Quantitative Finance

Article	Citations
Multilayer interdependencies in the banking system of Japan: correlation dynamics and determinants	47
α -threshold networks in credit risk models	38
Price dynamics with circuit breakers	34
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas	31
Optimal harvest with multiple fishing zones, endogenous price and global uncertainty	29
Pricing electricity day-ahead cap futures with multifactor skew-t densities	28
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics	18
Trading TP 2 option violations	18
A generalized Esscher transform for option valuation with regime switching risk	17
A study on asset price bubble dynamics: explosive trend or quadratic variation?	17
Optimal trading and competition with information in the price impact model	16
Special Issue on XXIV Workshop on Quantitative Finance	16
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)	16
How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality	16
Weak approximations and VIX option price expansions in forward variance curve models	16
Bid-ask bounds for option prices: the two-tail distortion model	15
Persistence of jump-induced tail risk and limits to arbitrage	15
Estimation risk and the implicit value of index-tracking	15
Real Time Computing (NATO ASI Series. Series F, Computer and Systems Sciences, Vol. 127)	15
Can volatility solve the naive portfolio puzzle?	14
Decomposing LIBOR in transition: evidence from the futures markets	14
Pairs trading under delayed cointegration	13
Short-dated smile under rough volatility: asymptotics and numerics	13
How does liquidity shape the yield curve?	13
Cryptocurrency factor momentum	13

Multivariate systemic risk measures and computation by deep learning algorithms	12
The Economics of Banking and Finance in Africa: Developments in Africa's Financial Systems	12
What is the value of the cross-sectional approach to deep reinforcement learning?	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
Portfolio insurers and constant weight traders: who will survive?	11
The Black–Scholes equation in the presence of arbitrage	11
Generation of synthetic financial time series by diffusion models	10
High-dimensional sparse index tracking based on a multi-step convex optimization approach	10
Explaining risks: axiomatic risk attributions for financial models	10
Valuation and hedging of cryptocurrency inverse options	10
Model-free analysis of real option exercise probability and timing	10
Kurtosis-based risk parity: methodology and portfolio effects	10
Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖	10
On the predictive power of food commodity futures prices in forecasting inflation	10
Estimating time-varying risk aversion from option prices and realized returns	9
Optimal operation of a hydropower plant in a stochastic environment	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
The geometry of multi-curve interest rate models	9
Earnings mean reversion and dynamic optimal capital structure	9
Lifetime consumption and investment with housing, deferred annuities and home equity release	9
Conditions for bubbles to arise under heterogeneous beliefs	9
A deep learning approach to estimating fill probabilities in a limit order book	9
Distributionally robust end-to-end portfolio construction	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
Some analytical results on bivariate stable distributions with an application in operational risk	7
Cooperation between independent market makers	7
When to efficiently rebalance a portfolio	7
Asset prices when large investors interact strategically	7
A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes	7
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios	7
Neural network empowered liquidity pricing in a two-price economy under conic finance settings	7
Crypto inverse-power options and fractional stochastic volatility	7
SABR equipped with AI wings	7
Efficient option pricing in the rough Heston model using weak simulation schemes	7
Hydrodynamics of Markets: Hidden Links between Physics and Finance	7
On joint marginal expected shortfall and associated contribution risk measures	6
Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices	6
Computing the SSR	6
GDP-linked bonds as a new asset class	6
Bond market completeness under stochastic strings with distribution-valued strategies	6
An Introduction to Machine Learning in Quantitative Finance	6
A common shock model for multidimensional electricity intraday price modelling with application to battery valuation	6
The inelastic market hypothesis: a microstructural interpretation	6
Detecting bubbles via FDR and FNR based on calibrated p -values	6
On general semi-closed-form solutions for VIX derivative pricing	6
Deep calibration with random grids	6
Equity auction dynamics: latent liquidity models with activity acceleration	6

Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes	6
Rule-based trading on an order-driven exchange: a reassessment	6
Drawdown beta and portfolio optimization	6
The non-linear ESG premium	6
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures	6
When do systematic strategies decay?	6
Book review	6
Pricing commodity index options	6
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades?	5
Rating frailty, Bayesian updates, and portfolio credit risk analysis*	5
Regime-switching affine term structures	5
