Quantitative Finance

Article	Citations
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	40
Weak approximations and VIX option price expansions in forward variance curve models	39
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	37
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	28
Pricing electricity day-ahead cap futures with multifactor skew-t densities	25
A generalized Esscher transform for option valuation with regime switching risk	24
α -threshold networks in credit risk models	21
Price dynamics with circuit breakers	20
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	19
A study on asset price bubble dynamics: explosive trend or quadratic variation?	19
Special Issue on XXIV Workshop on Quantitative Finance	19
Persistence of jump-induced tail risk and limits to arbitrage	13
What is the value of the cross-sectional approach to deep reinforcement learning?	13
Portfolio insurers and constant weight traders: who will survive?	13
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	13
Optimal trading and competition with information in the price impact model	13
Estimation risk and the implicit value of index-tracking	12
Decomposing LIBOR in transition: evidence from the futures markets	12
Short-dated smile under rough volatility: asymptotics and numerics	12
Pairs trading under delayed cointegration	12
Can volatility solve the naive portfolio puzzle?	11
Cryptocurrency factor momentum	11
Optimal portfolio allocation and asset centrality revisited	11
An investigation of cryptocurrency data: the market that never sleeps	11
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	11

Bid-ask bounds for option prices: the two-tail distortion model	10
Multivariate systemic risk measures and computation by deep learning algorithms	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	9
Sparse index clones via the sorted ℓ1-Norm	9
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	9
Valuation and hedging of cryptocurrency inverse options	9
Model-free analysis of real option exercise probability and timing	9
High-dimensional sparse index tracking based on a multi-step convex optimization approach	9
The Black–Scholes equation in the presence of arbitrage	9
The impact of CoCo bonds on systemic risk considering liquidity risk	9
Efficient option pricing in the rough Heston model using weak simulation schemes	8
A deep learning approach to estimating fill probabilities in a limit order book	8
Lifetime consumption and investment with housing, deferred annuities and home equity release	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
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	8
Some analytical results on bivariate stable distributions with an application in operational risk	7
Conditions for bubbles to arise under heterogeneous beliefs	7
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	7
The geometry of multi-curve interest rate models	7
Tile test for back-testing risk evaluation	7
Earnings mean reversion and dynamic optimal capital structure	7
SABR equipped with AI wings	7
Local sensitivity analysis of heating degree day and cooling degree day temperature derivative prices	7
Distributionally robust end-to-end portfolio construction	7
Estimating time-varying risk aversion from option prices and realized returns	7
Optimal operation of a hydropower plant in a stochastic environment	7
Rule-based trading on an order-driven exchange: a reassessment	6
Cooperation between independent market makers	6
On joint marginal expected shortfall and associated contribution risk measures	6
Pricing commodity index options	6
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	6
Hydrodynamics of Markets: Hidden Links between Physics and Finance	6
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	6
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
Asset prices when large investors interact strategically	6
When to efficiently rebalance a portfolio	5
Book review	5
Callable barrier reverse convertible securities	5
Deep calibration with random grids	5
GDP-linked bonds as a new asset class	5
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	5
Bond market completeness under stochastic strings with distribution-valued strategies	5
When do systematic strategies decay?	5
Liquidity Coverage at Risk	5
An Introduction to Machine Learning in Quantitative Finance	5
Optimal attention allocation: picking alpha or betting on beta?	5
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	5

