Quantitative Finance

Article	Citations
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	47
α -threshold networks in credit risk models	34
Price dynamics with circuit breakers	33
Special Issue on XXIV Workshop on Quantitative Finance	30
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	28
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	28
Optimal trading and competition with information in the price impact model	17
Weak approximations and VIX option price expansions in forward variance curve models	17
A study on asset price bubble dynamics: explosive trend or quadratic variation?	16
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	16
Trading TP 2 option violations	16
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	16
A generalized Esscher transform for option valuation with regime switching risk	15
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	15
Pricing electricity day-ahead cap futures with multifactor skew-t densities	15
How does liquidity shape the yield curve?	14
Pairs trading under delayed cointegration	14
Multivariate systemic risk measures and computation by deep learning algorithms	14
What is the value of the cross-sectional approach to deep reinforcement learning?	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
Estimation risk and the implicit value of index-tracking	13
Cryptocurrency factor momentum	13
Can volatility solve the naive portfolio puzzle?	12
Decomposing LIBOR in transition: evidence from the futures markets	12

Bid-ask bounds for option prices: the two-tail distortion model	12
Persistence of jump-induced tail risk and limits to arbitrage	12
Short-dated smile under rough volatility: asymptotics and numerics	12
The Black–Scholes equation in the presence of arbitrage	11
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	11
Spot beta estimation with asynchronous noisy prices	11
High-dimensional sparse index tracking based on a multi-step convex optimization approach	11
Model-free analysis of real option exercise probability and timing	10
Explaining risks: axiomatic risk attributions for financial models	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
Sparse index clones via the sorted ℓ1-Norm	10
Generation of synthetic financial time series by diffusion models	10
The impact of CoCo bonds on systemic risk considering liquidity risk	10
Kurtosis-based risk parity: methodology and portfolio effects	10
On the predictive power of food commodity futures prices in forecasting inflation	10
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
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	9
A deep learning approach to estimating fill probabilities in a limit order book	9
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	9
SABR equipped with AI wings	9
Efficient option pricing in the rough Heston model using weak simulation schemes	8
Earnings mean reversion and dynamic optimal capital structure	8
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Distributionally robust end-to-end portfolio construction	7
On joint marginal expected shortfall and associated contribution risk measures	7
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	7
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	7
Asset prices when large investors interact strategically	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
The optimal payoff for a Yaari investor	7
Estimating time-varying risk aversion from option prices and realized returns	7
When to efficiently rebalance a portfolio	7
Cooperation between independent market makers	6
Pricing commodity index options	6
Rule-based trading on an order-driven exchange: a reassessment	6
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	6
Optimal attention allocation: picking alpha or betting on beta?	6
Computing the SSR	6
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Some analytical results on bivariate stable distributions with an application in operational risk	6
Book review	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
When do systematic strategies decay?	6
On general semi-closed-form solutions for VIX derivative pricing	6
Equity auction dynamics: latent liquidity models with activity acceleration	6
Crypto inverse-power options and fractional stochastic volatility	6

Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
Hydrodynamics of Markets: Hidden Links between Physics and Finance	6
An Introduction to Machine Learning in Quantitative Finance	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
The non-linear ESG premium	6
The role of fleeting orders on option expiration days	5
Supervised portfolios	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Drawdown beta and portfolio optimization	5
Liquidity Coverage at Risk	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Errata: Instantaneous Portfolio theory	5
A neuro-structural framework for bankruptcy prediction	5
Deep calibration with random grids	5
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
GDP-linked bonds as a new asset class	5
Portfolio and reinsurance optimization under unknown market price of risk	5
Regime-switching affine term structures	5
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5
The inelastic market hypothesis: a microstructural interpretation	5
A Tour of C++, Third Edition	5
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	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
Sparse portfolio selection via topological data analysis based clustering	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
Risk-free rate caplets pricing by CTMC approximation	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Risk factor aggregation and stress testing	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Group sparse enhanced indexation model with adaptive beta value	4
A generalized heterogeneous autoregressive model using market information	4
Merged LSTM-MLP for option valuation	4
The EWMA Heston model	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Option pricing under stochastic volatility models with latent volatility	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Narrative triggers of information sensitivity	3
Optimal characteristic portfolios	3
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	3
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	3
Bayesian nonparametric modelling of stochastic volatility	3
Path shadowing Monte Carlo	3
In Memoriam Mardi Dungey	3
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
Continuous-Time Asset Pricing Theory	3
AI-driven liquidity provision in OTC financial 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
Macroscopic properties of equity markets: stylized facts and portfolio performance	3
FX Open Forward	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
A model of dynamic information production for initial public offerings	3
Mean-variance portfolio with wealth and volatility dependent risk aversion	3
When order execution meets informed trading	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
On the investment strategies in occupational pension plans	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
Deep differentiable reinforcement learning and optimal trading	3
Variance reduction for risk measures with importance sampling in nested simulation	3
Static replication of European standard dispersion options	3
Counting jumps: does the counting process count?	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
Semi-Markov-modulated exponential-affine bond prices	2
Classification of flash crashes using the Hawkes(p,q)framework	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
On model robustness of the regime switching approach for pegged foreign exchange markets	2
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	2
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	2
Higher moments in the fundamental specification of electricity forward prices	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
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	2
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2

Deep impulse control: application to interest rate intervention	2
On detecting spoofing strategies in high-frequency trading	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
Regulating stochastic clocks§	2
An unsupervised deep learning approach to solving partial integro-differential equations	2
Cross-section without factors: a string model for expected returns	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Implied roughness in the term structure of oil market volatility	2
An adaptive dynamical model of default contagion	2
Algorithmic trading of real-time electricity with machine learning	2
A simple robust asset pricing model under statistical ambiguity	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
A methodological approach to the computational problems in the estimation of adjusted PIN model	2
Optimal solution of the liquidation problem under execution and price impact risks	2
Optimal portfolio choice with ESG considerations and asymmetric information	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
Bayesian probability of default models with Langevin dynamics	2
The SINC way: a fast and accurate approach to Fourier pricing	2
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2
Artificial Intelligence in Finance, Volume 1	2
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Pricing Asian options with stochastic convenience yield and jumps	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
A social media alert system for meme stocks	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
Pricing renewable identification numbers under uncertainty	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	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
Network analysis of aggregated money flows in stock markets	1
Peer effects in professional analysts’ choice of their portfolio of companies	1
Intra-day seasonality and abnormal returns in the Brent crude oil futures market	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Risk measures based on weak optimal transport	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	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
Green technology innovation with environmental constraints	1
Options-driven volatility forecasting	1
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	1
Metalearning of time series: an approximate dynamic programming approach	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	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
Kelly investing with downside risk control in a regime-switching market	1
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	1
Distributionally robust portfolio optimization with linearized STARR performance measure	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
A transform-based method for pricing Asian options under general two-dimensional models	1
The volatility risk premium in the oil market	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
Risk contributions of lambda quantiles*	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
Optimal trading with transaction costs and short-term predictability	1
Ensemble learning for portfolio valuation and risk management	1
Online learning of order flow and market impact with Bayesian change-point detection methods	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	1
Horizon effect on optimal retirement decision	1
Stable dividends under linear-quadratic optimisation	1
On prices and returns in commercial prediction markets	1
A multi-curve HJM factor model for pricing and risk management	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	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
A modified CTGAN-plus-features-based method for optimal asset allocation	1
Tail risk aversion and backwardation of index futures	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Market Microstructure in Practice	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
Portfolio optimization with a prescribed terminal wealth distribution	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
On the implied volatility skew outside the at-the-money point	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
The Politics of Financial Control: The Role of the House of Commons	1
The good, the bad, and latency: exploratory trading on Bybit and Binance	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
Price impact on term structure	1
Lost in the LIBOR transition	1
Risk management under weighted limited expected loss	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	1
Risk sharing with deep neural networks	1
Robust SME investment and financing under market frictions	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Stock market simulator using hidden Markov generative model and its application in risk measurement	1
Physics-informed convolutional transformer for predicting volatility surface	1
Semi-parametric financial risk forecasting incorporating multiple realized measures	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