Quantitative Finance

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	78
Price dynamics with circuit breakers	58
A market resilient data-driven approach to option pricing	42
α -threshold networks in credit risk models	33
Special Issue on XXIV Workshop on Quantitative Finance	29
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	29
Weak approximations and VIX option price expansions in forward variance curve models	24
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	23
Optimal trading and competition with information in the price impact model	23
Trading TP 2 option violations	21
An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario	21
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	19
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Analytical approximations for American option pricing under regime-switching models	19
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	18
Pairs trading with stock borrowing fee	17
Can volatility solve the naive portfolio puzzle?	17
Greenwashing risk in asset pricing: the shift after the Paris agreement	17
Persistence of jump-induced tail risk and limits to arbitrage	17
Short-maturity options on realized variance in local-stochastic volatility models	16
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	16
Decomposing LIBOR in transition: evidence from the futures markets	15
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	15
Consumption skewness, time deformation and the term structure	14
A structured PDE framework for pricing resettable convertible bonds	14

Analytical solution for Kelly's criterion for multiple outcomes	14
Cryptocurrency factor momentum	14
Bid-ask bounds for option prices: the two-tail distortion model	14
Multivariate systemic risk measures and computation by deep learning algorithms	13
Generation of synthetic financial time series by diffusion models	13
How does liquidity shape the yield curve?	13
Model-free analysis of real option exercise probability and timing	12
Valuation and hedging of cryptocurrency inverse options	12
The Black–Scholes equation in the presence of arbitrage	12
Kurtosis-based risk parity: methodology and portfolio effects	12
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
Explaining risks: axiomatic risk attributions for financial models	11
Estimating time-varying risk aversion from option prices and realized returns	10
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	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
Dimensionality reduction techniques to support insider trading detection	9
SABR equipped with AI wings	9
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	9
Optimal operation of a hydropower plant in a stochastic environment	8
The geometry of multi-curve interest rate models	8
The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework	8
Efficient option pricing in the rough Heston model using weak simulation schemes	8
Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility	8
Earnings mean reversion and dynamic optimal capital structure	8
Crypto inverse-power options and fractional stochastic volatility	8
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	8
Revisiting the bond premium puzzle: a robustness approach	8
A deep learning approach to estimating fill probabilities in a limit order book	8
Distributionally robust end-to-end portfolio construction	8
On joint marginal expected shortfall and associated contribution risk measures	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Rule-based trading on an order-driven exchange: a reassessment	7
Pricing commodity index options	7
Asset prices when large investors interact strategically	7
When to efficiently rebalance a portfolio	7
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	6
Detecting toxic flow	6
Optimal attention allocation: picking alpha or betting on beta?	6
On the correlations in linearized multivariate stochastic volatility models	6
Book review	6
GDP-linked bonds as a new asset class	6
Computing the SSR	6
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	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

A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	5
A Tour of C++, Third Edition	5
On the realized joint Laplace transform of volatilities with application to test the volatility dependence	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Regime-switching affine term structures	5
Liquidity Coverage at Risk	5
When do systematic strategies decay?	5
Mind the gap in the mining game	5
Deep calibration with random grids	5
The role of fleeting orders on option expiration days	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
The non-linear ESG premium	5
A neuro-structural framework for bankruptcy prediction	5
Supervised portfolios	5
ClusterLOB: enhancing trading strategies by clustering orders in limit order books	5
Equity auction dynamics: latent liquidity models with activity acceleration	5
On general semi-closed-form solutions for VIX derivative pricing	5
Quantum advantage for multi-option portfolio pricing and valuation adjustments	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
Revisiting elastic string models of forward interest rates	4
f-Betas and portfolio optimization with f-divergence induced risk measures	4
Option pricing under stochastic volatility models with latent volatility	4
Risk factor aggregation and stress testing	4
Merged LSTM-MLP for option valuation	4
Risk-free rate caplets pricing by CTMC approximation	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
Numerical perspectives on the rebalancing premium	4
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	4
Sparse portfolio selection via topological data analysis based clustering	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
The EWMA Heston model	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Forward-looking physical tail risk: a deep learning approach	4
Bayesian nonparametric modelling of stochastic volatility	4
FX Open Forward	4
Valuation of American options in ambiguous multifactor models	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Distribution of price and volume in a call auction	3
Pricing American Parisian options under general time-inhomogeneous Markov models	3
Addressing estimation errors on expected asset returns through robust portfolio optimization	3
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	3
Impact of the carbon price on credit portfolio's loss with stochastic collateral	3
Path shadowing Monte Carlo	3
Bayesian probability of default models with Langevin dynamics	3
Detecting rough volatility: a filtering approach	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
When order execution meets informed trading	3
ESG risk exposure: a tale of two tails	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
Narrative triggers of information sensitivity	3
Optimal portfolio choice with ESG considerations and asymmetric information	3
Higher moments in the fundamental specification of electricity forward prices	3
A methodological approach to the computational problems in the estimation of adjusted PIN model	3
Filtering market signals: dynamic asset allocation with momentum and hidden mean reversion	3
Regulating stochastic clocks§	3
AI-driven liquidity provision in OTC financial markets	3
A model of dynamic information production for initial public offerings	3
Mean-variance portfolio with wealth and volatility dependent risk aversion	3
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	3
Cross-section without factors: a string model for expected returns	3
Do fundamentals shape the price response? A critical assessment of linear impact models	3
Pricing and calibration in the 4-factor path-dependent volatility model	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
Handbook of Sharing Confidential Data: Differential Privacy, Secure Multiparty Computation, and Synthetic Data	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
Optimal stop-loss rules in markets with long-range dependence	2
Robust SME investment and financing under market frictions	2
On consistency of optimal portfolio choice for state-dependent exponential utilities	2
Deep-learning models for forecasting financial risk premia and their interpretations	2
Risk management under weighted limited expected loss	2
The economics of time as it is embedded in the prices of options§	2
Stock market simulator using hidden Markov generative model and its application in risk measurement	2
Counting jumps: does the counting process count?	2
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	2

