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Content
April 2020, Volume 20, Issue 4
- 691-707 On the propensity to issue contingent convertible (CoCo) bonds
by José Fajardo & Layla Mendes
March 2020, Volume 20, Issue 3
- 347-357 A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
by W.J. Hinderks & R. Korn & A. Wagner - 359-360 Machine Learning: An Applied Mathematics Introduction
by Sébastien Lleo - 361-361 Calendar
by The Editors - 363-378 Buy rough, sell smooth
by Paul Glasserman & Pu He - 379-392 Calibrating rough volatility models: a convolutional neural network approach
by Henry Stone - 393-408 A PDE method for estimation of implied volatility
by Ivan Matić & Radoš Radoičić & Dan Stefanica - 409-423 Equilibrium implications of interest rate smoothing
by Diogo Duarte & Rodolfo Prieto - 425-446 Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk
by Marcus Scheffer & Gregor N. F. Weiß - 447-461 Market or limit orders?
by Daniel Mitchell & Jingnan Chen - 463-482 Agent-based modelling in directional-change intrinsic time
by V. Petrov & A. Golub & R. Olsen - 483-497 A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
by Juan Dong & Lyudmila Korobenko & A. Deniz Sezer - 499-513 Investment decisions when utility depends on wealth and other attributes
by Andrew Grant & Steve Satchell - 515-526 Personalized goal-based investing via multi-stage stochastic goal programming
by Woo Chang Kim & Do-Gyun Kwon & Yongjae Lee & Jang Ho Kim & Changle Lin - 527-529 Correction
by The Editors
February 2020, Volume 20, Issue 2
- 1-1 Correction
by The Editors - 173-188 A critical investigation of cryptocurrency data and analysis
by C. Alexander & M. Dakos - 189-190 Advances in Financial Machine Learning
by Peter Schwendner - 191-191 Calendar
by The Editors - 193-205 Co-impact: crowding effects in institutional trading activity
by F. Bucci & I. Mastromatteo & Z. Eisler & F. Lillo & J.-P. Bouchaud & C.-A. Lehalle - 207-234 Estimating the money market microstructure with negative and zero interest rates
by Edoardo Rainone & Francesco Vacirca - 235-241 The Zumbach effect under rough Heston
by Omar El Euch & Jim Gatheral & Radoš Radoičić & Mathieu Rosenbaum - 243-254 A closed-form formula characterization of the Epps effect
by Giuseppe Buccheri & Giulia Livieri & Davide Pirino & Alessandro Pollastri - 255-274 Adaptive Lasso for vector Multiplicative Error Models
by Luca Cattivelli & Giampiero M. Gallo - 275-290 Loss aversion in an agent-based asset pricing model
by Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings - 291-310 Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
by Gerald H. L. Cheang & Len Patrick Dominic M. Garces - 311-328 Bayesian regularized artificial neural networks for the estimation of the probability of default
by Eduard Sariev & Guido Germano - 329-346 Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S
by Chris Charalambous & Spiros H. Martzoukos & Zenon Taoushianis
January 2020, Volume 20, Issue 1
- 1-8 Trend-following market behaviour at the 4pm London time BFIX and WMR fixing windows
by Carl Husselmann & Kristjan Kasikov - 9-10 Bond Pricing and Yield Curve Modeling: A Structural Approach
by Jingnan Chen - 11-11 Calendar
by The Editors - 13-27 Exponentiation of conditional expectations under stochastic volatility
by Elisa Alòs & Jim Gatheral & Radoš Radoičić - 29-36 A path-integral approximation for non-linear diffusions
by Luca Capriotti - 37-47 Options on a traded account: symmetric treatment of the underlying assets
by J. Vecer & J. Kampen & R. Navratil - 49-67 Quasi-Monte Carlo-based conditional pathwise method for option Greeks
by Chaojun Zhang & Xiaoqun Wang - 69-79 Stock market trend prediction using a functional time series approach
by Shih-Feng Huang & Meihui Guo & May-Ru Chen - 81-98 Analyzing order flows in limit order books with ratios of Cox-type intensities
by Ioane Muni Toke & Nakahiro Yoshida - 99-117 Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk
by Vladimir Chorniy & Vinay Kotecha - 119-132 Detecting and identifying arbitrage in the spot foreign exchange market
by Zhenyu Cui & Wenhan Qian & Stephen Taylor & Lingjiong Zhu - 133-145 On the interplay between multiscaling and stock dependence
by R. J. Buonocore & G. Brandi & R. N. Mantegna & T. Di Matteo - 147-171 Pricing bounds and bang-bang analysis of the Polaris variable annuities
by Zhiyi Shen & Chengguo Weng
December 2019, Volume 19, Issue 12
- 1933-1944 Trading too expensively in the FX market?
