Quantitative Finance

Article	Citations
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	59
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	37
A Tour of C++, Third Edition	34
Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective	27
NN de-Americanization: an efficient method to facilitate calibration of American-style options	24
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	19
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	19
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	19
When the blockchain does not block: on hackings and uncertainty in the cryptocurrency market	18
A simple robust asset pricing model under statistical ambiguity	18
Book review	17
Classification of flash crashes using the Hawkes(p,q)framework	16
Optimal trading and competition with information in the price impact model	16
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	13
Regime-switching affine term structures	12
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	11
Fin-GAN: forecasting and classifying financial time series via generative adversarial networks	11
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency	11
Deep impulse control: application to interest rate intervention	11
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	11
CMS spread options	10
Multivariate quadratic Hawkes processes—part I: theoretical analysis	10
Errata: Instantaneous Portfolio theory	10
Portfolio and reinsurance optimization under unknown market price of risk	10
Market Microstructure in Practice	10

Supervised portfolios	9
Weak approximations and VIX option price expansions in forward variance curve models	9
The role of fleeting orders on option expiration days	9
A new framework for examining creditworthiness of borrowers: the mover-stayer model with covariate and macroeconomic effects	9
Bitcoin, currencies, and fragility	9
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	9
Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables	9
A generalized Esscher transform for option valuation with regime switching risk	9
Model-based approach for scenario design: stress test severity and banks' resiliency	9
Optimal asset allocation for outperforming a stochastic benchmark target	8
Quantum Machine Learning and Optimisation in Finance	8
A neuro-structural framework for bankruptcy prediction	8
Portfolio optimization with a prescribed terminal wealth distribution	8
Equal risk pricing and hedging of financial derivatives with convex risk measures	8
Pricing electricity day-ahead cap futures with multifactor skew-t densities	8
Liquidity fluctuations and the latent dynamics of price impact	8
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets	8
Consistent curves in the -world: optimal bonds portfolio	7
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	7
Optimal reinsurance under a new design: two layers and multiple reinsurers	7
On an irreversible investment problem with two-factor uncertainty	7
Islamic Banking and Finance, Second Edition	7
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	7
Risk conscious investment	7
Effective stochastic local volatility models	7
A study on asset price bubble dynamics: explosive trend or quadratic variation?	7
A transform-based method for pricing Asian options under general two-dimensional models	7
Forecasting the equity premium: can machine learning beat the historical average?	7
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models	7
Price dynamics with circuit breakers	6
Can volatility solve the naive portfolio puzzle?	6
Reduction of estimation error impact in the risk parity strategies	6
Risk sharing with deep neural networks	6
An adaptive dynamical model of default contagion	6
Financial Modeling in Commodity Markets	6
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	6
A new representation of the risk-neutral distribution and its applications	6
Short-dated smile under rough volatility: asymptotics and numerics	6
Optimal stop-loss rules in markets with long-range dependence	6
Counting jumps: does the counting process count?	6
The reinforcement learning Kelly strategy	6
Risk measures based on weak optimal transport	6
Dynamic quantile function models	6
Implied roughness in the term structure of oil market volatility	6
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	5
Hedging cryptos with Bitcoin futures	5
Persistence of jump-induced tail risk and limits to arbitrage	5
Portfolio insurers and constant weight traders: who will survive?	5
In memoriam Peter Carr	5
Computation of expected shortfall by fast detection of worst scenarios	5

Bond indifference prices	5
Hedging error as generalized timing risk	5
Causal Factor Investing	5
Decomposing LIBOR in transition: evidence from the futures markets	5
Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing	5
Valuing real options with endogenous payoff	5
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	5
Bayesian estimation of electricity price risk with a multi-factor mixture of densities	5
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	4
Geometry of unconditionally efficient portfolios formed with conditioning information: the efficient semicircle	4
Media trading groups and short selling manipulation	4
Algorithmic trading of real-time electricity with machine learning	4
A note on spurious model selection	4
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis	4
Robust control in a rough environment	4
Robust portfolios with commodities and stochastic interest rates	4
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm	4
Horizon effect on optimal retirement decision	4
Risk-free rate caplets pricing by CTMC approximation	4
Multivariate systemic risk measures and computation by deep learning algorithms	4
The performance of venture capital investments: failure risk, valuation uncertainty & venture characteristics	4
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	4
Market making with inventory control and order book information	4
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	4
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	4
A semi-parametric dynamic conditional correlation framework for risk forecasting	4
High-dimensional macroeconomic stress testing of corporate recovery rate	4
Optimal portfolio allocation and asset centrality revisited	4
Optimal hedging with variational preferences under convex risk measures	4
Deep Learning: Foundations and Concepts	3
Virtual Barrels: Quantitative Trading in the Oil Market	3
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	3
What is the value of the cross-sectional approach to deep reinforcement learning?	3
Are missing values important for earnings forecasts? A machine learning perspective	3
Dynamic core-satellite investing using higher order moments: an explicit solution	3
A generalized heterogeneous autoregressive model using market information	3
Moments of integrated exponential Lévy processes and applications to Asian options pricing	3
Estimation risk and the implicit value of index-tracking	3
Portfolio selection with tail nonlinearly transformed risk measures—a comparison with mean-CVaR analysis	3
Optimal trade execution for Gaussian signals with power-law resilience	3
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	3
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	3
The EWMA Heston model	3
Smiles in delta	3
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	3
Forecasting crude oil prices: do technical indicators need economic constraints?	3
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	3
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	3
Investigating the price determinants of the European Emission Trading System: a non-parametric approach	3
Pairs trading under delayed cointegration	3
Higher order approximation of option prices in Barndorff-Nielsen and Shephard models	3
Risk factor aggregation and stress testing	3
Tempered stable processes with time-varying exponential tails	3
Cryptocurrency factor momentum	3
An investigation of cryptocurrency data: the market that never sleeps	3
Call auction, continuous trading and closing price formation	3
Optimal asset allocation for commodity sovereign wealth funds	3
Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies	2
From optimal martingales to randomized dual optimal stopping	2
Pairs trading with wavelet transform	2
How to build a cross-impact model from first principles: theoretical requirements and empirical results	2
Implied volatility directional forecasting: a machine learning approach	2
The Black–Scholes equation in the presence of arbitrage	2
FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs	2
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?	2
The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers	2
Optimal asset allocation under search frictions and stochastic interest rate	2
Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme	2
Metalearning of time series: an approximate dynamic programming approach	2
High-dimensional sparse index tracking based on a multi-step convex optimization approach	2
Household financial health: a machine learning approach for data-driven diagnosis and prescription	2
Sparse index clones via the sorted ℓ1-Norm	2
Stock market prediction based on adaptive training algorithm in machine learning	2
Vulnerability-CoVaR: investigating the crypto-market	2
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	2
Macroeconomic uncertainty and expected shortfall (and value at risk): a new dynamic semiparametric model	2
Extracting implied volatilities from bank bonds	2
Cheapest-to-deliver collateral: a common factor approach	2
Bayesian nonparametric portfolio selection with rolling maximum drawdown control	2
When do two- or three-fund separation theorems hold?	2

