Quantitative Finance

Quantitative Finance
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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.

  • NN de-Americanization: an efficient method to facilitate calibration of American-style options
    By Peter PommergÅrd Lind Jim Gatheral † Business School, Aalborg University, Aalborg, Denmark‡ Department of Mathematics, Baruch College, CUNY, New York, USA
  • Multiple equilibria in mean-field game models of firm competition with strategic complementarities
    By Jodi Dianetti Salvatore Federico Giorgio Ferrari Giuseppe Floccari † Department of Economics and Finance, University of Rome Tor Vergata, Rome, Italy‡ Department of Mathematics, University of Bologna, Bologna, Italy§ Center for Mathematical Economics (IMW), Bielefeld University, Bielefeld, Germany¶ Economic Outlook and Monetary Policy Directorate, Bank of Italy, Rome, Italy
  • Predicting VIX with adaptive machine learning
    By Yunfei Bai Charlie X. Cai † AI/ML and Big Data Consultant, Seattle, USA‡ Finance, Liverpool University School of Management, University of Liverpool, Liverpool, UK
  • A unifying approach for the pricing of debt securities
    By Marie-Claude Vachon Anne Mackay † Department of Mathematics, Université du Québec à Montréal, Montréal, Canada‡ Department of Mathematics and Department of Finance, Université de Sherbooke, Sherbrooke, Canada
  • Asset and Factor Risk Budgeting: a balanced approach
    By Adil Rengim Cetingoz Olivier Guéant Centre d'Economie de la Sorbonne, Université Paris 1 Panthéon-Sorbonne, 106 Boulevard de l'Hôpital, Paris Cedex 13, 75642, France
  • An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps
    By Thomas K. Kloster Elisa Nicolato Department of Economics and Business Economics, Aarhus University, Fuglesangs Allé 4, Aarhus V, 8210, Denmark
  • Forecasting volatility in Chinese crude oil futures: insights from volatility-of-volatility and Markov regime-switching approaches
    By Gaoxiu Qiao Yijun Pan Chao Liang † School of Mathematics, Southwest Jiaotong University, Chengdu, People’s Republic of China‡ School of Economics and Management, Southwest Jiaotong University, Chengdu, People’s Republic of China
  • Equity protection swaps: investment insurance for superannuation accounts
    By Huansang Xu Ruyi Liu Marek Rutkowski † School of Mathematics and Statistics, University of Sydney, Sydney, NSW 2006, Australia‡ Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, People's Republic of China§ Faculty of Mathematics and Information Science, Warsaw University of Technology, Warszawa 00-661, Poland
  • Price dynamics with circuit breakers
    By Sandro Claudio Lera Didier Sornette Florian Ulmann † Institute of Risk Analysis, Prediction and Management, Southern University of Science and Technology, Shenzhen, People's Republic of China‡ Business School, Southern University of Science and Technology, Shenzhen, People's Republic of China§ Connection Science, Massachusetts Institute of Technology, Cambridge, MA, USA¶ Department of Management, Technology, and Economics, ETH Zurich, Zurich, Switzerland
  • On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
    By Matteo Michielon Quantitative Analysis and Quantitative Development, ABN AMRO Bank N.V., Gustav Mahlerlaan 10, 1082 PP, Amsterdam, The Netherlands
  • Semi-parametric financial risk forecasting incorporating multiple realized measures
    By Rangika Peiris Chao Wang Richard Gerlach Minh-Ngoc Tran Discipline of Business Analytics, The University of Sydney, Sydney, Australia
  • On general semi-closed-form solutions for VIX derivative pricing
    By Étienne Bacon Jean-François Bégin Geneviève Gauthier † Department of Decision Sciences, HEC Montréal, 3000 Chemin de la Côte-Sainte-Catherine, Montréal, QC H3T 2A7, Canada‡ Department of Statistics and Actuarial Science, Simon Fraser University, 8888 University Drive, Burnaby, BC V5A 1S6, Canada
  • Algorithmic trading of real-time electricity with machine learning
    By Vighnesh Natarajan Ganesh Derek Bunn London Business School, The Regent's Park, London NW1 4SA, United Kingdom
  • Optimal attention allocation: picking alpha or betting on beta?
