Quantitative Finance

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	53
Price dynamics with circuit breakers	50
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	44
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	32
Trading TP 2 option violations	30
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	22
α -threshold networks in credit risk models	21
A market resilient data-driven approach to option pricing	21
Weak approximations and VIX option price expansions in forward variance curve models	19
Special Issue on XXIV Workshop on Quantitative Finance	19
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	19
A study on asset price bubble dynamics: explosive trend or quadratic variation?	18
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	18
Optimal trading and competition with information in the price impact model	18
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	17
Persistence of jump-induced tail risk and limits to arbitrage	17
Can volatility solve the naive portfolio puzzle?	16
Pairs trading under delayed cointegration	16
How does liquidity shape the yield curve?	16
Greenwashing risk in asset pricing: the shift after the Paris agreement	15
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	14
Short-maturity options on realized variance in local-stochastic volatility models	14
Multivariate systemic risk measures and computation by deep learning algorithms	13
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	13
Decomposing LIBOR in transition: evidence from the futures markets	12

The Black–Scholes equation in the presence of arbitrage	12
Cryptocurrency factor momentum	12
Consumption skewness, time deformation and the term structure	12
Bid-ask bounds for option prices: the two-tail distortion model	12
Valuation and hedging of cryptocurrency inverse options	11
Explaining risks: axiomatic risk attributions for financial models	11
Model-free analysis of real option exercise probability and timing	11
Generation of synthetic financial time series by diffusion models	11
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	11
Spot beta estimation with asynchronous noisy prices	11
Kurtosis-based risk parity: methodology and portfolio effects	11
High-dimensional sparse index tracking based on a multi-step convex optimization approach	11
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	10
On the predictive power of food commodity futures prices in forecasting inflation	10
Conditions for bubbles to arise under heterogeneous beliefs	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	10
The geometry of multi-curve interest rate models	9
Optimal operation of a hydropower plant in a stochastic environment	9
A deep learning approach to estimating fill probabilities in a limit order book	8
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
Earnings mean reversion and dynamic optimal capital structure	8
Estimating time-varying risk aversion from option prices and realized returns	8
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility	8
Efficient option pricing in the rough Heston model using weak simulation schemes	8
The optimal payoff for a Yaari investor	8
SABR equipped with AI wings	8
Distributionally robust end-to-end portfolio construction	8
When to efficiently rebalance a portfolio	7
Pricing commodity index options	7
Cooperation between independent market makers	7
Book review	7
Asset prices when large investors interact strategically	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Rule-based trading on an order-driven exchange: a reassessment	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
Equity auction dynamics: latent liquidity models with activity acceleration	7
Some analytical results on bivariate stable distributions with an application in operational risk	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Crypto inverse-power options and fractional stochastic volatility	7
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
On joint marginal expected shortfall and associated contribution risk measures	7
Detecting bubbles via FDR and FNR based on calibrated p -values	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
GDP-linked bonds as a new asset class	6
On general semi-closed-form solutions for VIX derivative pricing	6
Deep calibration with random grids	6
Computing the SSR	6

Optimal attention allocation: picking alpha or betting on beta?	6
The non-linear ESG premium	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
The inelastic market hypothesis: a microstructural interpretation	6
Mind the gap in the mining game	5
Drawdown beta and portfolio optimization	5
Liquidity Coverage at Risk	5
Supervised portfolios	5
When do systematic strategies decay?	5
A Tour of C++, Third Edition	5
Regime-switching affine term structures	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
A neuro-structural framework for bankruptcy prediction	5
The role of fleeting orders on option expiration days	5
Risk factor aggregation and stress testing	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
The EWMA Heston model	4
Sparse portfolio selection via topological data analysis based clustering	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	4
A generalized heterogeneous autoregressive model using market information	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Merged LSTM-MLP for option valuation	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Risk-free rate caplets pricing by CTMC approximation	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
AI-driven liquidity provision in OTC financial markets	3
Narrative triggers of information sensitivity	3
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	3
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance	3
Revisiting elastic string models of forward interest rates	3
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	3
Group sparse enhanced indexation model with adaptive beta value	3
ESG risk exposure: a tale of two tails	3
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	3
Deep differentiable reinforcement learning and optimal trading	3
Regulating stochastic clocks§	3
Static replication of European standard dispersion options	3
A model of dynamic information production for initial public offerings	3
Optimal characteristic portfolios	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
Option pricing under stochastic volatility models with latent volatility	3
An early-warning risk signals framework to capture systematic risk in financial markets	3
Size and power in tests of return predictability	3
In Memoriam Mardi Dungey	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Path shadowing Monte Carlo	3
Impact of the carbon price on credit portfolio's loss with stochastic collateral	3
Bayesian nonparametric modelling of stochastic volatility	3
FX Open Forward	3
Macroscopic properties of equity markets: stylized facts and portfolio performance	3
Numerical perspectives on the rebalancing premium	3
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	2
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	2
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2
Implied roughness in the term structure of oil market volatility	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
Cross-section without factors: a string model for expected returns	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
Mean-variance portfolio with wealth and volatility dependent risk aversion	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
Optimal portfolio choice with ESG considerations and asymmetric information	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
A simple robust asset pricing model under statistical ambiguity	2
Semi-Markov-modulated exponential-affine bond prices	2
Benchmark-neutral pricing	2
Online learning of order flow and market impact with Bayesian change-point detection methods	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
Metalearning of time series: an approximate dynamic programming approach	2
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2

