
by Sumit Sourabh & Markus Hofer & Drona Kandhai - 483-490 A new integral equation formulation for American put options
by Song-Ping Zhu & Xin-Jiang He & XiaoPing Lu - 491-505 Smoothing the payoff for efficient computation of Basket option prices
by Christian Bayer & Markus Siebenmorgen & Raul Tempone - 507-517 Sequential Monte Carlo for fractional stochastic volatility models
by Alexandra Chronopoulou & Konstantinos Spiliopoulos
February 2018, Volume 18, Issue 2
- 171-181 Sell in May and go away: the evidence in the international equity index futures markets
by Constantine Dzhabarov & Alexandre Ziegler & William T. Ziemba - 183-185 The Economy: Economics for a Changing World
by Riccardo Rebonato - 187-187 Calendar
by The Editors - 191-192 Editors’ foreword
by Maggie Chen & Alan Hawkes & Khaldoun Khashanah & David McMillan & Mathieu Rosenbaum & Enrico Scalas & Steve Yang - 193-198 Hawkes processes and their applications to finance: a review
by Alan G. Hawkes - 199-212 Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
by M. Achab & E. Bacry & J. F. Muzy & M. Rambaldi - 213-224 A slightly depressing jump model: intraday volatility pattern simulation
by Khaldoun Khashanah & Jing Chen & Alan Hawkes - 225-235 Performance of information criteria for selection of Hawkes process models of financial data
by J. Chen & A. G. Hawkes & E. Scalas & M. Trinh - 237-247 Collective synchronization and high frequency systemic instabilities in financial markets
by Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo - 249-264 High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
by Xiaofei Lu & Frédéric Abergel - 265-282 Transform analysis for Hawkes processes with applications in dark pool trading
by Xuefeng Gao & Xiang Zhou & Lingjiong Zhu - 283-293 Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
by M. Schneider & F. Lillo & L. Pelizzon - 295-310 Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
by Steve Y. Yang & Anqi Liu & Jing Chen & Alan Hawkes - 311-331 Constant proportion portfolio insurance strategies in contagious markets
by Alice Buccioli & Thomas Kokholm
January 2018, Volume 18, Issue 1
- 1-5 Election predictions as martingales: an arbitrage approach
by Nassim Nicholas Taleb - 7-8 Algorithmic and High-Frequency Trading
by Mathieu Rosenbaum - 9-9 Calendar
by The Editors - 11-30 The value of convexity: a theoretical and empirical investigation
by Riccardo Rebonato & Vladislav Putyatin - 31-44 Impact of multiple curve dynamics in credit valuation adjustments under collateralization
by Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini - 45-61 On VIX futures in the rough Bergomi model
by Antoine Jacquier & Claude Martini & Aitor Muguruza - 63-81 Dividend derivatives
by R. S. Tunaru - 83-95 Dynamic portfolio optimization across hidden market regimes
by Peter Nystrup & Henrik Madsen & Erik Lindström - 97-119 Optimal pair-trading strategy over long/short/square positions—empirical study
by Kiyoshi Suzuki - 121-138 Pairs trading with partial cointegration
by Matthew Clegg & Christopher Krauss - 139-169 How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
by Massimo Guidolin & Alexei G. Orlov & Manuela Pedio
December 2017, Volume 17, Issue 12
- 1783-1793 An empirical method of calculating the term premium
by Jessica James & Michael Leister & Christoph Rieger - 1795-1797 Financial Enterprise Risk Management
by Riccardo Rebonato - 1799-1799 Calendar
by The Editors - 1800-1800 Applications sought for book review editor from 2018
by The Editors - 1803-1804 Special Issue of on ‘Systemic risk analytics’
by Peter Sarlin & Tuomas Peltonen - 1805-1832 Can bank-specific variables predict contagion effects?
