Quantitative Finance

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	73
Price dynamics with circuit breakers	56
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	48
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	36
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	33
A market resilient data-driven approach to option pricing	28
α -threshold networks in credit risk models	27
Special Issue on XXIV Workshop on Quantitative Finance	24
Weak approximations and VIX option price expansions in forward variance curve models	21
Optimal trading and competition with information in the price impact model	21
Trading TP 2 option violations	20
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario	20
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Analytical approximations for American option pricing under regime-switching models	19
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	19
Can volatility solve the naive portfolio puzzle?	18
Persistence of jump-induced tail risk and limits to arbitrage	18
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	18
How does liquidity shape the yield curve?	17
Pairs trading with stock borrowing fee	16
Pairs trading under delayed cointegration	15
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	15
Short-maturity options on realized variance in local-stochastic volatility models	14
Decomposing LIBOR in transition: evidence from the futures markets	14
A structured PDE framework for pricing resettable convertible bonds	14

The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Consumption skewness, time deformation and the term structure	13
Greenwashing risk in asset pricing: the shift after the Paris agreement	13
Valuation and hedging of cryptocurrency inverse options	12
Bid-ask bounds for option prices: the two-tail distortion model	12
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	12
Model-free analysis of real option exercise probability and timing	12
Cryptocurrency factor momentum	12
Analytical solution for Kelly's criterion for multiple outcomes	12
On the predictive power of food commodity futures prices in forecasting inflation	12
Generation of synthetic financial time series by diffusion models	12
Multivariate systemic risk measures and computation by deep learning algorithms	12
Explaining risks: axiomatic risk attributions for financial models	12
Spot beta estimation with asynchronous noisy prices	11
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	11
Kurtosis-based risk parity: methodology and portfolio effects	11
The Black–Scholes equation in the presence of arbitrage	11
High-dimensional sparse index tracking based on a multi-step convex optimization approach	11
Optimal operation of a hydropower plant in a stochastic environment	11
Dimensionality reduction techniques to support insider trading detection	10
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	10
The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework	10
Estimating time-varying risk aversion from option prices and realized returns	10
SABR equipped with AI wings	9
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	9
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility	9
Revisiting the bond premium puzzle: a robustness approach	8
Distributionally robust end-to-end portfolio construction	8
Earnings mean reversion and dynamic optimal capital structure	8
A deep learning approach to estimating fill probabilities in a limit order book	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
The geometry of multi-curve interest rate models	8
Asset prices when large investors interact strategically	7
Rule-based trading on an order-driven exchange: a reassessment	7
Cooperation between independent market makers	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Crypto inverse-power options and fractional stochastic volatility	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
When to efficiently rebalance a portfolio	7
The optimal payoff for a Yaari investor	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Pricing commodity index options	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
On joint marginal expected shortfall and associated contribution risk measures	6
On general semi-closed-form solutions for VIX derivative pricing	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
Liquidity Coverage at Risk	6
Detecting toxic flow	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6

Mind the gap in the mining game	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
Equity auction dynamics: latent liquidity models with activity acceleration	6
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	6
Book review	6
GDP-linked bonds as a new asset class	6
Deep calibration with random grids	6
The non-linear ESG premium	6
Optimal attention allocation: picking alpha or betting on beta?	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
Regime-switching affine term structures	5
The role of fleeting orders on option expiration days	5
When do systematic strategies decay?	5
A Tour of C++, Third Edition	5
A neuro-structural framework for bankruptcy prediction	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Computing the SSR	5
The inelastic market hypothesis: a microstructural interpretation	5
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	5
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Risk factor aggregation and stress testing	4
The EWMA Heston model	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
Revisiting elastic string models of forward interest rates	4
Forward-looking physical tail risk: a deep learning approach	4
Option pricing under stochastic volatility models with latent volatility	4
Group sparse enhanced indexation model with adaptive beta value	4
Risk-free rate caplets pricing by CTMC approximation	4
Sparse portfolio selection via topological data analysis based clustering	4
Merged LSTM-MLP for option valuation	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
FX Open Forward	4
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Supervised portfolios	4
A generalized heterogeneous autoregressive model using market information	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Quantum advantage for multi-option portfolio pricing and valuation adjustments	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
Numerical perspectives on the rebalancing premium	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Distribution of price and volume in a call auction	3
Narrative triggers of information sensitivity	3
AI-driven liquidity provision in OTC financial markets	3
Bayesian nonparametric modelling of stochastic volatility	3
A model of dynamic information production for initial public offerings	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
When order execution meets informed trading	3
Filtering market signals: dynamic asset allocation with momentum and hidden mean reversion	3
Detecting rough volatility: a filtering approach	3
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
ESG risk exposure: a tale of two tails	3
Optimal characteristic portfolios	3
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	3
Continuous-Time Asset Pricing Theory	3
Path shadowing Monte Carlo	3
Pricing American Parisian options under general time-inhomogeneous Markov models	3
Addressing estimation errors on expected asset returns through robust portfolio optimization	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
Impact of the carbon price on credit portfolio's loss with stochastic collateral	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	2
Stable dividends under linear-quadratic optimisation	2
Stock market simulator using hidden Markov generative model and its application in risk measurement	2
Semi-Markov-modulated exponential-affine bond prices	2
Benchmark-neutral pricing	2
Why is the estimation of metaorder impact with public market data so challenging?	2
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
Optimal portfolio choice with ESG considerations and asymmetric information	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
Cross-section without factors: a string model for expected returns	2
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	2
Counting jumps: does the counting process count?	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2

