Quantitative Finance

Article	Citations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	46
Pricing electricity day-ahead cap futures with multifactor skew-t densities	33
A generalized Esscher transform for option valuation with regime switching risk	28
α -threshold networks in credit risk models	27
Optimal trading and competition with information in the price impact model	27
Price dynamics with circuit breakers	26
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	17
Special Issue on XXIV Workshop on Quantitative Finance	16
Weak approximations and VIX option price expansions in forward variance curve models	16
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	15
A study on asset price bubble dynamics: explosive trend or quadratic variation?	15
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	14
Multivariate systemic risk measures and computation by deep learning algorithms	14
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	14
Cryptocurrency factor momentum	14
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Pairs trading under delayed cointegration	14
Portfolio insurers and constant weight traders: who will survive?	13
Estimation risk and the implicit value of index-tracking	13
Decomposing LIBOR in transition: evidence from the futures markets	12
Persistence of jump-induced tail risk and limits to arbitrage	12
Can volatility solve the naive portfolio puzzle?	11
Short-dated smile under rough volatility: asymptotics and numerics	11
Bid-ask bounds for option prices: the two-tail distortion model	10

High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
How does liquidity shape the yield curve?	10
Explaining risks: axiomatic risk attributions for financial models	10
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	10
Spot beta estimation with asynchronous noisy prices	10
The impact of CoCo bonds on systemic risk considering liquidity risk	10
Valuation and hedging of cryptocurrency inverse options	10
Sparse index clones via the sorted ℓ1-Norm	10
What is the value of the cross-sectional approach to deep reinforcement learning?	10
The Black–Scholes equation in the presence of arbitrage	10
Model-free analysis of real option exercise probability and timing	10
Kurtosis-based risk parity: methodology and portfolio effects	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	10
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	9
SABR equipped with AI wings	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
Optimal operation of a hydropower plant in a stochastic environment	9
The geometry of multi-curve interest rate models	9
Conditions for bubbles to arise under heterogeneous beliefs	9
Distributionally robust end-to-end portfolio construction	9
Efficient option pricing in the rough Heston model using weak simulation schemes	8
Estimating time-varying risk aversion from option prices and realized returns	8
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
The optimal payoff for a Yaari investor	8
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	7
Earnings mean reversion and dynamic optimal capital structure	7
On joint marginal expected shortfall and associated contribution risk measures	7
A deep learning approach to estimating fill probabilities in a limit order book	7
Asset prices when large investors interact strategically	7
Crypto inverse-power options and fractional stochastic volatility	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	6
Hydrodynamics of Markets: Hidden Links between Physics and Finance	6
Some analytical results on bivariate stable distributions with an application in operational risk	6
An Introduction to Machine Learning in Quantitative Finance	6
Liquidity Coverage at Risk	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Pricing commodity index options	6
Cooperation between independent market makers	6
Equity auction dynamics: latent liquidity models with activity acceleration	6
GDP-linked bonds as a new asset class	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
When to efficiently rebalance a portfolio	6
Rule-based trading on an order-driven exchange: a reassessment	6
Book review	6
The inelastic market hypothesis: a microstructural interpretation	6
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	6

Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
Optimal attention allocation: picking alpha or betting on beta?	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
Supervised portfolios	5
The role of fleeting orders on option expiration days	5
A Tour of C++, Third Edition	5
On general semi-closed-form solutions for VIX derivative pricing	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
When do systematic strategies decay?	5
Regime-switching affine term structures	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Deep calibration with random grids	5
The non-linear ESG premium	5
Computing the SSR	5
A neuro-structural framework for bankruptcy prediction	5
Drawdown beta and portfolio optimization	5
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	5
Errata: Instantaneous Portfolio theory	5
Cheapest-to-deliver collateral: a common factor approach	4
Risk-free rate caplets pricing by CTMC approximation	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Option pricing under stochastic volatility models with latent volatility	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
A generalized heterogeneous autoregressive model using market information	4
The EWMA Heston model	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Merged LSTM-MLP for option valuation	4
Risk factor aggregation and stress testing	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Revisiting elastic string models of forward interest rates	3
AI-driven liquidity provision in OTC financial markets	3
Path shadowing Monte Carlo	3
Deep differentiable reinforcement learning and optimal trading	3
A model of dynamic information production for initial public offerings	3
Mean-variance portfolio with wealth and volatility dependent risk aversion	3
Detecting rough volatility: a filtering approach	3
Bayesian nonparametric modelling of stochastic volatility	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
FX Open Forward	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
In Memoriam Mardi Dungey	3
An unsupervised deep learning approach to solving partial integro-differential equations	3
Narrative triggers of information sensitivity	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
Size and power in tests of return predictability	3
Realized skewness of oil price returns and the short-term predictability for exchange rate	3
ESG risk exposure: a tale of two tails	3
Optimal portfolio choice with ESG considerations and asymmetric information	3
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance	3
Variance reduction for risk measures with importance sampling in nested simulation	3
Continuous-Time Asset Pricing Theory	3
Optimal characteristic portfolios	3
On the investment strategies in occupational pension plans	3
On model robustness of the regime switching approach for pegged foreign exchange markets	2
Regulating stochastic clocks§	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
Stable dividends under linear-quadratic optimisation	2
Algorithmic trading of real-time electricity with machine learning	2
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	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
An adaptive dynamical model of default contagion	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	2
When order execution meets informed trading	2
The SINC way: a fast and accurate approach to Fourier pricing	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	2
Optimal stop-loss rules in markets with long-range dependence	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2

Classification of flash crashes using the Hawkes(p,q)framework	2
Semi-Markov-modulated exponential-affine bond prices	2
A simple robust asset pricing model under statistical ambiguity	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
Higher moments in the fundamental specification of electricity forward prices	2
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	2
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	2
Cross-section without factors: a string model for expected returns	2
Deep impulse control: application to interest rate intervention	2
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2
Implied roughness in the term structure of oil market volatility	2
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2
A methodological approach to the computational problems in the estimation of adjusted PIN model	2
Counting jumps: does the counting process count?	2
On detecting spoofing strategies in high-frequency trading	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
Optimal solution of the liquidation problem under execution and price impact risks	2
Static replication of European standard dispersion options	2
On prices and returns in commercial prediction markets	1
Lost in the LIBOR transition	1
Stock market simulator using hidden Markov generative model and its application in risk measurement	1
Valuing real options with endogenous payoff	1
Optimal asset allocation under search frictions and stochastic interest rate	1
Optimal asset allocation for commodity sovereign wealth funds	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	1
Physics-informed convolutional transformer for predicting volatility surface	1
Kelly investing with downside risk control in a regime-switching market	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
The volatility risk premium in the oil market	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
Network analysis of aggregated money flows in stock markets	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
Optimal trading with transaction costs and short-term predictability	1
Risk sharing with deep neural networks	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Dynamic quantile function models	1
On the implied volatility skew outside the at-the-money point	1
Household financial health: a machine learning approach for data-driven diagnosis and prescription	1
Robust SME investment and financing under market frictions	1
Risk measures based on weak optimal transport	1
Green technology innovation with environmental constraints	1
Metalearning of time series: an approximate dynamic programming approach	1
On the optimal forecast with the fractional Brownian motion	1
Semi-parametric financial risk forecasting incorporating multiple realized measures	1
Pricing Asian options with stochastic convenience yield and jumps	1
Risk management under weighted limited expected loss	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
Peer effects in professional analysts’ choice of their portfolio of companies	1
Tail risk aversion and backwardation of index futures	1
A modified CTGAN-plus-features-based method for optimal asset allocation	1
A transform-based method for pricing Asian options under general two-dimensional models	1
The Politics of Financial Control: The Role of the House of Commons	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
Risk contributions of lambda quantiles*	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Horizon effect on optimal retirement decision	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
From optimal martingales to randomized dual optimal stopping	1
Online learning of order flow and market impact with Bayesian change-point detection methods	1
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	1
Portfolio optimization with a prescribed terminal wealth distribution	1
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	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
Options-driven volatility forecasting	1
Distributionally robust portfolio optimization with linearized STARR performance measure	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
A multi-curve HJM factor model for pricing and risk management	1
Market Microstructure in Practice	1
Pricing renewable identification numbers under uncertainty	1
The economics of time as it is embedded in the prices of options§	1
Price impact on term structure	1
A social media alert system for meme stocks	1
A data-driven deep learning approach for options market making	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
The good, the bad, and latency: exploratory trading on Bybit and Binance	1
Ensemble learning for portfolio valuation and risk management	1