Quantitative Finance


Published by: Taylor & Francis

Editor(s): Jim Gatheral - Baruch College, The City University of New York, USA and Michael Dempster - Centre for Mathematical Sciences, University of Cambridge

The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.

  • A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
    By J. H. HoencampS. JainB. D. Kandhai† Computational Science Lab, University of Amsterdam, Science Park 904, Amsterdam 1098XH, Netherlands‡ Department of Management Studies, Indian Institute of Science, Bangalore, India§ Quantitative Analytics, ING Bank, Foppingadreef 7, Amsterdam, 1102 BD, Netherlands
  • Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear
    By Aurélien AlfonsiStefano De Marcoa CERMICS, Ecole des Ponts ParisTechb CMAP, Ecole Polytechnique, Institut Polytechnique de ParisAurélien Alfonsi is professor at Ecole des Ponts ParisTech, part-time professor at Ecole Polytechnique, and deputy director of the CERMICS. He is the head of the master of financial mathematics at Ecole des Ponts. He is member of the Inria MathRisk project-team and involved in the chairs “Financial Risks” (Ecole des Ponts, Ecole Polytechnique, Sorbonne Université and Société Générale) and “Future of Quantitative Finance” (Ecole des Ponts, Université Paris Cité and BNP Paribas). His research brings on mathematical finance, insurance and numerical methods in probability.Stefano De Marco is Associate Professor in Probability and Mathematical Finance at Ecole Polytechnique, Paris. He owns a PhD in applied mathematics from Scuola Normale Superiore di Pisa and Université Paris-Est. He is a member of the steering committee of the Chaire Stress Test (Ecole Polytechnique and BNP Paribas) and he has taken part in the works of the Chaire Risques Financiers, a joint research project with Société Générale. He is the academic director of the 1st year of the Double degree Data and Finance offered jointly by Ecole Polytechnique and HEC Paris. His research focuses on risk management problems for options, volatility modeling and Monte Carlo methods.
  • On the impact of feeding cost risk in aquaculture valuation and decision making
    By Christian Oliver EwaldKevin Kamm† Department of Mathematics and Statistics, Umeå University, Umeå, Sweden‡ Inland University of Applied Sciences, Lillehammer, Norway
  • Risk sharing with deep neural networks
    By M. BurzoniA. DoldiE. Monzio Compagnoni† Dipartimento di Matematica, Università degli Studi di Milano, Milano, Italy‡ Department of Economics and Management, Università degli Studi di Firenze, Firenze, Italy§ Department of Mathematics & Computer Science, University of Basel, Basel, Switzerland
  • On the pricing of capped volatility swaps using machine learning techniques
    By Stephan HöchtWim SchoutensEva Verschueren† Assenagon Asset Management S.A., München, Germany‡ Department of Mathematics, KU Leuven, Leuven, Belgium
  • When is cross impact relevant?
    By Victor Le CozIacopo MastromatteoDamien ChalletMichael Benzaquen† Chair of Econophysics and Complex Systems, École polytechnique, 91128 Palaiseau Cedex, France‡ Quant AI lab, 29 Rue de Choiseul, 75002 Paris, France§ LadHyX UMR CNRS 7646, École polytechnique, 91128 Palaiseau Cedex, France¶ Capital Fund Management, 23 Rue de l'Université, 75007 Paris, France∥ Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes, CentraleSupélec, Université Paris-Saclay, 91192 Gif-sur-Yvette Cedex, France
  • Deep impulse control: application to interest rate intervention
    By Bowen JiaHoi Ying WongDepartment of Statistics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong
  • Optimal stop-loss rules in markets with long-range dependence
    By Yun XiangShijie Deng† School of Finance, Southwestern University of Finance and Economics, Chengdu, People’s Republic of China‡ School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA, USA
  • Handbook of Price Impact Modeling
    By Johannes Muhle-KarbeMathematics, Imperial College LondonJohannes Muhle-Karbe is the Head of the Mathematical Finance Section at Imperial College London.