    By Zuyao Gu Yun Shi Tingjin Yan Yong Zhou Key Laboratory of Advanced Theory and Application in Statistics and Data Science, MOE, and School of Statistics and Academy of Statistics and Interdisciplinary Sciences, East China Normal University, Shanghai, People's Republic of China
  • Risk-free rate caplets pricing by CTMC approximation
    By Fengming Liu Yingda Song Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai 200030, People's Republic of China
  • Optimal hedging with variational preferences under convex risk measures
    By Marcelo Righi Business School, Federal University of Rio Grande do Sul, Porto Alegre, Brazil
  • Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives
    By Immacolata Oliva Ilaria Stefani Department of Methods and Models for Territory, Economics and Finance, Sapienza University of Rome, Rome, Italy
  • High-dimensional macroeconomic stress testing of corporate recovery rate
    By Abdolreza Nazemi Friedrich Baumann Melanie Schienle Frank J. Fabozzi † School of Economics and Management, Karlsruhe Institute of Technology, Karlsruhe, Germany‡ Carey Business School, Johns Hopkins University, Baltimore, MD, USA
  • Virtual Barrels: Quantitative Trading in the Oil Market
    By Christina Nikitopoulos Finance Department, University of Technology Sydney, AustraliaChristina Nikitopoulos is an associate professor at the UTS Business School at the University of Technology Sydney. Her research expertise extends to energy finance, sustainable finance, renewable energy and commodity markets. Her projects in sustainable finance address the challenges of fossil fuel divesting, green bonds screening and the effects of climate transition risk on sovereign bond markets. She also leads several projects addressing energy derivatives pricing and hedging, energy transition and the impact of renewable energy generation on electricity price dynamics in Australia. She has been awarded two Australian Research Council grants and many internal and industry research grants, and publishes in leading journals including the Journal of Banking & Finance, Energy Economics, Quantitative Finance, Journal of Commodity Markets and Energy Policy. She is an editorial board member at the Renewable and Sustainable Energy Reviews and the Journal of Commodity Markets (special issue) and a member of the Commodity and Energy Markets Association (CEMA), the Academic Female Finance Committee (AFFECT), the International Association of Energy Economics (IAEE) and Financial Research Network (FIRN). She holds a PhD and a Master of Finance from the University of Technology Sydney.
  • Path shadowing Monte Carlo
    By Rudy Morel Stéphane Mallat Jean-Philippe Bouchaud † École Normale Supérieure, 45 rue d'Ulm, Paris 75005, France‡ Chair of Econophysics and Complex Systems, École polytechnique, Palaiseau 91128, France§ Collège de France, 1 Pl. Marcelin Berthelot, Paris 75231, France¶ Capital Fund Management, 23 Rue de l'Université, Paris 75007, France
  • The geometry of multi-curve interest rate models
    By Claudio Fontana Giacomo Lanaro Agatha Murgoci † Department of Mathematics “Tullio Levi - Civita”, University of Padova, Padova, Italy‡ Centrica Energy, Aalborg, Denmark
  • Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
    By Benjamin Joseph Grégoire Loeper Jan Obłój † Mathematical Institute and Christ Church, University of Oxford, Oxford, United Kingdom‡ BNP Paribas Global Markets, Paris, France§ Mathematical Institute and St John's College, University of Oxford, Oxford, United Kingdom
  • Network analysis of aggregated money flows in stock markets
    By Joonas Karaila Kestutis Baltakys Henri Hansen Anubha Goel Juho Kanniainen † Nordea Bank Abp, Helsinki, Finland‡ Research Group of Financial Computing and Data Analytics, Tampere University/Computing Sciences, Tampere, Finland
  • Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering
    By Raffaele Mattera George Athanasopoulos Rob Hyndman † Department of Social and Economic Sciences, Sapienza University of Rome, Rome, Italy‡ Department of Econometrics and Business Statistics, Monash University, Clayton, Australia
  • Detecting bubbles via FDR and FNR based on calibrated p-values
    By Giulia Genoni Piero Quatto Gianmarco Vacca † Department of Economics, Università della Svizzera Italiana, Lugano, Switzerland‡ Department of Economics, Management and Statistics, Università degli Studi di Milano-Bicocca, Milano, Italy§ Department of Economic Policy, Università Cattolica del Sacro Cuore, Milano, Italy
  • Special Issue of Quantitative Finance in Honor of Michael Dempster's 85th birthday
    By Jim Gatheral Mike Tehranchi a Baruch College, New Yorkb Centre for Mathematical Sciences, Cambridge
  • Investigating the price determinants of the European Emission Trading System: a non-parametric approach
    By Cristiano Salvagnin Aldo Glielmo Maria Elena De Giuli Antonietta Mira † Department of Economics and Management, University of Brescia, Via S. Faustino 74/b, Brescia, 25122, Italy‡ Applied Research Team, Directorate General for IT, Banca d'Italia, Rome, 00044, Italy§ Department of Economics and Management, University of Pavia, Via S. Felice Al Monastero, 5, Pavia, 27100, Italy¶ Faculty of Economics, Euler Institute, Università della Svizzera italiana (USI), Via Giuseppe Buffi, 13, Lugano, 6900, Switzerland∥ Department of Science and High Technology, University of Insubria, Via Valleggio, 11, Como, 22100, Italy
  • Forecasting the equity premium: can machine learning beat the historical average?
