Quantitative Finance, Volume 20, Issue 5 (2020)

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Quantitative Finance, Volume 20, Issue 5 (2020)

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Features

Article
Option pricing methods in the City of London during the late 19th century
George Dotsis
Pages: 709-719
Published online: 05 Feb 2020
AbstractforOption pricing methods in the City of London during the late 19th century | Full Text | References | PDF (1.3 MB) | EPUB
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Book review

Book Review
Collected Works of Marida Bertocchi
by Rita L. D'Ecclesia, Stavros A. Zenios, and William T. Ziemba (ed.), World Scientific Publishing (2019). Hardback. ISBN 978-981-120-080-9.
Costanza Torricelli
Pages: 721-722
Published online: 30 Mar 2020
CitationforCollected Works of Marida Bertocchi | Full Text | PDF (396.8 KB) | EPUB
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Free Access

Research Papers

Article
On the first hitting time density for a reducible diffusion process
Alexander Lipton & Vadim Kaushansky
Pages: 723-743
Published online: 19 Feb 2020
AbstractforOn the first hitting time density for a reducible diffusion process | Full Text | References | PDF (1.5 MB) | EPUB
  • 399 Views
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Article
Probability weighting and default risk: a possible explanation for distressed stock puzzles
Akira Yamazaki
Pages: 745-767
Published online: 22 Jan 2020
AbstractforProbability weighting and default risk: a possible explanation for distressed stock puzzles | Full Text | References | PDF (693.8 KB) | EPUB
  • 228 Views
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Article
Random matrix models for datasets with fixed time horizons
G. L. Zitelli
Pages: 769-781
Published online: 22 Jan 2020
AbstractforRandom matrix models for datasets with fixed time horizons | Full Text | References | PDF (661.2 KB) | EPUB
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Article
A neural network enhanced volatility component model
Jia Zhai, Yi Cao & Xiaoquan Liu
Pages: 783-797
Published online: 19 Feb 2020
AbstractforA neural network enhanced volatility component model | Full Text | References | PDF (1 MB) | EPUB
  • 604 Views
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Article
Dynamic principal component CAW models for high-dimensional realized covariance matrices
Bastian Gribisch & Michael Stollenwerk
Pages: 799-821
Published online: 29 Jan 2020
AbstractforDynamic principal component CAW models for high-dimensional realized covariance matrices | Full Text | References | PDF (3.2 MB) | EPUB
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Article
Implied volatility sentiment: a tale of two tails
Luiz Félix, Roman Kräussl & Philip Stork
Pages: 823-849
Published online: 29 Jan 2020
AbstractforImplied volatility sentiment: a tale of two tails | Full Text | References | PDF (1.9 MB) | EPUB
  • 689 Views
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Article
Pricing high-dimensional American options by kernel ridge regression
Wenbin Hu & Tomasz Zastawniak
Pages: 851-865
Published online: 19 Feb 2020
AbstractforPricing high-dimensional American options by kernel ridge regression | Full Text | References | PDF (852.9 KB) | EPUB
  • 447 Views
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Article
Variable annuities in a Lévy-based hybrid model with surrender risk
Laura Ballotta, Ernst Eberlein, Thorsten Schmidt & Raghid Zeineddine
Pages: 867-886
Published online: 27 Nov 2019
AbstractforVariable annuities in a Lévy-based hybrid model with surrender risk | Full Text | References | PDF (1.8 MB) | EPUB | Supplemental
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