  • Fin-GAN: forecasting and classifying financial time series via generative adversarial networks
    By Milena VuletićFelix PrenzelMihai Cucuringu† Mathematical Institute, University of Oxford, Andrew Wiles Building, Woodstock Rd, Oxford, OX2 6GG, UK‡ Oxford-Man Institute of Quantitative Finance, University of Oxford, Eagle House, Walton Well Rd, Oxford, UK§ Department of Statistics, University of Oxford, 24-29 St Giles', Oxford, OX1 3LB, UK¶ The Alan Turing Institute, 96 Euston Rd, London, NW1 2DB, UK
  • Dynamic currency hedging with non-Gaussianity and ambiguity
    By Paweł PolakUrban Ulrych† Department of Applied Mathematics and Statistics, Institute for Advanced Computational Science, Stony Brook University, 100 Nicolls Rd, Stony Brook, NY 11794-3600, USA‡ Department of Banking and Finance, University of Zurich & Swiss Finance Institute, Plattenstrasse 32, Zurich 8032, Switzerland
  • Implied roughness in the term structure of oil market volatility
    By Mesias AlfeusChristina S. NikitopoulosLudger Overbeck† Department of Statistics and Actuarial Science, Stellenbosch University, Stellenbosch, South Africa‡ National Institute for Theoretical and Computational Sciences, Stellenbosch, South Africa§ Finance Discipline Group, UTS Business School, University of Technology Sydney, Australia¶ Mathematisches Institut, Justus-Liebig-University, Gießen, Germany
  • Book review
    By Mark PodolskijUniversity of Luxembourg
  • A generalization of the rational rough Heston approximation
    By Jim GatheralRadoš RadoičićBaruch College, CUNY, New York, USA
  • A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
    By Zongxia LiangYang LiuMing MaRahul Pothi Vinoth† Department of Mathematical Sciences, Tsinghua University, Beijing 100084, People's Republic of China‡ Division of Mathematics, School of Science and Engineering, The Chinese University of Hong Kong, Shenzhen, Guangdong 518172, People's Republic of China§ Hangzhou Higgs Asset Management Co., Ltd., Hangzhou, Zhejiang 310000, People's Republic of China¶ Department of Economics, UC Berkeley, Berkeley, CA 94720, USA
  • On the optimal forecast with the fractional Brownian motion
    By Xiaohu WangJun YuChen Zhang† School of Economics, Fudan University, Shanghai, People's Republic of China‡ Shanghai Institute of International Finance and Economics, Shanghai, People's Republic of China§ Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Avenida da Universidade, Taipa, Macau, People's Republic of China
  • An early indicator for anomalous stock market performance
    By Marlon FritzThomas GriesLukas Wiechers† Fachbereich Gesellschaftswissenschaften, Hochschule Darmstadt, Schöfferstraße 3, 64295 Darmstadt, Germany‡ Department of Economics, Paderborn University, Warburger Str. 100, 33098 Paderborn, Germany
  • Physics-informed convolutional transformer for predicting volatility surface
    By Soohan KimSeok-Bae YunHyeong-Ohk BaeMuhyun LeeYoungjoon Hong† Department of Mathematics, Sungkyunkwan University, Suwon, Republic of Korea‡ Department of Financial Engineering, Ajou University, Suwon, Republic of Korea§ Samsung Securities, 11 Seocho-daero 74-gil, Seocho-gu, Seoul, Republic of Korea¶ Department of Mathematical Sciences, Korea Advanced Institute of Science and Technology, Daejeon, Republic of Korea
  • Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
    By Álvaro ArroyoÁlvaro CarteaFernando Moreno-PinoStefan Zohren† Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK‡ Mathematical Institute, University of Oxford, Oxford, UK§ Signal Processing and Learning Group, Universidad Carlos III de Madrid, Madrid, Spain
  • Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