by Christoph Siebenbrunner & Michael Sigmund & Stefan Kerbl - 1833-1858 Financial networks and interconnectedness in an advanced emerging market economy
by Ariel J. Sun & Jorge A. Chan-Lau - 1859-1883 Monitoring systemic risk in the hedge fund sector
by Frank Hespeler & Giuseppe Loiacono - 1885-1904 Multichannel contagion and systemic stabilisation strategies in interconnected financial markets
by Antoaneta Sergueiva & V. L. Raju Chinthalapati & Thanos Verousis & Louisa Chen - 1905-1922 Equity markets’ clustering and the global financial crisis
by Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee - 1923-1932 Network reconstruction with UK CDS trade repository data
by William Abel & Laura Silvestri - 1933-1963 Toward robust early-warning models: a horse race, ensembles and model uncertainty
by Markus Holopainen & Peter Sarlin - 1965-1994 Dissecting the financial cycle with dynamic factor models
by Christian Menden & Christian R. Proaño - 1995-2008 Sovereign risk in the Euro area: a multivariate stochastic process approach
by Paolo Giudici & Laura Parisi
November 2017, Volume 17, Issue 11
- 1645-1653 ‘To have what they are having’: portfolio choice for mimicking mean–variance savers
by Vasyl Golosnoy & Nestor Parolya - 1655-1657 The Production of Money: How to Break the Power of Bankers
by Diane Coyle - 1659-1659 Calendar
by The Editors - 1661-1681 Option pricing under short-lived arbitrage: theory and tests
by Jimmy E. Hilliard & Jitka Hilliard - 1683-1695 Backward simulation methods for pricing American options under the CIR process
by Wenbin Hu & Junzi Zhou - 1697-1714 Determining the integrated volatility via limit order books with multiple records
by Yiqi Liu & Qiang Liu & Zhi Liu & Deng Ding - 1715-1733 HARA utility maximization in a Markov-switching bond–stock market
by M. Escobar & D. Neykova & R. Zagst - 1735-1743 On the properties of the Lambda value at risk: robustness, elicitability and consistency
by M. Burzoni & I. Peri & C. M. Ruffo - 1745-1757 Factor pricing in commodity futures and the role of liquidity
by Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan - 1759-1782 Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition
by Lin Zhao & Sweder van Wijnbergen
October 2017, Volume 17, Issue 10
- 1477-1486 FX options in target zones
by Peter P. Carr & Zura Kakushadze - 1487-1488 The Undoing Project: A Friendship that Changed the World
by Andreas Kapsner - 1489-1489 Calendar
by The Editors - 1491-1507 Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios
by Jingnan Chen & Mark D. Flood & Richard B. Sowers - 1509-1522 Bond yields and debt supply: new evidence through the lens of a preferred-habitat model
by Till Strohsal - 1523-1534 Optimising the multilateral netting of fungible OTC derivatives
by Dominic O’Kane - 1535-1547 Hedging efficiently under correlation
by Roberto Daluiso & Massimo Morini - 1549-1565 On an efficient multiple time step Monte Carlo simulation of the SABR model
by Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee - 1567-1581 Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
by Chou-Wen Wang & Sharon S. Yang & Jr-Wei Huang - 1583-1600 A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
by Anca Pircalabu & Jesper Jung - 1601-1616 Latency and liquidity provision in a limit order book
by Julius Bonart & Martin D. Gould - 1617-1630 Testing weak exogeneity in multiplicative error models
by Kul B. Luintel & Yongdeng Xu - 1631-1643 Dynamic mean–VaR portfolio selection in continuous time
by Ke Zhou & Jiangjun Gao & Duan Li & Xiangyu Cui
September 2017, Volume 17, Issue 9
- 1305-1318 Assessing the effectiveness of local and global quadratic hedging under GARCH models
by Maciej Augustyniak & Frédéric Godin & Clarence Simard - 1319-1322 Money changes everything: how finance made civilization possible
by Alexander Lipton - 1323-1323 Calendar
by The Editors - 1325-1345 Approximate pricing of swaptions in affine and quadratic models
by Anna Maria Gambaro & Ruggero Caldana & Gianluca Fusai - 1347-1366 A novel Monte Carlo approach to hybrid local volatility models
by Anthonie W. van der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee - 1367-1386 A re-examination of Libor rigging: a time-varying cointegration perspective
by Chew Lian Chua & Sandy Suardi & Yuanchen Chang - 1387-1401 How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates
by Ally Quan Zhang & Matthias Thul - 1403-1416 Practical Bayesian support vector regression for financial time series prediction and market condition change detection
by T. Law & J. Shawe-Taylor - 1417-1433 Extreme risk spillover network: application to financial institutions
by Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley - 1435-1445 Systemic risk and dynamics of contagion: a duplex inter-bank network
by Ding Ding & Liyan Han & Libo Yin - 1447-1456 The lead–lag relationship between the spot and futures markets in China
by Donghua Wang & Jingqing Tu & Xiaohui Chang & Saiping Li - 1457-1476 Recursive risk measures under regime switching applied to portfolio selection
by Zhiping Chen & Jia Liu & Yongchang Hui
August 2017, Volume 17, Issue 8
- 1147-1157 Optimal execution strategy and liquidity adjusted value-at-risk
by Yasong Jin - 1159-1164 Optimal Mean Reversion Trading
by Henri Leowski - 1165-1165 Calendar
by The Editors - 1167-1186 Modified profile likelihood inference and interval forecast of the burst of financial bubbles
by V. Filimonov & G. Demos & D. Sornette - 1187-1203 Herding behaviour and volatility clustering in financial markets
by Noemi Schmitt & Frank Westerhoff - 1205-1221 Dynamic factor long memory volatility
by Richard D. F. Harris & Anh T. H. Nguyen - 1223-1241 An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
by Kuang-Liang Chang & Shih-Ti Yu - 1243-1256 No-arbitrage bounds for the forward smile given marginals
by Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome - 1257-1275 Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
by Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi - 1277-1304 Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
by Hui ‘Fox’ Ling & Christian Franzen
July 2017, Volume 17, Issue 7
- 979-991 Examining the profitability of automatic trading strategies with a focus on trend indicators
by Erhard Reschenhofer & Thomas Sinkovics - 993-995 Option Valuation under Stochastic Volatility II: With Mathematica Code
by David Pottinton - 997-997 Calendar
by The Editors - 999-1020 The role of volume in order book dynamics: a multivariate Hawkes process analysis
by Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo - 1021-1035 The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
by N. Taylor & Y. Xu - 1037-1055 Optimal portfolio positioning within generalized Johnson distributions
by N. Naguez & J. L. Prigent - 1057-1070 Last look
by Roel Oomen - 1071-1088 A structural framework for modelling contingent capital
by J. Li & A. Metzler & R. M. Reesor - 1089-1103 Online Kernel estimation of stationary stochastic diffusion models
by Xin Wang - 1105-1117 Algebraic structure of vector fields in financial diffusion models and its applications
by Yusuke Morimoto & Makiko Sasada - 1119-1133 An analytical approximation for pricing VWAP options
by Hideharu Funahashi & Masaaki Kijima - 1135-1145 Credibilistic risk aversion
by Yuanyuan Liu & Jian Zhou & Athanasios A. Pantelous
June 2017, Volume 17, Issue 6
- 813-824 CoCo bonds and implied CET1 volatility
by Jan De Spiegeleer & Stephan Höcht & Ine Marquet & Wim Schoutens - 825-828 Stochastic Volatility Modeling
by Julien Guyon - 829-829 Calendar
by The Editors - 831-853 Quasi-centralized limit order books
by Martin D. Gould & Mason A. Porter & Sam D. Howison - 855-872 Pricing via recursive quantization in stochastic volatility models
by Giorgia Callegaro & Lucio Fiorin & Martino Grasselli - 873-888 Geometric Asian option pricing in general affine stochastic volatility models with jumps
by Friedrich Hubalek & Martin Keller-Ressel & Carlo Sgarra - 889-906 Efficient willow tree method for European-style and American-style moving average barrier options pricing
by Ling Lu & Wei Xu & Zhehui Qian - 907-925 Calibrating a market model with stochastic volatility to commodity and interest rate risk
by P. Karlsson & K. F. Pilz & E. Schlögl - 927-941 A joint model for temperature and natural gas with an application to the US market
by Roberto Baviera & Teodoro Federico Mainetti - 943-958 The shape of small sample biases in pricing kernel estimations
by Dietmar P. J. Leisen - 959-977 Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies
by Hao Meng & Hai-Chuan Xu & Wei-Xing Zhou & Didier Sornette
May 2017, Volume 17, Issue 5
- 657-675 Birth or burst of financial bubbles: which one is easier to diagnose?