by Milla Siikanen & Ulrich Nögel & Juho Kanniainen - 1945-1949 The Book of Why: The New Science of Cause and Effect
by Lisa R. Goldberg - 1951-1951 Calendar
by The Editors - 1953-1974 Multilayer overlaps and correlations in the bank-firm credit network of Spain
by Duc Thi Luu & Thomas Lux - 1975-1993 Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx
by Olivier Nataf & Lieven De Moor - 1995-2013 Lifting the Heston model
by Eduardo Abi Jaber - 2015-2031 Volatility modeling and prediction: the role of price impact
by Ying Jiang & Yi Cao & Xiaoquan Liu & Jia Zhai - 2033-2050 Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
by Ymir Mäkinen & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis - 2051-2067 Forecasting trade durations via ACD models with mixture distributions
by R. P. Yatigammana & J. S. K. Chan & R. H. Gerlach - 2069-2085 Constrained optimality for controlled switching diffusions with an application to stock purchasing
by Xianggang Lu - 2087-2094 Closed-form Arrow-Debreu pricing for the Hull-White short rate model
by C. Turfus - 2095-2109 Rational explanation for rule-of-thumb practices in asset allocation
by Majeed Simaan & Yusif Simaan
November 2019, Volume 19, Issue 11
- 1763-1766 Impact is not just volatility
by Frédéric Bucci & Iacopo Mastromatteo & Michael Benzaquen & Jean-Philippe Bouchaud - 1767-1769 A Crisis of Beliefs: Investor Psychology and Financial Fragility
by Riccardo Rebonato - 1771-1774 Election predictions are arbitrage-free: response to Taleb
by Aubrey Clayton - 1775-1776 All roads lead to quantitative finance
by Nassim Nicholas Taleb & Dhruv Madeka - 1777-1777 Calendar
by The Editors - 1779-1795 Systemic illiquidity in the interbank network
by Gerardo Ferrara & Sam Langfield & Zijun Liu & Tomohiro Ota - 1797-1815 Tightening robust price bounds for exotic derivatives
by Eva Lütkebohmert & Julian Sester - 1817-1837 Model-driven statistical arbitrage on LETF option markets
by S. Nasekin & W. K. Härdle - 1839-1855 Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
by Daniel Borup & Johan S. Jakobsen - 1857-1873 On the efficacy of stop-loss rules in the presence of overnight gaps
by Argimiro Arratia & Albert Dorador - 1875-1892 Extreme downside risk and market turbulence
by Richard D. F. Harris & Linh H. Nguyen & Evarist Stoja - 1893-1904 Index tracking with utility enhanced weighting
by Ephraim Clark & Nitin Deshmukh & Celal Barkan Güran & Konstantino Kassimatis - 1905-1919 Portfolio choice with skewness preference and wealth-dependent risk aversion
by Congming Mu & Weidong Tian & Jinqiang Yang - 1921-1931 Real options maximizing survival probability under incomplete markets
by Jinglu Jiang & Congming Mu & Juan Peng & Jinqiang Yang
October 2019, Volume 19, Issue 10
- 1599-1608 The Aumann-Serrano risk factor and asset pricing: evidence from the Chinese A-share market
by Jianhua Gang & Zongxin Qian & Fan Chen - 1609-1610 Mathematical Finance: A Very Short Introduction
by John Hull - 1611-1611 Calendar
by The Editors - 1613-1625 Disentangling and quantifying market participant volatility contributions
by Marcello Rambaldi & Emmanuel Bacry & Jean-François Muzy - 1627-1638 Forecasting realised volatility using ARFIMA and HAR models
by Marwan Izzeldin & M. Kabir Hassan & Vasileios Pappas & Mike Tsionas - 1639-1658 Simulation-based Value-at-Risk for nonlinear portfolios
by Junyao Chen & Tony Sit & Hoi Ying Wong - 1659-1672 Structural asset pricing theory with wavelets
by Elizabeth Ann Housworth & Todd B. Walker & Chen Xu - 1673-1687 Weighing asset pricing factors: a least squares model averaging approach
by Yue Qiu & Yu Ren & Tian Xie - 1689-1704 American-type basket option pricing: a simple two-dimensional partial differential equation
by Hamza Hanbali & Daniel Linders - 1705-1726 Dynamic credit default swap curves in a network topology
by Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle - 1727-1740 A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
by Sylvia Endres & Johannes Stübinger - 1741-1761 Willow tree algorithms for pricing Guaranteed Minimum Withdrawal Benefits under jump-diffusion and CEV models
by Bing Dong & Wei Xu & Yue Kuen Kwok
September 2019, Volume 19, Issue 9