    By Matteo PelagattiGiacomo Sbrana† Department of Economics, Management and Statistics, University of Milano-Bicocca, Via Bicocca degli Arcimboldi 8, Milan, 20126, Italy‡ Department of Information Systems, Supply Chain & Decision Making, NEOMA Business School, 1 Rue du Marechal Juin, Mont-Saint-Aignan, 76130, France
  • Adaptive online mean-variance portfolio selection with transaction costs
    By Sini GuoJia-Wen GuWai-Ki ChingBenmeng Lyu† School of Management and Economics, Beijing Institute of Technology, Beijing, People's Republic of China‡ Department of Mathematics, Southern University of Science and Technology, Shenzhen, People's Republic of China§ Advanced Modeling and Applied Computing Laboratory, Department of Mathematics, The University of Hong Kong, Pokfulam Road, Hong Kong¶ Hughes Hall, Wollaston Road, Cambridge, UK
  • Regime-switching affine term structures
    By Andreas CelaryZehra Eksi-AltayPaul KrühnerInstitute for Statistics and Mathematics, WU-University of Economics and Business, Welthandelsplatz 1, Vienna, 1020, Austria
  • On parametric optimal execution and machine learning surrogates
    By Tao ChenMike LudkovskiMoritz Vo߆ Department of Mathematics, University of Michigan, 530 Church Street, Ann Arbor, MI 48109-1043, USA‡ Department of Statistics & Applied Probability, University of California Santa Barbara, Santa Barbara, CA 93106-3110, USA§ Department of Mathematics, University of California Los Angeles, Los Angeles, CA 90095, USA
  • Functional quantization of rough volatility and applications to volatility derivatives
    By O. BonesiniG. CallegaroA. Jacquier† Dipartimento di Matematica, “T. Levi-Civita”, Via Trieste. 63, Padova 35121, Italy‡ Department of Mathematics, Imperial College London, London SW7 1NE, UK
  • Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk
    By Erik KroonMehdi-Vincent HaciniKoye SomefunBNP Paribas Asset Management, Quant Research Group, Herengracht 595, Amsterdam 1017 CE, Netherlands
  • The Politics of Financial Control: The Role of the House of Commons
    By Teguh Ahmad AsparillRossy LambelanovaAndi PitonoApplied Indonesian Politics Program, Faculty of Government Politics, Institute Government of Home Affairs, Jatinangor, IndonesiaTeguh Ahmad Asparill is an undergraduate student in Applied Government Science (S.Tr.IP), Applied Indonesian Politics Program at the Faculty of Government Politics, Institute Government of Home Affairs. His research interests include political science and international relations, political psychology, political development, the political economy, and governance. He is the chairman of the study organization Forum Kajian Praja (FKP), which focuses on political and governance issues.Rossy Lambelanova is an associate professor of Applied Indonesian Politics Program at the Faculty of Government Politics, Institute of Government of Home Affairs. Her research interests include government decentralization, regional autonomy policies, and government management. She earned her doctorate in Government Science at Padjadjaran University and is currently the Vice Dean for Student and Alumni Affairs at the Faculty of Government Politics, Institute Government of Home Affairs.Andi Pitono is an associate professor of the Public Policy Study Program at the Faculty of Government Politics, Institute Government of Home Affairs. He earned his doctorate in Government Science at Padjadjaran University and currently serves as the Dean of the Faculty of Government Politics, Institute of Government of Home Affairs. His research interests include policy implementation, policy formulation, conflict management, political decentralization, local government, and government ethics. He has experienced this during his career as a practitioner in various Indonesian local government organizations.
