Quantitative Finance

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	48
α -threshold networks in credit risk models	43
Price dynamics with circuit breakers	37
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	31
Optimal trading and competition with information in the price impact model	30
A generalized Esscher transform for option valuation with regime switching risk	29
Trading TP 2 option violations	20
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	19
Weak approximations and VIX option price expansions in forward variance curve models	17
A market resilient data-driven approach to option pricing	17
A study on asset price bubble dynamics: explosive trend or quadratic variation?	17
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	17
Pricing electricity day-ahead cap futures with multifactor skew-t densities	17
Special Issue on XXIV Workshop on Quantitative Finance	17
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	17
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	16
Persistence of jump-induced tail risk and limits to arbitrage	16
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	16
Can volatility solve the naive portfolio puzzle?	15
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	15
How does liquidity shape the yield curve?	15
Multivariate systemic risk measures and computation by deep learning algorithms	14
Short-dated smile under rough volatility: asymptotics and numerics	14
Portfolio insurers and constant weight traders: who will survive?	13
Bid-ask bounds for option prices: the two-tail distortion model	13

Decomposing LIBOR in transition: evidence from the futures markets	13
Pairs trading under delayed cointegration	12
Cryptocurrency factor momentum	12
On the predictive power of food commodity futures prices in forecasting inflation	11
Estimation risk and the implicit value of index-tracking	11
The Black–Scholes equation in the presence of arbitrage	11
Short-maturity options on realized variance in local-stochastic volatility models	11
Greenwashing risk in asset pricing: the shift after the Paris agreement	11
What is the value of the cross-sectional approach to deep reinforcement learning?	11
Model-free analysis of real option exercise probability and timing	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
Conditions for bubbles to arise under heterogeneous beliefs	10
Generation of synthetic financial time series by diffusion models	10
Explaining risks: axiomatic risk attributions for financial models	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	10
Spot beta estimation with asynchronous noisy prices	10
Valuation and hedging of cryptocurrency inverse options	10
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	10
Kurtosis-based risk parity: methodology and portfolio effects	10
The geometry of multi-curve interest rate models	9
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	9
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
A deep learning approach to estimating fill probabilities in a limit order book	9
Optimal operation of a hydropower plant in a stochastic environment	9
Earnings mean reversion and dynamic optimal capital structure	8
The optimal payoff for a Yaari investor	8
SABR equipped with AI wings	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
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	8
Distributionally robust end-to-end portfolio construction	8
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
When to efficiently rebalance a portfolio	7
Rule-based trading on an order-driven exchange: a reassessment	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
Some analytical results on bivariate stable distributions with an application in operational risk	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Asset prices when large investors interact strategically	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
Pricing commodity index options	7
On joint marginal expected shortfall and associated contribution risk measures	7
Crypto inverse-power options and fractional stochastic volatility	6
An Introduction to Machine Learning in Quantitative Finance	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
On general semi-closed-form solutions for VIX derivative pricing	6
When do systematic strategies decay?	6
Optimal attention allocation: picking alpha or betting on beta?	6

Cooperation between independent market makers	6
Book review	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
Drawdown beta and portfolio optimization	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
GDP-linked bonds as a new asset class	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
Computing the SSR	6
The inelastic market hypothesis: a microstructural interpretation	6
Liquidity Coverage at Risk	6
A neuro-structural framework for bankruptcy prediction	5
Deep calibration with random grids	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
A Tour of C++, Third Edition	5
Supervised portfolios	5
Risk-free rate caplets pricing by CTMC approximation	5
The non-linear ESG premium	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Regime-switching affine term structures	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Errata: Instantaneous Portfolio theory	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
The role of fleeting orders on option expiration days	5
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
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
Realized skewness of oil price returns and the short-term predictability for exchange rate	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
Risk factor aggregation and stress testing	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Cheapest-to-deliver collateral: a common factor approach	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Sparse portfolio selection via topological data analysis based clustering	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
The EWMA Heston model	4
Merged LSTM-MLP for option valuation	4
Group sparse enhanced indexation model with adaptive beta value	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
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Continuous-Time Asset Pricing Theory	3
In Memoriam Mardi Dungey	3
Revisiting elastic string models of forward interest rates	3
On the investment strategies in occupational pension plans	3
ESG risk exposure: a tale of two tails	3
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance	3
When order execution meets informed trading	3
Path shadowing Monte Carlo	3
An unsupervised deep learning approach to solving partial integro-differential equations	3
Optimal portfolio choice with ESG considerations and asymmetric information	3
Static replication of European standard dispersion options	3
Narrative triggers of information sensitivity	3
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
FX Open Forward	3
Size and power in tests of return predictability	3
AI-driven liquidity provision in OTC financial markets	3
Detecting rough volatility: a filtering approach	3
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
Regulating stochastic clocks§	3
Mean-variance portfolio with wealth and volatility dependent risk aversion	3
A model of dynamic information production for initial public offerings	3
Bayesian nonparametric modelling of stochastic volatility	3
Optimal characteristic portfolios	3
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	3
Macroscopic properties of equity markets: stylized facts and portfolio performance	3
Variance reduction for risk measures with importance sampling in nested simulation	3
Deep differentiable reinforcement learning and optimal trading	3
On model robustness of the regime switching approach for pegged foreign exchange markets	3
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	3
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2
Algorithmic trading of real-time electricity with machine learning	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
An adaptive dynamical model of default contagion	2
Deep impulse control: application to interest rate intervention	2