Stable dividends under linear-quadratic optimisation	2
DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions	2
Effects of a government subsidy and labor flexibility on portfolio selection and retirement	2
Group sparse enhanced indexation model with adaptive beta value	2
QuantNet: transferring learning across trading strategies	2
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	2
The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative	2
The impact of CoCo bonds on systemic risk considering liquidity risk	2
Modeling price clustering in high-frequency prices	2
Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry	2
The timing of debt renegotiation and its implications for irreversible investment and capital structure	2
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)	2
Kurtosis-based risk parity: methodology and portfolio effects	2
Model-free analysis of real option exercise probability and timing	2
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes	2
Option pricing under stochastic volatility models with latent volatility	2
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics	2
Asset and Factor Risk Budgeting: a balanced approach	2
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	2
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	2
The Hull–White model under volatility uncertainty	2
In memoriam Marco Avellaneda	2
A general approach for lookback option pricing under Markov models	2
Online learning of order flow and market impact with Bayesian change-point detection methods	2
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2
Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering	2
Option hedging using LSTM-RNN: an empirical analysis	2
Mean–variance portfolio selection under partial information with drift uncertainty	2
AI-driven liquidity provision in OTC financial markets	1
A reinforcement learning approach to optimal execution	1
Delta hedging bitcoin options with a smile	1
Coupled GARCH(1,1) model	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Learning a functional control for high-frequency finance	1
Kelly investing with downside risk control in a regime-switching market	1
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations	1
Quantification of risk in classical models of finance	1
Semi-parametric financial risk forecasting incorporating multiple realized measures	1
Analysis and modeling of client order flow in limit order markets	1
GPT's idea of stock factors	1
Peer effects in professional analysts’ choice of their portfolio of companies	1
The contagion of extreme risks between fossil and green energy markets: evidence from China	1
Time-dependent relations between gaps and returns in a Bitcoin order book	1
Dynamic currency hedging with non-Gaussianity and ambiguity	1
On the investment strategies in occupational pension plans	1
Pricing airbag option via first passage time approach	1
Blockchain and Distributed Ledgers: Mathematics, Technology, and Economics	1
The economics of time as it is embedded in the prices of options§	1
‘Too central to fail’ firms in bi-layered financial networks: linkages in the US corporate bond and stock markets	1
Forecasting exchange rates using asymmetric losses: A Bayesian approach	1
Estimating time-varying risk aversion from option prices and realized returns	1
Markovian approximations of stochastic Volterra equations with the fractional kernel	1
Lifetime consumption and investment with housing, deferred annuities and home equity release	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
A statistical test of market efficiency based on information theory	1
Life insurance surrender and liquidity risks	1
Antinoise in U.S. equity markets	1
Quantitative statistical robustness for tail-dependent law invariant risk measures	1
On parametric optimal execution and machine learning surrogates	1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation	1
Integrating prediction in mean-variance portfolio optimization	1
A deep learning approach to estimating fill probabilities in a limit order book	1
A generalization of the rational rough Heston approximation	1
Simulated Greeks for American options	1
A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA	1
Robust portfolio rebalancing with cardinality and diversification constraints	1
Valuation and hedging of cryptocurrency inverse options	1
SABR equipped with AI wings	1
Smooth ambiguity preferences and asset prices with a jump-diffusion process	1
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear	1
Mathematics of the Bond Market: A Lévy Processes Approach	1
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity–concavity indicators	1
A default contagion model for pricing defaultable bonds from an information based perspective	1
Active and passive portfolio management with latent factors	1
FX Open Forward	1
Conditions for bubbles to arise under heterogeneous beliefs	1
A subdiffusive stochastic volatility jump model	1
Deep-learning models for forecasting financial risk premia and their interpretations	1
The optimal payoff for a Yaari investor	1
Weighted variance swaps hedge against impermanent loss	1
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes	1
Why has the equal weight portfolio underperformed and what can we do about it?	1
Closed-form option pricing for exponential Lévy models: a residue approach	1
When is cross impact relevant?	1
A First Course in Random Matrix Theory for Physicists, Engineers and Data Scientists	1
Interactions between monetary and macroprudential policies	1
Informative option portfolios in filter design for option pricing models	1
Characterizing financial crises using high-frequency data	1
Size and power in tests of return predictability	1