A cost-sensitive ensemble deep forest approach for extremely imbalanced credit fraud detection	5
Liquidity Coverage at Risk	5
A Tour of C++, Third Edition	5
The role of fleeting orders on option expiration days	5
Supervised portfolios	5
A neuro-structural framework for bankruptcy prediction	5
Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches	5
Optimal attention allocation: picking alpha or betting on beta?	5
Portfolio and reinsurance optimization under unknown market price of risk	5
NN de-Americanization: an efficient method to facilitate calibration of American-style options	5
Risk-free rate caplets pricing by CTMC approximation	5
Errata: Instantaneous Portfolio theory	5
Option pricing under stochastic volatility models with latent volatility	4
Path-wise Monte Carlo simulation for Greeks of worst-of-all autocallables under multi-variate Black-Scholes model	4
Cheapest-to-deliver collateral: a common factor approach	4
Moments of integrated exponential Lévy processes and applications to Asian options pricing	4
Risk factor aggregation and stress testing	4
The EWMA Heston model	4
Realized skewness of oil price returns and the short-term predictability for exchange rate	4
GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series	4
Merged LSTM-MLP for option valuation	4
Are missing values important for earnings forecasts? A machine learning perspective	4
Market consistent bid-ask option pricing under Dempster-Shafer uncertainty	4
Contemporary Issues in Islamic Law, Economics and Finance: A Multidisciplinary Approach	4
Macroscopic properties of equity markets: stylized facts and portfolio performance	4
An early-warning risk signals framework to capture systematic risk in financial markets	4
Statistical inference for the first-order autoregressive process with the fractional Gaussian noise	4
Sparse portfolio selection via topological data analysis based clustering	4
A generalized heterogeneous autoregressive model using market information	4
On the investment strategies in occupational pension plans	3
Size and power in tests of return predictability	3
Variance reduction for risk measures with importance sampling in nested simulation	3
An unsupervised deep learning approach to solving partial integro-differential equations	3
Optimal portfolio choice with ESG considerations and asymmetric information	3
Portfolio Theory and Arbitrage: A Course in Mathematical Finance	3
Narrative triggers of information sensitivity	3
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks	3
In Memoriam Mardi Dungey	3
AI-driven liquidity provision in OTC financial markets	3
FX Open Forward	3
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday	3
Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019): discrete stochastic optimization in finance	3
Mean-variance portfolio with wealth and volatility dependent risk aversion	3
Path shadowing Monte Carlo	3
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment	3
When order execution meets informed trading	3
Deep differentiable reinforcement learning and optimal trading	3
Group sparse enhanced indexation model with adaptive beta value	3
Bayesian nonparametric modelling of stochastic volatility	3
f-Betas and portfolio optimization with f-divergence induced risk measures	3
ESG risk exposure: a tale of two tails	3
Neural Hawkes: non-parametric estimation in high dimension and causality analysis in cryptocurrency markets	3
Detecting rough volatility: a filtering approach	3
Regulating stochastic clocks§	3
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities	3
Static replication of European standard dispersion options	3
Continuous-Time Asset Pricing Theory	3
A model of dynamic information production for initial public offerings	3
Optimal characteristic portfolios	3
Revisiting elastic string models of forward interest rates	3
Cross-section without factors: a string model for expected returns	2
A methodological approach to the computational problems in the estimation of adjusted PIN model	2
A model of financial bubbles and drawdowns with non-local behavioral self-referencing	2
Online learning of order flow and market impact with Bayesian change-point detection methods	2
Proof of non-convergence of the short-maturity expansion for the SABR model	2
Stock market simulator using hidden Markov generative model and its application in risk measurement	2
Do fundamentals shape the price response? A critical assessment of linear impact models	2
Metalearning of time series: an approximate dynamic programming approach	2
An eigenvalue distribution derived ‘Stability Measure’ for evaluating Minimum Variance portfolios	2

Investigating the price determinants of the European Emission Trading System: a non-parametric approach	2
On model robustness of the regime switching approach for pegged foreign exchange markets	2
On detecting spoofing strategies in high-frequency trading	2
Higher moments in the fundamental specification of electricity forward prices	2
Artificial Intelligence in Finance, Volume 1	2
Counting jumps: does the counting process count?	2
The economics of time as it is embedded in the prices of options§	2
Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty	2
The value and cost of more stages in stochastic programing: a statistical analysis on a set of portfolio choice problems	2