- 1425-1438 Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value
by Yaojie Zhang & Yu Wei & Li Liu - 1439-1440 Financial Engineering: Selected Works of Alexander Lipton
by Jessica James - 1441-1441 Calendar
by The Editors - 1445-1448 Editors' foreword
by Germán G. Creamer & Gary Kazantsev & Tomaso Aste - 1449-1459 Universal features of price formation in financial markets: perspectives from deep learning
by Justin Sirignano & Rama Cont - 1461-1471 Far from the madding crowd: collective wisdom in prediction markets
by G. Bottazzi & D. Giachini - 1473-1489 Forecasting limit order book liquidity supply–demand curves with functional autoregressive dynamics
by Ying Chen & Wee Song Chua & Wolfgang Karl Härdle - 1491-1498 Forecasting market states
by Pier Francesco Procacci & Tomaso Aste - 1499-1506 Encoding of high-frequency order information and prediction of short-term stock price by deep learning
by Daigo Tashiro & Hiroyasu Matsushima & Kiyoshi Izumi & Hiroki Sakaji - 1507-1515 Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction
by Shun Chen & Lei Ge - 1517-1529 Learning multi-market microstructure from order book data
by Geonhwan Ju & Kyoung-Kuk Kim & Dong-Young Lim - 1531-1542 A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
by Germán G. Creamer & Chihoon Lee - 1543-1553 The QLBS Q-Learner goes NuQLear: fitted Q iteration, inverse RL, and option portfolios
by Igor Halperin - 1555-1565 Detection of false investment strategies using unsupervised learning methods
by Marcos López de Prado & Michael J. Lewis - 1569-1577 Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design
by Salim Lahmiri & Stelios Bekiros - 1579-1597 Estimation of risk contributions with MCMC
by Takaaki Koike & Mihoko Minami
August 2019, Volume 19, Issue 8
- 1255-1266 Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
by M. Bee & J. Hambuckers & L. Trapin - 1267-1268 The Art of Statistics: Learning from Data
by Sébastien Lleo - 1269-1269 Calendar
by The Editors - 1271-1291 Deep hedging
by H. Buehler & L. Gonon & J. Teichmann & B. Wood - 1293-1320 Dynamics of foreign exchange implied volatility and implied correlation surfaces
by S. Beer & H. Fink - 1321-1337 On the seasonality in the implied volatility of electricity options
by Viviana Fanelli & Maren Diane Schmeck - 1339-1356 Target volatility option pricing in the lognormal fractional SABR model
by Elisa Alòs & Rupak Chatterjee & Sebastian F. Tudor & Tai-Ho Wang - 1357-1371 The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach
by Yue-Jun Zhang & Shu-Hui Li - 1373-1390 Agricultural commodity futures trading based on cross-country rolling quantile return signals
by Huayun Jiang & Neda Todorova & Eduardo Roca & Jen-Je Su - 1391-1407 How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR
by Mark Lichtner - 1409-1423 Resilience to the financial crisis in customer-supplier networks
by Xiao Yu & Ramazan Gençay & Keyi Zhang
July 2019, Volume 19, Issue 7
- 1075-1092 Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation
by Nathalie Oriol & Iryna Veryzhenko - 1093-1094 The Economic Foundations of Risk Management
by Natalie Packham - 1095-1095 Calendar
by The Editors - 1097-1120 Stochastic regularization for the mean-variance allocation scheme
by Gilles Zumbach - 1121-1133 Enhancing the momentum strategy through deep regression
by Saejoon Kim - 1135-1149 Optimal investment and consumption under a continuous-time cointegration model with exponential utility
by Guiyuan Ma & Song-Ping Zhu - 1151-1163 Stock market uncertainty and economic fundamentals: an entropy-based approach
by K. Ahn & D. Lee & S. Sohn & B. Yang - 1165-1178 The endo–exo problem in high frequency financial price fluctuations and rejecting criticality
by Spencer Wheatley & Alexander Wehrli & Didier Sornette - 1179-1197 The influence of intraday seasonality on volatility transmission pattern
by N. Alemany & V. Aragó & E. Salvador - 1199-1219 A systematic and efficient simulation scheme for the Greeks of financial derivatives
by Yuh-Dauh Lyuu & Huei-Wen Teng & Yao-Te Tseng & Sheng-Xiang Wang - 1221-1242 Operational risk quantified with spectral risk measures: a refined closed-form approximation