Options-driven volatility forecasting	2
Optimal asset allocation under search frictions and stochastic interest rate	2
Robust SME investment and financing under market frictions	2
Handbook of Sharing Confidential Data: Differential Privacy, Secure Multiparty Computation, and Synthetic Data	2
Algorithmic trading of real-time electricity with machine learning	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2
A methodological approach to the computational problems in the estimation of adjusted PIN model	2
Higher moments in the fundamental specification of electricity forward prices	2
Deep differentiable reinforcement learning and optimal trading	2
On detecting spoofing strategies in high-frequency trading	2
Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’	2
Optimizing stock portfolios with deep reinforcement learning after FNN-based fundamental analysis	2
Online learning of order flow and market impact with Bayesian change-point detection methods	2
Metalearning of time series: an approximate dynamic programming approach	2
Artificial Intelligence in Finance, Volume 1	2
Implied roughness in the term structure of oil market volatility	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Optimal stop-loss rules in markets with long-range dependence	2
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
Deep impulse control: application to interest rate intervention	2
Bayesian probability of default models with Langevin dynamics	2
Regulating stochastic clocks§	2
Mean-variance portfolio with wealth and volatility dependent risk aversion	2
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	2
The economics of time as it is embedded in the prices of options§	2
Peer effects in professional analysts’ choice of their portfolio of companies	1
Intra-day seasonality and abnormal returns in the Brent crude oil futures market	1
Analytics on conditional moment generating functions of stochastic volatility models	1
The ‘double’ square-root law: evidence for the mechanical origin of market impact using Tokyo stock exchange data	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
Risk measures based on weak optimal transport	1
On the optimal forecast with the fractional Brownian motion	1
Horizon effect on optimal retirement decision	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
A data-driven deep learning approach for options market making	1
Household financial health: a machine learning approach for data-driven diagnosis and prescription	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
Optimal execution in intraday energy markets under Hawkes processes with transient impact	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
Risk management under weighted limited expected loss	1
On prices and returns in commercial prediction markets	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Market Microstructure in Practice	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Green technology innovation with environmental constraints	1
Tail risk aversion and backwardation of index futures	1
A modified CTGAN-plus-features-based method for optimal asset allocation	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Feature configuration effects in DRL portfolio management: a risk-focused evaluation under market stress	1
Valuing real options with endogenous payoff	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
Multivariate portfolio choice via quantiles	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
A hybrid combination approach to forecast freight rates volatility	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	1
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations	1
On the implied volatility skew outside the at-the-money point	1
Bayesian nonparametric portfolio selection with rolling maximum drawdown control	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
Semi-parametric financial risk forecasting incorporating multiple realized measures	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
A multi-curve HJM factor model for pricing and risk management	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
A transform-based method for pricing Asian options under general two-dimensional models	1
Classifying and clustering trading agents	1
Exploratory mean-variance portfolio selection with Choquet regularizers	1
The Politics of Financial Control: The Role of the House of Commons	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
Multivariate rough volatility	1
Ex ante and ex post risk premiums in electricity futures	1
Risk sharing with deep neural networks	1
A social media alert system for meme stocks	1
Lost in the LIBOR transition	1
Islamic Philanthropy: Exploring Zakat, Waqf, and Sadaqah in Islamic Finance and Economics Islamic Philanthropy: Exploring Zakat, Waqf, and Sadaqah in Islamic Finance and Economics	1
Ensemble learning for portfolio valuation and risk management	1
Network analysis of aggregated money flows in stock markets	1
From optimal martingales to randomized dual optimal stopping	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
Dynamic currency hedging with non-Gaussianity and ambiguity	1
Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark	1
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	1
Pricing Asian options with stochastic convenience yield and jumps	1
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Physics-informed convolutional transformer for predicting volatility surface	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
On consistency of optimal portfolio choice for state-dependent exponential utilities	1