Optimal solution of the liquidation problem under execution and price impact risks	2
Algorithmic trading of real-time electricity with machine learning	2
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks	2
Implied roughness in the term structure of oil market volatility	2
Deep impulse control: application to interest rate intervention	2
Semi-Markov-modulated exponential-affine bond prices	2
Bayesian probability of default models with Langevin dynamics	2
Model-based approach for scenario design: stress test severity and banks' resiliency	2
A simple robust asset pricing model under statistical ambiguity	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
Behavioral Finance and Your Portfolio: A Navigation Guide for Building Wealth	2
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies	2
Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model	2
Optimal stop-loss rules in markets with long-range dependence	2
An adaptive dynamical model of default contagion	2
Pricing and calibration in the 4-factor path-dependent volatility model	2
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets	2
Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach	1
A multi-curve HJM factor model for pricing and risk management	1
A transform-based method for pricing Asian options under general two-dimensional models	1
Deep-learning models for forecasting financial risk premia and their interpretations	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
A social media alert system for meme stocks	1
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices	1
Valuing real options with endogenous payoff	1
A data-driven deep learning approach for options market making	1
Risk sharing with deep neural networks	1
Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction	1
Horizon effect on optimal retirement decision	1
A hybrid convolutional neural network with long short-term memory for statistical arbitrage	1
The Rise and Fall of Business Firms: A Stochastic Framework on Innovation, Creative	1
Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†	1
On bid and ask pricing of European options via direct discretization of Choquet distorted expectations	1
Stable dividends under linear-quadratic optimisation	1
Risk measures based on weak optimal transport	1
Optimal asset allocation under search frictions and stochastic interest rate	1
On prices and returns in commercial prediction markets	1
Distributionally robust portfolio optimization with linearized STARR performance measure	1
On the implied volatility skew outside the at-the-money point	1
Market Microstructure in Practice	1
Effective Markovian projection: application to CMS spread options and mid-curve swaptions	1
Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model	1
Optimal reinsurance-investment with loss aversion under rough Heston model	1
Optimal reinsurance under a new design: two layers and multiple reinsurers	1
The good, the bad, and latency: exploratory trading on Bybit and Binance	1
Physics-informed convolutional transformer for predicting volatility surface	1
Ex ante and ex post risk premiums in electricity futures	1
Dynamic quantile function models	1
Harnessing uncertainty: a new approach to real estate investment decision support	1
Lost in the LIBOR transition	1
Tail risk aversion and backwardation of index futures	1
Dynamic core-satellite investing using higher order moments: an explicit solution	1
The volatility risk premium in the oil market	1
Dynamic currency hedging with non-Gaussianity and ambiguity	1
On the optimal forecast with the fractional Brownian motion	1
Ensemble learning for portfolio valuation and risk management	1
Options-driven volatility forecasting	1
Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers	1
Reinforcement Learning and Stochastic Optimization: A Unified Framework for Sequential Decisions	1
Pricing renewable identification numbers under uncertainty	1
Forecasting the equity premium: can machine learning beat the historical average?	1
Kelly investing with downside risk control in a regime-switching market	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
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
Risk contributions of lambda quantiles*	1
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks	1
Green technology innovation with environmental constraints	1
Optimal trading with transaction costs and short-term predictability	1
Virtual Barrels: Quantitative Trading in the Oil Market	1
Price impact on term structure	1
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions	1
A modified CTGAN-plus-features-based method for optimal asset allocation	1
Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives	1
No arbitrage global parametrization for the eSSVI volatility surface	1
Bayesian nonparametric portfolio selection with rolling maximum drawdown control	1
W-shaped implied volatility curves and the Gaussian mixture model	1
Modeling price clustering in high-frequency prices	1
Semi-parametric financial risk forecasting incorporating multiple realized measures	1
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps	1
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework	1
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing	1
Pricing Asian options with stochastic convenience yield and jumps	1
Risk management under weighted limited expected loss	1