by Bin Tong & Xundi Diao & Chongfeng Wu - 1243-1253 A new mixture cure model under competing risks to score online consumer loans
by Nailong Zhang & Qingyu Yang & Aidan Kelleher & Wujun Si
June 2019, Volume 19, Issue 6
- 885-898 Dynamics and performance of decentralized portfolios with size-induced fund flows
by Huamao Wang & Jun Yang & Yumei Yao - 899-900 Stochastic Drawdowns
by John Fry - 901-901 Calendar
by The Editors - 903-920 Market making with minimum resting times
by Álvaro Cartea & Yixuan Wang - 921-935 Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500
by Johannes Stübinger - 937-959 A simple mechanism for financial bubbles: time-varying momentum horizon
by L. Lin & M. Schatz & D. Sornette - 961-980 Sovereign risk zones in Europe during and after the debt crisis
by Veni Arakelian & Petros Dellaportas & Roberto Savona & Marika Vezzoli - 981-996 A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering
by A. Verma & R. J. Buonocore & T. Di Matteo - 997-1016 Calibration and advanced simulation schemes for the Wishart stochastic volatility model
by G. La Bua & D. Marazzina - 1017-1042 Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
by Chao Wang & Qian Chen & Richard Gerlach - 1043-1059 Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations
by Christian P. Fries - 1061-1073 Real options under a double exponential jump-diffusion model with regime switching and partial information
by Pengfei Luo & Jie Xiong & Jinqiang Yang & Zhaojun Yang
May 2019, Volume 19, Issue 5
- 705-716 Economic and political effects on currency clustering dynamics
by M. Kremer & A. P. Becker & I. Vodenska & H. E. Stanley & R. Schäfer - 717-719 Optimization Methods in Finance
by Giorgio Consigli - 721-729 Functional Itô calculus
by Bruno Dupire - 731-731 Calendar
by The Editors - 733-761 Price signatures
by Roel Oomen - 763-777 Leveraging a call-put ratio as a trading signal
by Patrick Houlihan & Germán G. Creamer - 779-798 Short-time near-the-money skew in rough fractional volatility models
by C. Bayer & P. K. Friz & A. Gulisashvili & B. Horvath & B. Stemper - 799-825 Backtesting extreme value theory models of expected shortfall
by Alfonso Novales & Laura Garcia-Jorcano - 827-842 A financially justifiable and practically implementable approach to coherent stress testing
by Riccardo Rebonato - 843-858 On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators
by Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette - 859-883 The impact of a partial borrowing limit on financial decisions
by Byung Hwa Lim & Minsuk Kwak
April 2019, Volume 19, Issue 4
- 533-543 Asset volatility with prospect theory investors
by Jeremias Bekierman - 545-546 Gods and Robots: Myths, Machines, and Ancient Dreams of Technology
by Sébastien Lleo - 547-547 Calendar
by The Editors - 549-570 Deep learning for limit order books
by Justin A. Sirignano - 571-585 Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500
by Julian Knoll & Johannes Stübinger & Michael Grottke - 587-603 Generative Bayesian neural network model for risk-neutral pricing of American index options
by Huisu Jang & Jaewook Lee - 605-618 Asian option pricing with orthogonal polynomials
by Sander Willems - 619-645 Building multivariate Sato models with linear dependence
by Lynn Boen & Florence Guillaume - 647-661 A recursive method for static replication of autocallable structured products
by Kyoung-Kuk Kim & Dong-Young Lim - 663-681 Gold price dynamics and the role of uncertainty
by Joscha Beckmann & Theo Berger & Robert Czudaj - 683-697 Analytical solutions of optimal portfolio rebalancing
by Ding Liu - 699-703 Flexible distribution functions, higher-order preferences and optimal portfolio allocation
by Trino-Manuel Ñíguez & Ivan Paya & David Peel & Javier Perote
March 2019, Volume 19, Issue 3
- 357-366 Structural minimization of tracking error
by Peter Rossbach & Denis Karlow - 367-368 Hedge Funds: Structure, Strategies, and Performance
by Lisa Borland - 369-369 Calendar
by The Editors - 371-390 Implied stopping rules for American basket options from Markovian projection
by Christian Bayer & Juho Häppölä & Raúl Tempone - 391-405 The predictive performance of the currency futures basis for spot returns