On detecting spoofing strategies in high-frequency trading	2
Counting jumps: does the counting process count?	2
Bayesian probability of default models with Langevin dynamics	2
A multi-curve HJM factor model for pricing and risk management	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Optimal asset allocation under search frictions and stochastic interest rate	2
Cross-section without factors: a string model for expected returns	2
Semi-parametric financial risk forecasting incorporating multiple realized measures	2
Risk management under weighted limited expected loss	2
Stock market simulator using hidden Markov generative model and its application in risk measurement	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
Online learning of order flow and market impact with Bayesian change-point detection methods	2
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2
Artificial Intelligence in Finance, Volume 1	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
Optimal stop-loss rules in markets with long-range dependence	2
Optimal solution of the liquidation problem under execution and price impact risks	2
W-shaped implied volatility curves and the Gaussian mixture model	2
A methodological approach to the computational problems in the estimation of adjusted PIN model	2
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	2
Metalearning of time series: an approximate dynamic programming approach	2
The economics of time as it is embedded in the prices of options§	2
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	2
Implied roughness in the term structure of oil market volatility	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
Higher moments in the fundamental specification of electricity forward prices	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
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
Stable dividends under linear-quadratic optimisation	2
Semi-Markov-modulated exponential-affine bond prices	2
Options-driven volatility forecasting	2
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	2
Robust SME investment and financing under market frictions	2
Network analysis of aggregated money flows in stock markets	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
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
Market Microstructure in Practice	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
Lost in the LIBOR transition	1
Dynamic currency hedging with non-Gaussianity and ambiguity	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
Household financial health: a machine learning approach for data-driven diagnosis and prescription	1
A data-driven deep learning approach for options market making	1
Optimal asset allocation for commodity sovereign wealth funds	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
Deep-learning models for forecasting financial risk premia and their interpretations	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
Optimal trading with transaction costs and short-term predictability	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
Green technology innovation with environmental constraints	1
Risk contributions of lambda quantiles*	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	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
Dynamic core-satellite investing using higher order moments: an explicit solution	1
Valuing real options with endogenous payoff	1
Horizon effect on optimal retirement decision	1
Ensemble learning for portfolio valuation and risk management	1
On the optimal forecast with the fractional Brownian motion	1
Bayesian nonparametric portfolio selection with rolling maximum drawdown control	1
Pricing renewable identification numbers under uncertainty	1
Correction	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Risk measures based on weak optimal transport	1
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Risk sharing with deep neural networks	1
On the implied volatility skew outside the at-the-money point	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
The Politics of Financial Control: The Role of the House of Commons	1
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
A social media alert system for meme stocks	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
Dynamic quantile function models	1
The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative	1
Modeling price clustering in high-frequency prices	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
The contagion of extreme risks between fossil and green energy markets: evidence from China	1
The good, the bad, and latency: exploratory trading on Bybit and Binance	1
Blockchain and Distributed Ledgers: Mathematics, Technology, and Economics	1
Peer effects in professional analysts’ choice of their portfolio of companies	1
From optimal martingales to randomized dual optimal stopping	1
Kelly investing with downside risk control in a regime-switching market	1
A transform-based method for pricing Asian options under general two-dimensional models	1
The volatility risk premium in the oil market	1
Intra-day seasonality and abnormal returns in the Brent crude oil futures market	1