Quantitative Finance

Article	Citations
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	43
Pricing electricity day-ahead cap futures with multifactor skew-t densities	40
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	40
A generalized Esscher transform for option valuation with regime switching risk	32
α -threshold networks in credit risk models	26
Price dynamics with circuit breakers	25
Special Issue on XXIV Workshop on Quantitative Finance	22
Optimal trading and competition with information in the price impact model	22
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	20
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	15
Pairs trading under delayed cointegration	14
An investigation of cryptocurrency data: the market that never sleeps	14
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	14
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	14
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	14
Portfolio insurers and constant weight traders: who will survive?	13
Cryptocurrency factor momentum	13
Optimal portfolio allocation and asset centrality revisited	13
Multivariate systemic risk measures and computation by deep learning algorithms	13
Estimation risk and the implicit value of index-tracking	13
Can volatility solve the naive portfolio puzzle?	12
Decomposing LIBOR in transition: evidence from the futures markets	12
Persistence of jump-induced tail risk and limits to arbitrage	12

What is the value of the cross-sectional approach to deep reinforcement learning?	11
Bid-ask bounds for option prices: the two-tail distortion model	11
Short-dated smile under rough volatility: asymptotics and numerics	11
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
The Black–Scholes equation in the presence of arbitrage	10
Sparse index clones via the sorted ℓ1-Norm	10
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	10
Kurtosis-based risk parity: methodology and portfolio effects	10
Valuation and hedging of cryptocurrency inverse options	10
A deep learning approach to estimating fill probabilities in a limit order book	9
The impact of CoCo bonds on systemic risk considering liquidity risk	9
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	9
Conditions for bubbles to arise under heterogeneous beliefs	9
Model-free analysis of real option exercise probability and timing	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
Spot beta estimation with asynchronous noisy prices	9
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	9
Efficient option pricing in the rough Heston model using weak simulation schemes	8
SABR equipped with AI wings	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
Optimal operation of a hydropower plant in a stochastic environment	8
Estimating time-varying risk aversion from option prices and realized returns	8
The geometry of multi-curve interest rate models	8
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	8
The optimal payoff for a Yaari investor	7
Tile test for back-testing risk evaluation	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
When to efficiently rebalance a portfolio	7
Distributionally robust end-to-end portfolio construction	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
On joint marginal expected shortfall and associated contribution risk measures	7
Asset prices when large investors interact strategically	7
Cooperation between independent market makers	7
Earnings mean reversion and dynamic optimal capital structure	7
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
An Introduction to Machine Learning in Quantitative Finance	6
GDP-linked bonds as a new asset class	6
Pricing commodity index options	6
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
Myopic robust index tracking with Bregman divergence	6
Book review	6
Rule-based trading on an order-driven exchange: a reassessment	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Equity auction dynamics: latent liquidity models with activity acceleration	6
Liquidity Coverage at Risk	6
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
Some analytical results on bivariate stable distributions with an application in operational risk	6

The inelastic market hypothesis: a microstructural interpretation	5
Drawdown beta and portfolio optimization	5
Detecting bubbles via FDR and FNR based on calibrated p -values	5
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Supervised portfolios	5
The non-linear ESG premium	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
When do systematic strategies decay?	5
On general semi-closed-form solutions for VIX derivative pricing	5
A Tour of C++, Third Edition	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Optimal attention allocation: picking alpha or betting on beta?	5
Computing the SSR	5
Deep calibration with random grids	5
Callable barrier reverse convertible securities	5
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Are missing values important for earnings forecasts? A machine learning perspective	4
A neuro-structural framework for bankruptcy prediction	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
The EWMA Heston model	4
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	4
Option pricing under stochastic volatility models with latent volatility	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Errata: Instantaneous Portfolio theory	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
Risk-free rate caplets pricing by CTMC approximation	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Cheapest-to-deliver collateral: a common factor approach	4
Risk factor aggregation and stress testing	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Regime-switching affine term structures	4
The role of fleeting orders on option expiration days	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
A generalized heterogeneous autoregressive model using market information	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Merged LSTM-MLP for option valuation	4
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance	3
Detecting rough volatility: a filtering approach	3
Narrative triggers of information sensitivity	3
On model robustness of the regime switching approach for pegged foreign exchange markets	3
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	3
ESG risk exposure: a tale of two tails	3
An early-warning risk signals framework to capture systematic risk in financial markets	3
Optimal trade execution for Gaussian signals with power-law resilience	3
Optimal characteristic portfolios	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
Variance reduction for risk measures with importance sampling in nested simulation	3
A model of dynamic information production for initial public offerings	3
Mean-variance portfolio with wealth and volatility dependent risk aversion	3
Static replication of European standard dispersion options	3
Dynamic patterns of daily lead-lag networks in stock markets	3
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
Revisiting elastic string models of forward interest rates	3
Antinoise in U.S. equity markets	3
Group sparse enhanced indexation model with adaptive beta value	3
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
AI-driven liquidity provision in OTC financial markets	3
An unsupervised deep learning approach to solving partial integro-differential equations	3
Regulating stochastic clocks§	3
Continuous-Time Asset Pricing Theory	3
On the investment strategies in occupational pension plans	3
Path shadowing Monte Carlo	3
FX Open Forward	3
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators	3
Mathematics of the Bond Market: A Lévy Processes Approach	3
When do two- or three-fund separation theorems hold?	3
Size and power in tests of return predictability	3
In Memoriam Mardi Dungey	3
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2
Deep impulse control: application to interest rate intervention	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
Higher moments in the fundamental specification of electricity forward prices	2
Deep differentiable reinforcement learning and optimal trading	2
Semi-Markov-modulated exponential-affine bond prices	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2

