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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 - 329-335 A generalization of the rational rough Heston approximation
by Jim Gatheral & Radoš Radoičić - 337-346 On the optimal forecast with the fractional Brownian motion
by Xiaohu Wang & Jun Yu & Chen Zhang
January 2024, Volume 24, Issue 1
- 1-11 Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing
by Tianchen Zhao & Chuhao Sun & Asaf Cohen & James Stokes & Shravan Veerapaneni - 13-14 Book review
by Mark Podolskij - 15-34 On parametric optimal execution and machine learning surrogates
by Tao Chen & Mike Ludkovski & Moritz Voß - 35-57 Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
by Álvaro Arroyo & Álvaro Cartea & Fernando Moreno-Pino & Stefan Zohren - 59-82 Adaptive online mean-variance portfolio selection with transaction costs
by Sini Guo & Jia-Wen Gu & Wai-Ki Ching & Benmeng Lyu - 83-104 Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk
by Erik Kroon & Mehdi-Vincent Hacini & Koye Somefun - 105-118 An early indicator for anomalous stock market performance
by Marlon Fritz & Thomas Gries & Lukas Wiechers - 119-138 Bubbles and dependence between international equity markets
by Wuyi Ye & Lingbo Gao & Xiaoquan Liu - 139-155 Regime-switching affine term structures
by Andreas Celary & Zehra Eksi-Altay & Paul Krühner - 157-174 A model of dynamic information production for initial public offerings
by Rafiqul Bhuyan & Coşkun Çetin & Burhaneddin İzgi & Bakhtear Talukdar
October 2023, Volume 24, Issue 7
- 871-873 Islamic Banking and Finance, Second Edition
by Muhammad Ash-Shiddiqy & Mujtahid & Khamim
November 2023, Volume 24, Issue 5
- 541-543 The Politics of Financial Control: The Role of the House of Commons
by Teguh Ahmad Asparill & Rossy Lambelanova & Andi Pitono
November 2023, Volume 24, Issue 1
- 119-138 Bubbles and dependence between international equity markets
by Wuyi Ye & Lingbo Gao & Xiaoquan Liu - 157-174 A model of dynamic information production for initial public offerings
by Rafiqul Bhuyan & Coşkun Çetin & Burhaneddin İzgi & Bakhtear Talukdar
December 2023, Volume 24, Issue 1
- 15-34 On parametric optimal execution and machine learning surrogates
by Tao Chen & Mike Ludkovski & Moritz Voß - 59-82 Adaptive online mean-variance portfolio selection with transaction costs
by Sini Guo & Jia-Wen Gu & Wai-Ki Ching & Benmeng Lyu - 83-104 Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk
by Erik Kroon & Mehdi-Vincent Hacini & Koye Somefun - 139-155 Regime-switching affine term structures
by Andreas Celary & Zehra Eksi-Altay & Paul Krühner
September 2023, Volume 24, Issue 1
- 1-11 Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing
by Tianchen Zhao & Chuhao Sun & Asaf Cohen & James Stokes & Shravan Veerapaneni
December 2023, Volume 23, Issue 12
- 1769-1792 Functional quantization of rough volatility and applications to volatility derivatives
by O. Bonesini & G. Callegaro & A. Jacquier
October 2023, Volume 23, Issue 12
- 1713-1728 Smiles in delta
by Arianna Mingone - 1815-1831 Dynamic core-satellite investing using higher order moments: an explicit solution
by Yanfeng Wang & Wanbo Lu & Kris Boudt
November 2023, Volume 23, Issue 12
- 1729-1730 Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices
by Damir Filipovic - 1731-1750 Effective stochastic local volatility models
by M. Felpel & J. Kienitz & T.A. McWalter - 1751-1768 Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
by Thomas R. Bollinger & William R. Melick & Charles P. Thomas - 1793-1813 Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
by M. Escobar-Anel & M. Kschonnek & R. Zagst - 1833-1852 A basket half full: sparse portfolios
by Ekaterina Seregina - 1853-1869 Cryptocurrency factor momentum
by Christian Fieberg & Gerrit Liedtke & Daniel Metko & Adam Zaremba - 1871-1886 Rule-based trading on an order-driven exchange: a reassessment
by Alan G. Isaac & Vasudeva Ramaswamy
November 2023, Volume 23, Issue 11
- 1-1 Correction
by The Editors - 1545-1560 Can volatility solve the naive portfolio puzzle?