by G. Demos & D. Sornette - 677-680 Asset Management: A Systematic Approach to Factor Investing
by Riccardo Rebonato - 681-681 Calendar
by The Editors - 683-701 Modelling intensities of order flows in a limit order book
by Ioane Muni Toke & Nakahiro Yoshida - 703-716 Model-based pairs trading in the bitcoin markets
by P. S. Lintilhac & A. Tourin - 717-727 Low-latency liquidity inefficiency strategies
by Christian Oesch & Dietmar Maringer - 729-744 Tail-risk protection trading strategies
by N. Packham & J. Papenbrock & P. Schwendner & F. Woebbeking - 745-761 The dynamics of leveraged ETFs returns: a panel data study
by Antoine Giannetti - 763-780 Binary switch portfolio
by Tengfei Li & Kani Chen & Yang Feng & Zhiliang Ying - 781-794 Interacting default intensity with a hidden Markov process
by Feng-Hui Yu & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu - 795-812 Predictability of structural co-movement in commodity prices: the role of technical indicators
by Libo Yin & Qingyuan Yang & Zhi Su
April 2017, Volume 17, Issue 4
- 479-489 Penalizing variances for higher dependency on factors
by Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi - 491-494 Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling
by Jean Czerlinski Whitmore - 495-495 Calendar
by The Editors - 497-513 Pricing options on mean reverting underliers
by Dilip B. Madan - 515-529 The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments
by Simon Ellersgaard & Martin Jönsson & Rolf Poulsen - 531-550 Pricing and hedging contingent claims using variance and higher order moment swaps
by Leonidas S. Rompolis & Elias Tzavalis - 551-569 Arithmetic variance swaps
by Stamatis Leontsinis & Carol Alexander - 571-595 An estimation procedure for the Hawkes process
by Matthias Kirchner - 597-612 Risk-based capital for credit insurers with business cycles and dynamic leverage
by Issouf Soumaré & Ernest Tafolong - 613-631 Identification and critical time forecasting of real estate bubbles in the USA
by Diego Ardila & Dorsa Sanadgol & Peter Cauwels & Didier Sornette - 633-656 Systemic risk in the European sovereign and banking system
by Simon Xu & Francis In & Catherine Forbes & Inchang Hwang
March 2017, Volume 17, Issue 3
- 315-325 Optimal portfolios with downside risk
by Fima Klebaner & Zinoviy Landsman & Udi Makov & Jing Yao - 327-330 A Random Walk Down Wall Street: The Time-Tested Strategy For Successful Investing
by Antonios Sangvinatsos - 331-331 Call for Papers: Special Issue on “Hawkes Processes in Finance”
by The Editors - 333-333 Calendar
by The Editors - 335-351 The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
by Duy-Minh Dang & P. A. Forsyth & K. R. Vetzal - 353-367 Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms
by N. Grishina & C. A. Lucas & P. Date - 369-382 Forecasting trends with asset prices
by Ahmed Bel Hadj Ayed & Grégoire Loeper & Frédéric Abergel - 383-404 Execution in an aggregator
by Roel Oomen - 405-421 Time series momentum and moving average trading rules
by Ben R. Marshall & Nhut H. Nguyen & Nuttawat Visaltanachoti - 423-435 24-Hour realized volatilities and transatlantic volatility interdependence
by Robert Maderitsch - 437-453 A new time-varying optimal copula model identifying the dependence across markets
by Bing-Yue Liu & Qiang Ji & Ying Fan - 455-469 Rollover risk and credit risk under time-varying margin
by Xue-Zhong He & Eva Lütkebohmert & Yajun Xiao - 471-478 Risk based capital for guaranteed minimum withdrawal benefit