Forecasting market index volatility using Ross-recovered distributions	2
CMS spread options	2
Optimal stop-loss rules in markets with long-range dependence	2
An adaptive dynamical model of default contagion	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
A simple robust asset pricing model under statistical ambiguity	2
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	2
Optimal solution of the liquidation problem under execution and price impact risks	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Cross-section without factors: a string model for expected returns	2
When order execution meets informed trading	2
On detecting spoofing strategies in high-frequency trading	2
Classification of flash crashes using the Hawkes(p,q)framework	2
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	2
Implied roughness in the term structure of oil market volatility	2
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2
Counting jumps: does the counting process count?	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
The SINC way: a fast and accurate approach to Fourier pricing	2
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	2
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	2
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
Algorithmic trading of real-time electricity with machine learning	2
Household financial health: a machine learning approach for data-driven diagnosis and prescription	1
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
Semi-parametric financial risk forecasting incorporating multiple realized measures	1
A social media alert system for meme stocks	1
On the implied volatility skew outside the at-the-money point	1
On the optimal forecast with the fractional Brownian motion	1
The economics of time as it is embedded in the prices of options§	1
Deep-learning models for forecasting financial risk premia and their interpretations	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
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
Pricing Asian options with stochastic convenience yield and jumps	1
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	1
Tail risk aversion and backwardation of index futures	1
Lost in the LIBOR transition	1
A transform-based method for pricing Asian options under general two-dimensional models	1
Optimal trading with transaction costs and short-term predictability	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Ensemble learning for portfolio valuation and risk management	1
Price impact on term structure	1
Horizon effect on optimal retirement decision	1
Risk management under weighted limited expected loss	1
From optimal martingales to randomized dual optimal stopping	1
Dynamic quantile function models	1
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
Optimal asset allocation under search frictions and stochastic interest rate	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
Online learning of order flow and market impact with Bayesian change-point detection methods	1
Physics-informed convolutional transformer for predicting volatility surface	1
Option hedging using LSTM-RNN: an empirical analysis	1
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
Pricing renewable identification numbers under uncertainty	1
On prices and returns in commercial prediction markets	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	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
Liquidity fluctuations and the latent dynamics of price impact	1
The Politics of Financial Control: The Role of the House of Commons	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
A multi-curve HJM factor model for pricing and risk management	1
Risk sharing with deep neural networks	1
The Hull–White model under volatility uncertainty	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
Stable dividends under linear-quadratic optimisation	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Options-driven volatility forecasting	1
A modified CTGAN-plus-features-based method for optimal asset allocation	1
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	1
Distributionally robust portfolio optimization with linearized STARR performance measure	1
Kelly investing with downside risk control in a regime-switching market	1
Metalearning of time series: an approximate dynamic programming approach	1
Market Microstructure in Practice	1
The volatility risk premium in the oil market	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Portfolio optimization with a prescribed terminal wealth distribution	1
A data-driven deep learning approach for options market making	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
Network analysis of aggregated money flows in stock markets	1
Valuing real options with endogenous payoff	1
Risk contributions of lambda quantiles*	1
Risk measures based on weak optimal transport	1
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1