by Michael Curran & Patrick O'Sullivan & Ryan Zalla - 1561-1563 Islamic Philanthropy: Exploring Zakat, Waqf, and Sadaqah in Islamic Finance and Economics
by Ubbadul Adzkiya’ & Anis Fittria & Syamsul Wathani - 1565-1595 Household financial health: a machine learning approach for data-driven diagnosis and prescription
by Kyeongbin Kim & Yoontae Hwang & Dongcheol Lim & Suhyeon Kim & Junghye Lee & Yongjae Lee - 1597-1615 Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
by Sanghyeon Bae & Yongjae Lee & Woo Chang Kim - 1617-1636 Technical analysis as a sentiment barometer and the cross-section of stock returns
by Wenjie Ding & Khelifa Mazouz & Owain ap Gwilym & Qingwei Wang - 1637-1658 How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
by Eduardo Amorim Vilela de Salis & Leandro dos Santos Maciel - 1659-1675 A multi-curve HJM factor model for pricing and risk management
by Tobias Bienek & Griselda Deelstra & Andreas Lichtenstern & Rudi Zagst - 1677-1697 A transform-based method for pricing Asian options under general two-dimensional models
by Weinan Zhang & Pingping Zeng - 1699-1712 On prices and returns in commercial prediction markets
by Karl Whelan
October 2023, Volume 23, Issue 10
- 1373-1393 Cross-impact of order flow imbalance in equity markets
by Rama Cont & Mihai Cucuringu & Chao Zhang - 1395-1396 Book review
by Vladimir V. Piterbarg - 1397-1409 A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection
by Fang Zhao & Gang Li & Yanxia Lyu & Hongdong Ma & Xiaoqian Zhu - 1411-1430 Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
by Saeed Marzban & Erick Delage & Jonathan Yu-Meng Li - 1431-1444 Multivariate systemic risk measures and computation by deep learning algorithms
by A. Doldi & Y. Feng & J.-P. Fouque & M. Frittelli - 1445-1464 A neuro-structural framework for bankruptcy prediction
by Christakis Charalambous & Spiros H. Martzoukos & Zenon Taoushianis - 1465-1482 Distributionally robust end-to-end portfolio construction
by Giorgio Costa & Garud N. Iyengar - 1483-1496 f-Betas and portfolio optimization with f-divergence induced risk measures
by Rui Ding - 1497-1510 Bayesian nonparametric portfolio selection with rolling maximum drawdown control
by Xiaoling Mei & Yachong Wang & Weixuan Zhu - 1511-1529 The role of fleeting orders on option expiration days
by Antonio Figueiredo & Pankaj Jain & Suchismita Mishra - 1531-1544 Model-free analysis of real option exercise probability and timing
by Sang Baum Kang & Pascal Létourneau
September 2023, Volume 23, Issue 9
- 1199-1215 Stable dividends under linear-quadratic optimisation
by B. Avanzi & D. K. Falden & M. Steffensen - 1217-1219 Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach
by Zezen Zainul Ali & Rahmatullah & Imaro Sidqi - 1221-1258 Volatility is (mostly) path-dependent
by Julien Guyon & Jordan Lekeufack - 1259-1283 Weak approximations and VIX option price expansions in forward variance curve models
by F. Bourgey & S. De Marco & E. Gobet - 1285-1304 Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
by Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice - 1305-1324 A general approach for lookback option pricing under Markov models
by Gongqiu Zhang & Lingfei Li - 1325-1339 Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk
by Tian-Shyr Dai & Liang-Chih Liu & Sharon S. Yang - 1341-1360 Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
by Jinkyu Lee & Do-Gyun Kwon & Yongjae Lee & Jang Ho Kim & Woo Chang Kim - 1361-1372 High-dimensional sparse index tracking based on a multi-step convex optimization approach
by Fangquan Shi & Lianjie Shu & Yiling Luo & Xiaoming Huo
August 2023, Volume 23, Issue 7-8