Algorithmic trading of real-time electricity with machine learning	2
A methodological approach to the computational problems in the estimation of adjusted PIN model	2
An adaptive dynamical model of default contagion	2
Higher moments in the fundamental specification of electricity forward prices	2
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	2
An unsupervised deep learning approach to solving partial integro-differential equations	2
Optimal solution of the liquidation problem under execution and price impact risks	2
Detecting rough volatility: a filtering approach	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
Bayesian probability of default models with Langevin dynamics	2
Handbook of Sharing Confidential Data: Differential Privacy, Secure Multiparty Computation, and Synthetic Data	2
Artificial Intelligence in Finance, Volume 1	2
Robust SME investment and financing under market frictions	2
Optimal asset allocation under search frictions and stochastic interest rate	2
Stock market simulator using hidden Markov generative model and its application in risk measurement	2
Stable dividends under linear-quadratic optimisation	2
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2
Optimal stop-loss rules in markets with long-range dependence	2
Continuous-Time Asset Pricing Theory	2
Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’	2
On model robustness of the regime switching approach for pegged foreign exchange markets	2
Counting jumps: does the counting process count?	2
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
When order execution meets informed trading	2
On detecting spoofing strategies in high-frequency trading	2
Deep impulse control: application to interest rate intervention	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Semi-parametric financial risk forecasting incorporating multiple realized measures	2
Optimal asset allocation for commodity sovereign wealth funds	1
The economics of time as it is embedded in the prices of options§	1
Valuing real options with endogenous payoff	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Market Microstructure in Practice	1
The volatility risk premium in the oil market	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
Network analysis of aggregated money flows in stock markets	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
On prices and returns in commercial prediction markets	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
Lost in the LIBOR transition	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
Risk measures based on weak optimal transport	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
Modeling price clustering in high-frequency prices	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Coupled GARCH(1,1) model	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Risk sharing with deep neural networks	1
Risk management under weighted limited expected loss	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
On the implied volatility skew outside the at-the-money point	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
Tail risk aversion and backwardation of index futures	1
Exploratory mean-variance portfolio selection with Choquet regularizers	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
Intra-day seasonality and abnormal returns in the Brent crude oil futures market	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
Horizon effect on optimal retirement decision	1
A hybrid combination approach to forecast freight rates volatility	1
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations	1
Household financial health: a machine learning approach for data-driven diagnosis and prescription	1
On the optimal forecast with the fractional Brownian motion	1
Dynamic currency hedging with non-Gaussianity and ambiguity	1
Peer effects in professional analysts’ choice of their portfolio of companies	1
Relative entropy-regularized robust optimal order execution	1
Options-driven volatility forecasting	1
The contagion of extreme risks between fossil and green energy markets: evidence from China	1
A multi-curve HJM factor model for pricing and risk management	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Green technology innovation with environmental constraints	1
The Politics of Financial Control: The Role of the House of Commons	1
A transform-based method for pricing Asian options under general two-dimensional models	1
Pricing Asian options with stochastic convenience yield and jumps	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	1
Dynamic quantile function models	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
Physics-informed convolutional transformer for predicting volatility surface	1
Ensemble learning for portfolio valuation and risk management	1
A modified CTGAN-plus-features-based method for optimal asset allocation	1
From optimal martingales to randomized dual optimal stopping	1
Bayesian nonparametric portfolio selection with rolling maximum drawdown control	1
A social media alert system for meme stocks	1
Correction	1
Risk contributions of lambda quantiles*	1