    By Xingfu Xu Wei-han Liu † Department of Finance, Southern University of Science and Technology, yuan Avenue, Shenzhen, 518055, People’s Republic of China‡ School of Accounting and Finance, Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, People’s Republic of China§ School of Digital Economy and Management, Fuyao University of Science and Technology, Nanyu Town, Fuzhou High tech Zone, Fuzhou, Fujian, People’s Republic of China
  • Risk measures based on weak optimal transport
    By Michael Kupper Max Nendel Alessandro Sgarabottolo † Department of Mathematics and Statistics, University of Konstanz, Konstanz, Germany‡ Center for Mathematical Economics, Bielefeld University, Bielefeld, Germany
  • FuNVol: multi-asset implied volatility market simulator using functional principal components and neural SDEs
    By Vedant Choudhary Sebastian Jaimungal Maxime Bergeron † Department of Statistical Sciences, University of Toronto, Toronto, ON, M5G 1Z5, Canada‡ Riskfuel Analytics, Toronto, ON, Canada
  • Revisiting elastic string models of forward interest rates
    By Victor Le Coz Jean-Philippe Bouchaud † Quant AI Lab, 29 Rue de Choiseul, Paris, 75002, France‡ Chair of Econophysics and Complex Systems, École polytechnique, Palaiseau Cedex, 91128, France§ LadHyX UMR CNRS 7646 École polytechnique, Palaiseau Cedex, 91128, France¶ Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes, CentraleSupélec, Université Paris-Saclay, Gif-sur-Yvette Cedex, 91192, France∥ Capital Fund Management, 23 Rue de l'Université, Paris, 75007, France** Académie des Sciences, Quai de Conti, Paris, 75006, France
  • Detecting rough volatility: a filtering approach
    By Camilla Damian Rüdiger Frey † Department of Mathematics, Vrije Universiteit Amsterdam, Amsterdam, Netherlands‡ Institute for Statistics and Mathematics, Vienna University of Economics and Business (WU), Vienna, Austria
  • Risk conscious investment¶
    By Dilip B. Madan Wim Schoutens King Wang † Department of Finance, Robert H. Smith School of Business, University of Maryland, College Park, MD, 20742, USA‡ Department of Mathematics, K.U. Leuven, Leuven, Belgium§ Derivative Product Strats, Morgan Stanley, 1585 Broadway, 2nd Floor, New York, NY, 10036, USA
  • Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
    By Yinzhong Huang Weilin Xiao Xiaojian Yu † School of Management, Zhejiang University, Hangzhou, 310058, People's Republic of China‡ Center for Research on Zhejiang Digital Development and Governance, Hangzhou, Zhejiang, 310058, People's Republic of China§ Capital Market Research Center, Zhejiang University, Hangzhou, Zhejiang, 310058, People's Republic of China¶ Research Center of Financial Engineering, School of Economics and Commerce, South China University of Technology, Guangzhou, 510006, People's Republic of China
  • A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
    By Thomas Deschatre Xavier Warin EDF Lab Paris-Saclay and FiMe, Laboratoire de Finance des Marchés de l'Energie, Palaiseau 91120, France
  • Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
    By Álvaro Guinea Juliá Alet Roux † Comillas Pontifical University ICAI, Madrid, 28015, Spain‡ University of York, Heslington, YO10 5DD, UK
  • DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions
    By Fernando Moreno-Pino Stefan Zohren † Oxford-Man Institute of Quantitative Finance, University of Oxford, Oxford, UK‡ Signal Processing and Learning Group, Universidad Carlos III de Madrid, Madrid, Spain§ Machine Learning Research Group, University of Oxford, Oxford, UK
  • Efficient option pricing in the rough Heston model using weak simulation schemes
    By Christian Bayer Simon Breneis Weierstrass Institute, Mohrenstr. 39, Berlin 10117, Germany
  • GDP-linked bonds as a new asset class
    By Ellie Papavassiliou Nikolas Topaloglou Stavros A. Zenios † Athens University of Economics and Business, 76, Patision Street, Athens GR10434, Greece‡ IPAG Business School, 10/12 rue du Théâtre, 75015 Paris, France§ Durham University Business School, Millhill Ln, Durham DH1 3LB, UK¶ University of Cyprus, P.O. Box 20537, Nicosia 1678, Cyprus‖ Cyprus Academy of Sciences, Letters, and Arts, Phaneromenis 60-68, 1011, Nicosia, Cyprus** Bruegel, Rue de la Charité, 1210 Brussel, Belgium