A model of financial bubbles and drawdowns with non-local behavioral self-referencing	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
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
Semi-Markov-modulated exponential-affine bond prices	2
Algorithmic trading of real-time electricity with machine learning	2
Optimal asset allocation under search frictions and stochastic interest rate	2
Risk-neutral generative networks	2
On the implied volatility skew outside the at-the-money point	2
Optimal reinsurance-investment with loss aversion under rough Heston model	2
Clearing time randomization and transaction fees for auction market design	2
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2
Semi-parametric financial risk forecasting incorporating multiple realized measures	2
Why is the estimation of metaorder impact with public market data so challenging?	2
Options-driven volatility forecasting	2
Artificial Intelligence in Finance, Volume 1	2
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
Benchmark-neutral pricing	2
Metalearning of time series: an approximate dynamic programming approach	2
No arbitrage assumption implies the differentiability of the derivative pricing function	2
Stable dividends under linear-quadratic optimisation	2
Classifying and clustering trading agents	2
W-shaped implied volatility curves and the Gaussian mixture model	2
A multi-curve HJM factor model for pricing and risk management	2
Peer effects in professional analysts’ choice of their portfolio of companies	2
Online learning of order flow and market impact with Bayesian change-point detection methods	2
Optimizing stock portfolios with deep reinforcement learning after FNN-based fundamental analysis	2
Special Issue of Quantitative Finance on ‘Business Analytics in Banking and Finance’	2
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	2
A transform-based method for pricing Asian options under general two-dimensional models	1
Life-cycle planning model with inflation and time-varying consumption constraints	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
Correction	1
A data-driven deep learning approach for options market making	1
Deep learning for enhanced index tracking	1
Synthetic data for portfolios: a throw of the dice will never abolish chance	1
Deviations from tradition: stylized facts in the era of DeFi	1
The Politics of Financial Control: The Role of the House of Commons	1
Delta hedging bitcoin options with a smile	1
On prices and returns in commercial prediction markets	1
Multivariate rough volatility	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
The good, the bad, and latency: exploratory trading on Bybit and Binance	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
Risk measures based on weak optimal transport	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
Bayesian nonparametric portfolio selection with rolling maximum drawdown control	1
Options markets as political forecasts: insights from the 2024 U.S. presidential race	1
Closed-form option pricing for exponential Lévy models: a residue approach	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
Simulated Greeks for American options	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
Exploring parsimonious principles that unify active portfolio selection (II): validation	1
The ‘double’ square-root law: evidence for the mechanical origin of market impact using Tokyo stock exchange data	1
Markovian approximations of stochastic Volterra equations with the fractional kernel	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
Tactical asset allocation with macroeconomic regime detection	1
Ex ante and ex post risk premiums in electricity futures	1
Dynamic currency hedging with non-Gaussianity and ambiguity	1
Multivariate portfolio choice via quantiles	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
Risk sharing with deep neural networks	1
Analytics on conditional moment generating functions of stochastic volatility models	1
Ensemble learning for portfolio valuation and risk management	1
Optimal trading with transaction costs and short-term predictability	1
Smart leverage? Rethinking the role of Leveraged Exchange Traded Funds in constructing portfolios to beat a benchmark	1
Noise-robust orthogonal clustering and applications to equity markets	1
Horizon effect on optimal retirement decision	1
Optimal asset allocation for commodity sovereign wealth funds	1
Physics-informed convolutional transformer for predicting volatility surface	1
Option pricing with a compound CARMA( p , q )-Hawkes	1
Intra-day seasonality and abnormal returns in the Brent crude oil futures market	1
Household financial health: a machine learning approach for data-driven diagnosis and prescription	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Relative entropy-regularized robust optimal order execution	1
Exploratory mean-variance portfolio selection with Choquet regularizers	1
Coupled GARCH(1,1) model	1
Tail risk aversion and backwardation of index futures	1
The contagion of extreme risks between fossil and green energy markets: evidence from China	1
Network analysis of aggregated money flows in stock markets	1
From optimal martingales to randomized dual optimal stopping	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Lost in the LIBOR transition	1
Feature configuration effects in DRL portfolio management: a risk-focused evaluation under market stress	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	1
Random processes for long-term market simulations	1