- 1035-1052 Media trading groups and short selling manipulation
by Robert Jarrow & Siguang Li - 1053-1054 Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)
by Michael Dempster - 1055-1078 Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
by Anne MacKay & Marie-Claude Vachon & Zhenyu Cui - 1079-1097 Option pricing under stochastic volatility models with latent volatility
by Jean-François Bégin & Frédéric Godin - 1099-1113 From optimal martingales to randomized dual optimal stopping
by Denis Belomestny & John Schoenmakers - 1115-1127 Optimal trading with transaction costs and short-term predictability
by Shashidhar Murthy & John K. Wald - 1129-1154 Pairs trading with wavelet transform
by Burak Alparslan Eroğlu & Haluk Yener & Taner Yiğit - 1155-1176 Leveraged funds: robust replication and performance evaluation
by Paolo Guasoni & Eberhard Mayerhofer - 1177-1197 Extracting implied volatilities from bank bonds
by Michele Leonardo Bianchi & Gian Luca Tassinari
June 2023, Volume 23, Issue 6
- 901-911 Weighted variance swaps hedge against impermanent loss
by Masaaki Fukasawa & Basile Maire & Marcus Wunsch - 913-915 The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems
by Ria Kusumaningrum & Rully Trihantana & Tubagus Rifqy Thantawi - 917-929 Deep-learning models for forecasting financial risk premia and their interpretations
by Andrew W. Lo & Manish Singh - 931-958 A generative model of a limit order book using recurrent neural networks
by Hanna Hultin & Henrik Hult & Alexandre Proutiere & Samuel Samama & Ala Tarighati - 959-978 Decomposing LIBOR in transition: evidence from the futures markets
by Jacob Bjerre Skov & David Skovmand - 979-1002 A subdiffusive stochastic volatility jump model
by Jean-Loup Dupret & Donatien Hainaut - 1003-1018 A statistical test of market efficiency based on information theory
by Xavier Brouty & Matthieu Garcin - 1019-1033 Optimal asset allocation under search frictions and stochastic interest rate
by Ning Wang & Song-Ping Zhu & Robert J. Elliott
May 2023, Volume 23, Issue 5
- 721-738 VIX pricing in the rBergomi model under a regime switching change of measure
by Henrique Guerreiro & João Guerra - 739-740 Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering
by Mark Greenwood - 741-758 Multivariate quadratic Hawkes processes—part I: theoretical analysis
by Cécilia Aubrun & Michael Benzaquen & Jean-Philippe Bouchaud - 759-776 Coupled GARCH(1,1) model
by Huasheng Nie & Henri Waelbroeck - 777-797 A data-driven deep learning approach for options market making
by Qianhui Lai & Xuefeng Gao & Lingfei Li - 799-817 Delta hedging bitcoin options with a smile
by Carol Alexander & Arben Imeraj - 819-841 Hedging cryptos with Bitcoin futures
by Francis Liu & Natalie Packham & Meng-Jou Lu & Wolfgang Karl Härdle - 843-862 Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model
by Olivier Menoukeu-Pamen & Guangli Xu & Xiaoyang Zhuo - 863-875 Quantitative reverse stress testing, bottom up
by Claudio Albanese & Stéphane Crépey & Stefano Iabichino - 877-886 A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
by Pierpaolo Uberti - 887-900 The timing of debt renegotiation and its implications for irreversible investment and capital structure
by Zhaojun Yang & Nanhui Zhu
April 2023, Volume 23, Issue 4
- 539-551 Metalearning of time series: an approximate dynamic programming approach
by Ricardo A. Collado & Germán G. Creamer - 553-555 A Tour of C++, Third Edition
by Paul Bilokon - 557-577 W-shaped implied volatility curves and the Gaussian mixture model
by Paul Glasserman & Dan Pirjol - 579-593 The economics of time as it is embedded in the prices of options§