Equity auction dynamics: latent liquidity models with activity acceleration	5
The inelastic market hypothesis: a microstructural interpretation	5
Detecting bubbles via FDR and FNR based on calibrated p -values	5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	4
NN de-Americanization: an efficient method to facilitate calibration of American-style options	4
A neuro-structural framework for bankruptcy prediction	4
Risk factor aggregation and stress testing	4
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	4
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	4
Myopic robust index tracking with Bregman divergence	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
On general semi-closed-form solutions for VIX derivative pricing	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
The role of fleeting orders on option expiration days	4
A generalized heterogeneous autoregressive model using market information	4
Supervised portfolios	4
The EWMA Heston model	4
Computing the SSR	4
Drawdown beta and portfolio optimization	4
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	4
Regime-switching affine term structures	4
Risk-free rate caplets pricing by CTMC approximation	4
A Tour of C++, Third Edition	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Errata: Instantaneous Portfolio theory	4
Portfolio and reinsurance optimization under unknown market price of risk	4
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	3
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	3
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
In Memoriam Mardi Dungey	3
FX Open Forward	3
ESG risk exposure: a tale of two tails	3
Antinoise in U.S. equity markets	3
When do two- or three-fund separation theorems hold?	3
Cheapest-to-deliver collateral: a common factor approach	3
Option pricing under stochastic volatility models with latent volatility	3
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators	3
On the investment strategies in occupational pension plans	3
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	3
Dynamic patterns of daily lead-lag networks in stock markets	3
AI-driven liquidity provision in OTC financial markets	3
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance	3
Optimal characteristic portfolios	3
Mathematics of the Bond Market: A Lévy Processes Approach	3
An early-warning risk signals framework to capture systematic risk in financial markets	3
Group sparse enhanced indexation model with adaptive beta value	3
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	3
Revisiting elastic string models of forward interest rates	3
On model robustness of the regime switching approach for pegged foreign exchange markets	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	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
Optimal trade execution for Gaussian signals with power-law resilience	3
Path shadowing Monte Carlo	2
Narrative triggers of information sensitivity	2
Mean-variance portfolio with wealth and volatility dependent risk aversion	2
Cross-section without factors: a string model for expected returns	2
A simple robust asset pricing model under statistical ambiguity	2
CMS spread options	2
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
Classification of flash crashes using the Hawkes(p,q)framework	2
Detecting rough volatility: a filtering approach	2
A model of dynamic information production for initial public offerings	2
Variance reduction for risk measures with importance sampling in nested simulation	2
Static replication of European standard dispersion options	2
The SINC way: a fast and accurate approach to Fourier pricing	2
The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
Counting jumps: does the counting process count?	2
On detecting spoofing strategies in high-frequency trading	2
Forecasting market index volatility using Ross-recovered distributions	2
Optimal solution of the liquidation problem under execution and price impact risks	2

An unsupervised deep learning approach to solving partial integro-differential equations	2
Continuous-Time Asset Pricing Theory	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
When order execution meets informed trading	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
Deep impulse control: application to interest rate intervention	2
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
Regulating stochastic clocks§	2
Higher moments in the fundamental specification of electricity forward prices	2
Deep differentiable reinforcement learning and optimal trading	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Pricing renewable identification numbers under uncertainty	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
Risk contributions of lambda quantiles*	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	1
Liquidity fluctuations and the latent dynamics of price impact	1
Optimal stop-loss rules in markets with long-range dependence	1
No arbitrage global parametrization for the eSSVI volatility surface	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
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
On the optimal forecast with the fractional Brownian motion	1
Options-driven volatility forecasting	1
Optimal trading with transaction costs and short-term predictability	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	1
Option hedging using LSTM-RNN: an empirical analysis	1
Metalearning of time series: an approximate dynamic programming approach	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Price impact on term structure	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
Risk management under weighted limited expected loss	1
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	1
The volatility risk premium in the oil market	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
A multi-curve HJM factor model for pricing and risk management	1
Lost in the LIBOR transition	1
Optimal asset allocation under search frictions and stochastic interest rate	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	1
Physics-informed convolutional transformer for predicting volatility surface	1
A social media alert system for meme stocks	1
On prices and returns in commercial prediction markets	1
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	1
Network analysis of aggregated money flows in stock markets	1
A modified CTGAN-plus-features-based method for optimal asset allocation	1
Implied roughness in the term structure of oil market volatility	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	1
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Semi-parametric financial risk forecasting incorporating multiple realized measures	1
Kelly investing with downside risk control in a regime-switching market	1
Beyond convexity	1
On the implied volatility skew outside the at-the-money point	1
Market Microstructure in Practice	1
Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
Online learning of order flow and market impact with Bayesian change-point detection methods	1
A transform-based method for pricing Asian options under general two-dimensional models	1
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
Tail risk aversion and backwardation of index futures	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
Algorithmic trading of real-time electricity with machine learning	1
Portfolio optimization with a prescribed terminal wealth distribution	1
The Politics of Financial Control: The Role of the House of Commons	1
Distributionally robust portfolio optimization with linearized STARR performance measure	1
An adaptive dynamical model of default contagion	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
Pricing Asian options with stochastic convenience yield and jumps	1
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	1
Stable dividends under linear-quadratic optimisation	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
The economics of time as it is embedded in the prices of options§	1
Peer effects in professional analysts’ choice of their portfolio of companies	1
A data-driven deep learning approach for options market making	1