by Runhuan Feng & Jan Vecer
February 2017, Volume 17, Issue 2
- 157-164 Call option compensation and managers’ intertemporal risk-taking behaviour
by Katarzyna Romaniuk - 165-167 Phishing for Phools: The Economics of Manipulation & Deception
by Taylor Spears - 169-169 Calendar
by The Editors - 171-188 Quadratic Hawkes processes for financial prices
by P. Blanc & J. Donier & J.-P. Bouchaud - 189-198 Short-time at-the-money skew and rough fractional volatility
by Masaaki Fukasawa - 199-215 Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
by Richard Gerlach & Declan Walpole & Chao Wang - 217-225 Profiling high-frequency equity price movements in directional changes
by Edward P. K. Tsang & Ran Tao & Antoaneta Serguieva & Shuai Ma - 227-240 Double-jump diffusion model for VIX: evidence from VVIX
by Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu - 241-260 Optimal investment under multi-factor stochastic volatility
by Marcos Escobar & Sebastian Ferrando & Alexey Rubtsov - 261-274 Estimating discrete dividends by no-arbitrage
by Sascha Desmettre & Sarah Grün & Frank Thomas Seifried - 275-288 Alternative to beta coefficients in the context of diffusions
by Guillaume Bernis & Simone Scotti - 289-297 Transitions in the stock markets of the US, UK and Germany
by Matthias Raddant & Friedrich Wagner - 299-313 Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
by Luca Vincenzo Ballestra & Graziella Pacelli & Davide Radi
January 2017, Volume 17, Issue 1
- 1-14 Risk premia: asymmetric tail risks and excess returns
by Y. Lempérière & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud - 15-18 Behavioral Risk Management
by Riccardo Rebonato - 19-19 Calendar
by The Editors - 21-39 Optimal order placement in limit order markets
by Rama Cont & Arseniy Kukanov - 41-54 Optimal execution with non-linear transient market impact
by Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo - 55-69 Optimal execution with uncertain order fills in Almgren–Chriss framework
by Xue Cheng & Marina Di Giacinto & Tai-Ho Wang - 71-86 A behavioural model of investor sentiment in limit order markets
by Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei - 87-100 Intraday pairs trading strategies on high frequency data: the case of oil companies
by Bo Liu & Lo-Bin Chang & Hélyette Geman - 101-120 Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
by Mattia Montagna & Thomas Lux - 121-137 Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
by Benjamin Beckers & Helmut Herwartz & Moritz Seidel - 139-156 Smooth nonparametric Bernstein vine copulas
by Marcus Scheffer & Gregor N. F. Weiß
December 2016, Volume 16, Issue 12
- 1-1 Erratum
by The Editors - 1-1 Editorial Board
by The Editors - 1791-1800 Pricing regime-switching risk in an HJM interest rate environment
by Robert J. Elliott & Tak Kuen Siu - 1801-1802 Risk Parity Fundamentals
by Sebastien Page - 1803-1803 Calendar
by The Editors - 1807-1808 Special Issue of on ‘Commodity Markets’
by Christian-Oliver Ewald & Athanasios A. Pantelous & Georgios Sermpinis - 1809-1822 Volatility forecasting of strategically linked commodity ETFs: gold-silver
by Štefan Lyócsa & Peter Molnár - 1823-1842 The market for salmon futures: an empirical analysis of the Fish Pool using the Schwartz multi-factor model
by Christian-Oliver Ewald & Roy Nawar & Ruolan Ouyang & Tak Kuen Siu - 1843-1857 A stochastic model for commodity pairs trading
by Ahmet Göncü & Erdinc Akyildirim