  • Bubbles and dependence between international equity markets
    By Wuyi YeLingbo GaoXiaoquan Liu† International Institute of Finance, School of Management, University of Science and Technology of China, Hefei, PR China;‡ Nottingham University Business School China, University of Nottingham Ningbo, Ningbo, PR China
  • A model of dynamic information production for initial public offerings
    By Rafiqul BhuyanCoşkun ÇetinBurhaneddin İzgiBakhtear Talukdar† School of Business and Public Affairs, Alabama A&M University, Normal, AL 35762, USA‡ Department of Mathematics and Statistics, CSU, Sacramento, CA 95819, USA§ Department of Mathematics, Istanbul Technical University, Maslak, Istanbul 34469, Turkey¶ Department of Finance and Business Law, University of Wisconsin-Whitewater, Whitewater, WI 53190, USA
  • Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices
    By Damir FilipovicEPFL and Swiss Finance InstituteDamir Filipovic holds the Swissquote Chair in Quantitative Finance at the Ecole Polytechnique Fédérale de Lausanne (EPFL) and a Swiss Finance Institute Senior Chair.
  • Effective stochastic local volatility models
    By M. FelpelJ. KienitzT.A. McWalter† Fachbereich Mathematik und Naturwissenschaften, Bergische Universtät Wuppertal, Wuppertal, Germany‡ The African Institute of Financial Markets and Risk Management, University of Cape Town, Cape Town, South Africa§ Department of Statistics, University of Johannesburg, Johannesburg, South Africa
  • Rule-based trading on an order-driven exchange: a reassessment
    By Alan G. IsaacVasudeva RamaswamyDepartment of Economics, American University, Washington, DC, USA
  • A basket half full: sparse portfolios
    By Ekaterina SereginaDepartment of Economics, Colby College, Waterville, ME 04901, USA
  • Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
    By M. Escobar-AnelM. KschonnekR. Zagst† Department of Statistical and Actuarial Sciences, Western University, London, ON, Canada;‡ Chair of Mathematical Finance, Technical University of Munich, Munich D-80333, Germany
  • Cryptocurrency factor momentum
    By Christian FiebergGerrit LiedtkeDaniel MetkoAdam Zaremba† School of International Business, City University of Applied Sciences, Bremen, Germany‡ Department of Economics and Management, University of Luxembourg, Luxembourg, Luxembourg§ Department of Finance, Concordia University, Montreal, Canada¶ Faculty of Business Studies and Economics, University of Bremen, Bremen, Germany∥ Montpellier Business School, 2300 Avenue des Moulins, Montpellier, 34185, France** Department of Investment and Financial Markets, Institute of Finance, Poznan University of Economics and Business, al. Niepodległości 10, Poznań, 61-875, Poland†† Department of Finance and Tax, Faculty of Commerce, University of Cape Town, Cape Town, South Africa
  • Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
    By Thomas R. BollingerWilliam R. MelickCharles P. Thomas† Department of Economics, University of North Carolina Chapel Hill, NC, USA‡ Department of Economics, Kenyon College, Gambier, OH, USA§ Board of Governors of the Federal Reserve System, Washington, DC, USA
  • Islamic Banking and Finance, Second Edition
    By Muhammad Ash-Shiddiqy Mujtahid Khamima Department of Islamic Studies, Sunan Kalijaga State Islamic University, Yogyakarta, Indonesiab Department of Accounting, Politeknik Negeri Pontianak, West Kalimantan, IndonesiaMuhammad Ash-Shiddiqy is a lecturer at UIN Prof. KH. Saifuddin Zuhri Purwokerto, Central Java, Indonesia. He is pursuing his Ph.D. at the Department of Islamic Studies, at the School of Graduate Studies, Sunan Kalijaga State Islamic University, Yogyakarta, Indonesia. His research interests include Sharia Economics and Islamic economics and finance.Mujtahid is pursuing his Ph.D. at the Department of Islamic Studies, at the School of Graduate Studies, Sunan Kalijaga State Islamic University, Yogyakarta, Indonesia. His research interests include Sharia and Islamic Law.Khamim is a lecturer at Department of Accounting, Politeknik Negeri Pontianak, West Kalimantan, Indonesia. He completed his Ph.D. in 2021 in the area of Economic Management. His research interests include Business Law, Economic Management, and Islamic Education management.
