Quantitative Finance, Volume 20, Issue 3 (2020)

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Quantitative Finance, Volume 20, Issue 3 (2020)

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Features

Article
A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
W.J. Hinderks, R. Korn & A. Wagner
Pages: 347-357
Published online: 02 Dec 2019
AbstractforA structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices | Full Text | References | PDF (492.5 KB) | EPUB
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Open Access

Book review

Book Review
Machine Learning: An Applied Mathematics Introduction
by Paul Wilmott, Panda Ohana Publishing, (2019). Paperback. ISBN 978-1916081604.
Sébastien Lleo
Pages: 359-360
Published online: 28 Feb 2020
CitationforMachine Learning: An Applied Mathematics Introduction | Full Text | PDF (349.7 KB) | EPUB
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Calendar

Calendar
Calendar
Page: 361
Published online: 28 Feb 2020
CitationforCalendar | Full Text | PDF (443.6 KB) | EPUB
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Research Papers

Article
Buy rough, sell smooth
Paul Glasserman & Pu He
Pages: 363-378
Published online: 18 Nov 2019
AbstractforBuy rough, sell smooth | Full Text | References | PDF (1.4 MB) | EPUB
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Article
Calibrating rough volatility models: a convolutional neural network approach
Henry Stone
Pages: 379-392
Published online: 27 Aug 2019
AbstractforCalibrating rough volatility models: a convolutional neural network approach | Full Text | References | PDF (2 MB) | EPUB
  • 950 Views
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Article
A PDE method for estimation of implied volatility
Ivan Matić, Radoš Radoičić & Dan Stefanica
Pages: 393-408
Published online: 18 Nov 2019
AbstractforA PDE method for estimation of implied volatility | Full Text | References | PDF (754.8 KB) | EPUB
  • 370 Views
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Article
Equilibrium implications of interest rate smoothing
Diogo Duarte & Rodolfo Prieto
Pages: 409-423
Published online: 28 Oct 2019
AbstractforEquilibrium implications of interest rate smoothing | Full Text | References | PDF (404.7 KB) | EPUB | Supplemental
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Article
Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk
Marcus Scheffer & Gregor N. F. Weiß
Pages: 425-446
Published online: 18 Oct 2019
AbstractforExtreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk | Full Text | References | PDF (1.7 MB) | EPUB
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Article
Market or limit orders?
Daniel Mitchell & Jingnan Chen
Pages: 447-461
Published online: 18 Nov 2019
AbstractforMarket or limit orders? | Full Text | References | PDF (903 KB) | EPUB
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Article
Agent-based modelling in directional-change intrinsic time
V. Petrov, A. Golub & R. Olsen
Pages: 463-482
Published online: 18 Nov 2019
AbstractforAgent-based modelling in directional-change intrinsic time | Full Text | References | PDF (5.9 MB) | EPUB
  • 198 Views
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Article
A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Juan Dong, Lyudmila Korobenko & A. Deniz Sezer
Pages: 483-497
Published online: 18 Nov 2019
AbstractforA variation of Merton's corporate bond valuation model for firms with illiquid but observable assets | Full Text | References | PDF (811.2 KB) | EPUB
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Article
Investment decisions when utility depends on wealth and other attributes
Andrew Grant & Steve Satchell
Pages: 499-513
Published online: 31 Oct 2019
AbstractforInvestment decisions when utility depends on wealth and other attributes | Full Text | References | PDF (285.4 KB) | EPUB
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Article
Personalized goal-based investing via multi-stage stochastic goal programming
Woo Chang Kim, Do-Gyun Kwon, Yongjae Lee, Jang Ho Kim & Changle Lin
Pages: 515-526
Published online: 31 Oct 2019
AbstractforPersonalized goal-based investing via multi-stage stochastic goal programming | Full Text | References | PDF (1.8 MB) | EPUB
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Correction

Correction
Correction
Pages: 527-529
Published online: 11 Feb 2020
First Page PreviewforCorrection | Full Text | PDF (104.2 KB) | EPUB
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