by Liyan Han & Xue Jiang & Libo Yin - 407-426 A self-exciting switching jump diffusion: properties, calibration and hitting time
by Donatien Hainaut & Griselda Deelstra - 427-436 The principle of not feeling the boundary for the SABR model
by Nan Chen & Nian Yang - 437-451 Targeting market neutrality
by John B. Lee & Jonathan J. Reeves & Alice C. Tjahja & Xuan Xie - 453-471 Risk parity portfolio optimization under a Markov regime-switching framework
by Giorgio Costa & Roy H. Kwon - 473-490 Joint tests of contagion with applications
by Renée Fry-McKibbin & Cody Yu-Ling Hsiao & Vance L. Martin - 491-499 On pricing barrier control in a regime-switching regulated market
by Zheng Han & Yaozhong Hu & Chihoon Lee - 501-518 Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
by Nikolay Gudkov & Katja Ignatieva & Jonathan Ziveyi - 519-532 Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
by Rongju Zhang & Nicolas Langrené & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza
February 2019, Volume 19, Issue 2
- 177-185 Risk discriminating portfolio optimization
by Amit Deshpande & Brian Ertley & Mark Lundin & Stephen Satchell - 187-188 Behavioral Corporate Finance: Concepts and Cases for Teaching Behavioral Finance
by H. Kent Baker - 189-189 Calendar
by The Editors - 191-210 Non-linear Gaussian sovereign CDS pricing models
by Marco Realdon - 211-226 American option pricing under the double Heston model based on asymptotic expansion
by S. M. Zhang & Y. Feng - 227-246 Variance swaps valuation under non-affine GARCH models and their diffusion limits
by Alexandru Badescu & Yuyu Chen & Matthew Couch & Zhenyu Cui - 247-263 Bubble detection and sector trading in real time
by George Milunovich & Shuping Shi & David Tan - 265-275 Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts
by Omid Momen & Akbar Esfahanipour & Abbas Seifi - 277-287 Shrinkage estimation of Kelly portfolios
by Yongli Han & Philip Leung Ho Yu & Thomas Mathew - 289-312 Asset management with endogenous withdrawals under a drawdown constraint
by Hervé Roche - 313-326 Dynamic portfolio choice without cash
by Chi Kin Lam & Yuhong Xu & Guosheng Yin - 327-338 Stock performance by utility indifference pricing and the Sharpe ratio
by Jiro Hodoshima - 339-356 The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
by L. A. Grzelak & J. A. S. Witteveen & M. Suárez-Taboada & C. W. Oosterlee
January 2019, Volume 19, Issue 1
- 1-11 The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach
by M. Hanke & R. Poulsen & A. Weissensteiner - 13-14 Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance
by Giovanni Puccetti - 15-15 Calendar
by The Editors - 19-22 Path-breaking contributions of K. J. Arrow
by M. A. H. Dempster - 23-24 Kenneth Arrow as teacher and adviser
by Michael Spence - 25-28 On being a student of Ken Arrow
by John Geanakoplos - 29-31 Kenneth Arrow and nonequilibrium economics
by W. Brian Arthur - 33-34 An open mind: memories of Ken Arrow
by J. Doyne Farmer - 35-56 Internalisation by electronic FX spot dealers
by M. Butz & R. Oomen - 57-76 Disentangling the role of variance and covariance information in portfolio selection problems
by André A. P. Santos - 77-92 Estimating a covariance matrix for market risk management and the case of credit default swaps
by Richard Neuberg & Paul Glasserman - 93-104 An extended likelihood framework for modelling discretely observed credit rating transitions
by M. Pfeuffer & L. Möstel & M. Fischer - 105-121 Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
by Zhilin Kang & Xun Li & Zhongfei Li & Shushang Zhu - 123-135 Challenging the robustness of optimal portfolio investment with moving average-based strategies
by Ahmed Bel Hadj Ayed & Grégoire Loeper & Frédéric Abergel - 137-154 Cross-impact and no-dynamic-arbitrage
by M. Schneider & F. Lillo - 155-175 A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
by Jeonggyu Huh & Jaegi Jeon & Jeong-Hoon Kim & Hyejin Park
December 2018, Volume 18, Issue 12
- 1959-1966 The micro-price: a high-frequency estimator of future prices
by Sasha Stoikov - 1967-1968 Financial and Macroeconomic Connectedness
by Sébastien Lleo - 1969-1969 Calendar
by The Editors