Quantitative Finance

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	75
Price dynamics with circuit breakers	56
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	49
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	36
A market resilient data-driven approach to option pricing	28
α -threshold networks in credit risk models	27
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	24
A study on asset price bubble dynamics: explosive trend or quadratic variation?	22
Special Issue on XXIV Workshop on Quantitative Finance	21
Weak approximations and VIX option price expansions in forward variance curve models	20
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	19
Optimal trading and competition with information in the price impact model	19
Analytical approximations for American option pricing under regime-switching models	18
Trading TP 2 option violations	18
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario	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	16
How does liquidity shape the yield curve?	15
Can volatility solve the naive portfolio puzzle?	15
Pairs trading with stock borrowing fee	15
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Greenwashing risk in asset pricing: the shift after the Paris agreement	14
Short-maturity options on realized variance in local-stochastic volatility models	14
Decomposing LIBOR in transition: evidence from the futures markets	13

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

Equity auction dynamics: latent liquidity models with activity acceleration	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Deep calibration with random grids	5
A Tour of C++, Third Edition	5
A neuro-structural framework for bankruptcy prediction	5
On general semi-closed-form solutions for VIX derivative pricing	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
The non-linear ESG premium	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	5
Liquidity Coverage at Risk	5
Computing the SSR	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
Regime-switching affine term structures	5
When do systematic strategies decay?	5
Mind the gap in the mining game	5
Merged LSTM-MLP for option valuation	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	4
Numerical perspectives on the rebalancing premium	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
A generalized heterogeneous autoregressive model using market information	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	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
Forward-looking physical tail risk: a deep learning approach	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
The role of fleeting orders on option expiration days	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Supervised portfolios	4
Risk-free rate caplets pricing by CTMC approximation	4
Risk factor aggregation and stress testing	4
Group sparse enhanced indexation model with adaptive beta value	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Option pricing under stochastic volatility models with latent volatility	4
Quantum advantage for multi-option portfolio pricing and valuation adjustments	4
The EWMA Heston model	4
Addressing estimation errors on expected asset returns through robust portfolio optimization	3
Revisiting elastic string models of forward interest rates	3
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
A model of dynamic information production for initial public offerings	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Filtering market signals: dynamic asset allocation with momentum and hidden mean reversion	3
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	3
Optimal characteristic portfolios	3
FX Open Forward	3
ESG risk exposure: a tale of two tails	3
Path shadowing Monte Carlo	3
When order execution meets informed trading	3
Narrative triggers of information sensitivity	3
Regulating stochastic clocks§	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
Bayesian nonparametric modelling of stochastic volatility	3
AI-driven liquidity provision in OTC financial markets	3
Pricing American Parisian options under general time-inhomogeneous Markov models	3
Deep differentiable reinforcement learning and optimal trading	3
Distribution of price and volume in a call auction	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’	2
Benchmark-neutral pricing	2
Optimal portfolio choice with ESG considerations and asymmetric information	2
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
Cross-section without factors: a string model for expected returns	2
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
Deep impulse control: application to interest rate intervention	2
Online learning of order flow and market impact with Bayesian change-point detection methods	2
Why is the estimation of metaorder impact with public market data so challenging?	2
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2
Robust SME investment and financing under market frictions	2
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	2
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	2
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2
Artificial Intelligence in Finance, Volume 1	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

The economics of time as it is embedded in the prices of options§	2
Higher moments in the fundamental specification of electricity forward prices	2
Impact of the carbon price on credit portfolio's loss with stochastic collateral	2
Semi-Markov-modulated exponential-affine bond prices	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
Stock market simulator using hidden Markov generative model and its application in risk measurement	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	2
Stable dividends under linear-quadratic optimisation	2
Optimizing stock portfolios with deep reinforcement learning after FNN-based fundamental analysis	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Implied roughness in the term structure of oil market volatility	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
Optimal stop-loss rules in markets with long-range dependence	2
Bayesian probability of default models with Langevin dynamics	2
Detecting rough volatility: a filtering approach	2
Mean-variance portfolio with wealth and volatility dependent risk aversion	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
Risk management under weighted limited expected loss	2
Handbook of Sharing Confidential Data: Differential Privacy, Secure Multiparty Computation, and Synthetic Data	2
Semi-parametric financial risk forecasting incorporating multiple realized measures	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
Options-driven volatility forecasting	2
Optimal asset allocation under search frictions and stochastic interest rate	2
Counting jumps: does the counting process count?	2
Metalearning of time series: an approximate dynamic programming approach	2
Random processes for long-term market simulations	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
Optimal asset allocation for commodity sovereign wealth funds	1
On the implied volatility skew outside the at-the-money point	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
The good, the bad, and latency: exploratory trading on Bybit and Binance	1
A transform-based method for pricing Asian options under general two-dimensional models	1
Analytics on conditional moment generating functions of stochastic volatility models	1
On consistency of optimal portfolio choice for state-dependent exponential utilities	1
Forecasting the equity premium: can machine learning beat the historical average?	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Physics-informed convolutional transformer for predicting volatility surface	1
Exploratory mean-variance portfolio selection with Choquet regularizers	1
A social media alert system for meme stocks	1
Risk measures based on weak optimal transport	1
Pricing Asian options with stochastic convenience yield and jumps	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
Feature configuration effects in DRL portfolio management: a risk-focused evaluation under market stress	1
Dynamic currency hedging with non-Gaussianity and ambiguity	1
Bayesian nonparametric portfolio selection with rolling maximum drawdown control	1
Risk contributions of lambda quantiles*	1
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations	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
Valuing real options with endogenous payoff	1
Peer effects in professional analysts’ choice of their portfolio of companies	1
Market Microstructure in Practice	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
Tail risk aversion and backwardation of index futures	1
Intra-day seasonality and abnormal returns in the Brent crude oil futures market	1
Optimal trading with transaction costs and short-term predictability	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
Multivariate portfolio choice via quantiles	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	1
Multivariate rough volatility	1
Ex ante and ex post risk premiums in electricity futures	1
Lost in the LIBOR transition	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
The ‘double’ square-root law: evidence for the mechanical origin of market impact using Tokyo stock exchange data	1
Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
Risk sharing with deep neural networks	1
A hybrid combination approach to forecast freight rates volatility	1
From optimal martingales to randomized dual optimal stopping	1
The contagion of extreme risks between fossil and green energy markets: evidence from China	1
Classifying and clustering trading agents	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
A multi-curve HJM factor model for pricing and risk management	1
Ensemble learning for portfolio valuation and risk management	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
Optimal execution in intraday energy markets under Hawkes processes with transient impact	1
Optimal reinsurance-investment with loss aversion under rough Heston model	1
The Politics of Financial Control: The Role of the House of Commons	1
Green technology innovation with environmental constraints	1
A data-driven deep learning approach for options market making	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
Network analysis of aggregated money flows in stock markets	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
On prices and returns in commercial prediction markets	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
On the optimal forecast with the fractional Brownian motion	1
Horizon effect on optimal retirement decision	1
Household financial health: a machine learning approach for data-driven diagnosis and prescription	1
A modified CTGAN-plus-features-based method for optimal asset allocation	1