by Dilip B. Madan & King Wang - 595-613 A hybrid convolutional neural network with long short-term memory for statistical arbitrage
by P. Eggebrecht & E. Lütkebohmert - 615-629 Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks
by Sándor Kunsági-Máté & Gábor Fáth & István Csabai & Gábor Molnár-Sáska - 631-651 Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
by Andrew S. Na & Justin W. L. Wan - 653-676 Simulated Greeks for American options
by Pascal Letourneau & Lars Stentoft - 677-692 Pricing Asian options with stochastic convenience yield and jumps
by Christian-Oliver Ewald & Yuexiang Wu & Aihua Zhang - 693-703 Hedging error as generalized timing risk
by J. Akahori & F. Barsotti & Y. Imamura - 705-719 Persistence of jump-induced tail risk and limits to arbitrage
by K. Victor Chow & Kose John & Jingrui Li & Ben Sopranzetti
March 2023, Volume 23, Issue 3
- 367-388 From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
by Tommaso Mariotti & Fabrizio Lillo & Giacomo Toscano - 389-391 A First Course in Random Matrix Theory for Physicists, Engineers and Data Scientists
by Louis-Pierre Arguin - 393-427 Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
by Carol Alexander & Michael Dakos - 429-452 Integrating prediction in mean-variance portfolio optimization
by Andrew Butler & Roy H. Kwon - 453-469 Kurtosis-based risk parity: methodology and portfolio effects
by M. D. Braga & C. R. Nava & M. G. Zoia - 471-495 Optimal asset allocation for commodity sovereign wealth funds
by Alfonso A. Irarrazabal & Lin Ma & Juan Carlos Parra-Alvarez - 497-519 A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
by Yuyang Cheng & Marcos Escobar-Anel - 521-537 An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios
by William Smyth & Daniel Broby
February 2023, Volume 23, Issue 2
- 187-205 Analysis and modeling of client order flow in limit order markets
by Rama Cont & Mihai Cucuringu & Vacslav Glukhov & Felix Prenzel - 207-208 Firefighting: The Financial Crisis and Its Lessons
by Jean-Philippe Bouchaud - 209-227 Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
by Christian Bayer & Chiheb Ben Hammouda & Raúl Tempone - 229-249 SABR equipped with AI wings
by Hideharu Funahashi - 251-278 Closed-form option pricing for exponential Lévy models: a residue approach
by Jean-Philippe Aguilar & Justin Lars Kirkby - 279-295 Asymmetric short-rate model without lower bound
by Frédéric Vrins & Linqi Wang - 297-308 Pricing commodity index options
by Alberto Pedro Manzano-Herrero & Emanuele Nastasi & Andrea Pallavicini & Carlos Vázquez - 309-334 A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
by Chao Wang & Richard Gerlach & Qian Chen - 335-349 Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks
by Johannes Jakubik & Abdolreza Nazemi & Andreas Geyer-Schulz & Frank J. Fabozzi - 351-365 Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
by Chi Seng Pun & Zi Ye
January 2023, Volume 23, Issue 1
- 1-17 Estimating time-varying risk aversion from option prices and realized returns
by Maria Kosolapova & Michael Hanke & Alex Weissensteiner - 19-20 Book review
by Gordon Lee - 21-34 A two-step framework for arbitrage-free prediction of the implied volatility surface
by Wenyong Zhang & Lingfei Li & Gongqiu Zhang - 35-51 Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
by Zehua Zhang & Ran Zhao - 53-70 Markovian approximations of stochastic Volterra equations with the fractional kernel
by Christian Bayer & Simon Breneis - 71-93 The EWMA Heston model
by Léo Parent - 95-109 Optimal reinsurance-investment with loss aversion under rough Heston model
by Jingtang Ma & Zhengyang Lu & Dengsheng Chen - 111-122 Empirical deep hedging
by Oskari Mikkilä & Juho Kanniainen