Quantitative Finance, Volume 20, Issue 4 (2020)

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Quantitative Finance, Volume 20, Issue 4 (2020)

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Features

Article
Conic quantization: stochastic volatility and market implied liquidity
Lucio Fiorin & Wim Schoutens
Pages: 531-542
Published online: 06 Dec 2019
AbstractforConic quantization: stochastic volatility and market implied liquidity | Full Text | References | PDF (912.8 KB) | EPUB
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Book review

Book Review
Infinite Powers: The Story of Calculus - The Language of the Universe
by Steven Strogatz, Houghton Mifflin Harcourt (2019). Hardback. ISBN 978-1328879981.
Sébastien Lleo
Pages: 543-544
Published online: 02 Apr 2020
CitationforInfinite Powers: The Story of Calculus - The Language of the Universe | Full Text | PDF (366 KB) | EPUB
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Free Access

Calendar

Calendar
Calendar
Page: 545
Published online: 02 Apr 2020
CitationforCalendar | Full Text | PDF (33.3 KB) | EPUB
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Research Papers

Article
Scenario analysis for derivative portfolios via dynamic factor models
Martin B. Haugh & Octavio Ruiz Lacedelli
Pages: 547-571
Published online: 29 Jan 2020
AbstractforScenario analysis for derivative portfolios via dynamic factor models | Full Text | References | PDF (835.5 KB) | EPUB
  • 330 Views
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Article
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Ludovic Goudenège, Andrea Molent & Antonino Zanette
Pages: 573-591
Published online: 29 Jan 2020
AbstractforMachine learning for pricing American options in high-dimensional Markovian and non-Markovian models | Full Text | References | PDF (458.4 KB) | EPUB
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Article
The dynamics of ex-ante weighted spread: an empirical analysis
Georges Dionne & Xiaozhou Zhou
Pages: 593-617
Published online: 27 Nov 2019
AbstractforThe dynamics of ex-ante weighted spread: an empirical analysis | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
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Article
VIX futures term structure and the expectations hypothesis
Ivan Oscar Asensio
Pages: 619-638
Published online: 27 Nov 2019
AbstractforVIX futures term structure and the expectations hypothesis | Full Text | References | PDF (1.6 MB) | EPUB
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Article
Index tracking through deep latent representation learning
Saejoon Kim & Soong Kim
Pages: 639-652
Published online: 18 Nov 2019
AbstractforIndex tracking through deep latent representation learning | Full Text | References | PDF (953.1 KB) | EPUB
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Article
The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
Qingfu Liu, Pan Jiang, Yunbi An & Keith Cheung
Pages: 653-668
Published online: 27 Nov 2019
AbstractforThe effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets | Full Text | References | PDF (300.4 KB) | EPUB
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Article
A set-valued Markov chain approach to credit default
Dianfa Chen, Jun Deng, Jianfen Feng & Bin Zou
Pages: 669-689
Published online: 29 Jan 2020
AbstractforA set-valued Markov chain approach to credit default | Full Text | References | PDF (598.3 KB) | EPUB
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Article
On the propensity to issue contingent convertible (CoCo) bonds
José Fajardo & Layla Mendes
Pages: 691-707
Published online: 18 Nov 2019
AbstractforOn the propensity to issue contingent convertible (CoCo) bonds | Full Text | References | PDF (537.9 KB) | EPUB
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