  • Dynamic core-satellite investing using higher order moments: an explicit solution
    By Yanfeng WangWanbo LuKris Boudt† School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, People's Republic of China‡ Collaborative Innovation Center of Statistical Data Engineering, Technology & Application, Zhejiang Gongshang University, Hangzhou, People's Republic of China§ School of Management Science and Engineering, Southwestern University of Finance and Economics, Chengdu, People's Republic of China¶ Department of Economics, Ghent University, Ghent, Belgium∥ Faculty of Social Sciences and Solvay Business School, Vrije Universiteit Brussel, Ixelles, Belgium** School of Business and Economics, Vrije Universiteit Amsterdam, Ixelles, Netherlands
  • How does price (in)efficiency influence cryptocurrency portfolios performance? The role of multifractality
    By Eduardo Amorim Vilela de SalisLeandro dos Santos MacielDepartment of Business Administration, Faculty of Economics, Business, Accounting and Actuary, University of São Paulo, São Paulo 05508-010, Brazil
  • Smiles in delta
    By Arianna Mingone† Centre de Mathématiques Appliquées (CMAP), CNRS, Ecole Polytechnique, Institut Polytechnique de Paris, Paris, France‡ Zeliade Systems, 56 rue Jean-Jacques Rousseau, Paris, France
  • Quantum-inspired variational algorithms for partial differential equations: application to financial derivative pricing
    By Tianchen ZhaoChuhao SunAsaf CohenJames StokesShravan VeerapaneniDepartment of Mathematics, University of Michigan, Ann Arbor, MI 48109, USA
  • Household financial health: a machine learning approach for data-driven diagnosis and prescription
    By Kyeongbin KimYoontae HwangDongcheol LimSuhyeon KimJunghye LeeYongjae Lee† Department of Industrial Engineering, Ulsan National Institute of Science and Technology, 50 UNIST-gil, Ulju-gun, Ulsan 44919, Republic of Korea‡ Technology Management, Economics and Policy Program, Seoul National University, 1 Gwanak-ro, Gwanak-gu, Seoul 08826, Republic of Korea§ Graduate School of Data Science, Kyungpook National University, Daegu 41566, Republic of Korea¶ Graduate School of Engineering Practice & Technology Management, Economics and Policy Program, Seoul National University, 1 Gwanak-ro, Gwanak-gu, Seoul 08826, Republic of Korea
  • A transform-based method for pricing Asian options under general two-dimensional models
    By Weinan ZhangPingping Zeng† School of Mathematics, Harbin Institute of Technology, Harbin, People's Republic of China‡ Department of Mathematics, Southern University of Science and Technology, Shenzhen, People's Republic of China
  • On prices and returns in commercial prediction markets
    By Karl WhelanUniversity College Dublin, Dublin, Ireland
  • Can volatility solve the naive portfolio puzzle?
    By Michael CurranPatrick O'SullivanRyan Zalla† Economics Dept., Villanova School of Business, Villanova University, 800 E Lancaster Ave, Villanova, PA 19085, USA‡ Schroders Investment Management, 1 London Wall Place, London, UK§ Economics Dept., University of Pennsylvania, 133 South 36th Street, Philadelphia, PA 19104, USA
  • Optimal portfolio choice of couples with tax-deferred accounts and survival-contingent products
    By Sanghyeon BaeYongjae LeeWoo Chang Kim† Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology (KAIST), 291 Daehak-ro, Yuseong-gu, Daejeon, 34141, Republic of Korea‡ Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST), 50 UNIST-gil, Ulju-gun, Ulsan, 44919, Republic of Korea
  • A multi-curve HJM factor model for pricing and risk management
    By Tobias BienekGriselda DeelstraAndreas LichtensternRudi Zagst† Department of Mathematics, Technical University of Munich, Munich, Germany‡ Department of Mathematics, Université libre de Bruxelles, Brussels, Belgium
  • Bayesian nonparametric portfolio selection with rolling maximum drawdown control
    By Xiaoling Mei
  • Book review
    By Vladimir V. Piterbarg
  • Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures
    By Saeed Marzban
  • Technical analysis as a sentiment barometer and the cross-section of stock returns
    By Wenjie Ding