  • Neural network empowered liquidity pricing in a two-price economy under conic finance settings
    By Matteo Michielon Diogo Franquinho Alessandro Gentile Asma Khedher Peter Spreij † Quantitative Analysis and Quantitative Development, ABN AMRO Bank N.V., Gustav Mahlerlaan 10, Amsterdam, 1082 PP, The Netherlands‡ Korteweg-de Vries Institute for Mathematics, University of Amsterdam, Science Park 105-107, Amsterdam, 1098 XG, The Netherlands§ Department of Mathematics, Instituto Superior Técnico, Universidade de Lisboa, Lisboa, 1049-001, Portugal¶ Energy Services B.V., Joan Muyskenweg 22, Amsterdam, 1096 CJ, The Netherlands∥ Institute for Mathematics, Astrophysics and Particle Physics, Radboud University Nijmegen, Huygens building, Heyendaalseweg 135, Nijmegen, 6525 AJ, The Netherlands
  • FX Open Forward
    By Julien Hok Alex S.L. Tse † Investec Bank, 30 Gresham St, London EC2V 7QN, UK‡ Department of Mathematics, University College London, London WC1H 0AY, UK
  • Asset prices when large investors interact strategically
    By Giuliano Curatola † Department of Economics and Statistics, University of Siena, Siena, Italy‡ Leibniz Institute for Financial Research SAFE, Frankfurt, Germany
  • Portfolio and reinsurance optimization under unknown market price of risk
    By Claudia Ceci Katia Colaneri † Department MEMOTEF, University of Rome Sapienza, Via del Castro Laurenziano 9, Roma 00161, Italy‡ Department of Economics and Finance, University of Rome Tor Vergata, Via Columbia 2, Roma 00133, Italy
  • Quantum Machine Learning and Optimisation in Finance
    By Tushar Vaidya Nanyang Technological University, SingaporeTushar Vaidya is a research fellow in quantum computing at Nanyang Technological University. His previous experience was in quantitative finance, working as a trader and quantitative strategist in fixed income derivatives. His current research encompasses algebraic AI and quantum algorithms for fundamental problems in machine learning.
  • Risk factor aggregation and stress testing
    By Natalie Packham Berlin School of Economics and Law, D-10825, Berlin, Germany
  • Pricing airbag option via first passage time approach
    By Zheng Liu Xiaosong Qian Jing Yao Yinghui Dong † Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou, People's Republic of China‡ Department of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, People's Republic of China
  • Regulating stochastic clocks§
    By Zhe Fei Weixuan Xia † Department of Finance, Boston University Questrom School of Business, 595 Commonwealth Ave, Boston, MA, 02215, USA‡ Department of Mathematics, University of Southern California, 3620 S. Vermont Ave, Los Angeles, CA, 90089, USA
  • Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
    By Ruting Wang Valerio Potì Wolfgang Karl Härdle † Business School, Sun Yat-sen University, Shenzhen, People's Republic of China‡ Smurfit Graduate Business School, University College Dublin, Dublin, Ireland§ IRTG 1792, Humboldt-Universität zu Berlin, Berlin, Germany¶ Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen, People's Republic of China|| Sim Kee Boon Institute for Financial Economics, Singapore Management University, Singapore, Singapore** Faculty of Mathematics and Physics, Charles University, Prague, Czech Republic†† Yushan Scholar, National Yang Ming Chiao Tung University, Hsinchu, Taiwan‡‡ IDA Institute for Digital Assets, Bucharest University of Economic Studies, Bucharest, Romania
  • Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
    By Christian Bongiorno Damien Challet Laboratoire de Mathématiques et Informatique pour la Complexité et les Systèmes, Université Paris-Saclay, CentraleSupélec, Gif-sur-Yvette, 91192, France
  • Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
    By Leif Andersen Dominique Bang Bank of America, New York, USA
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