Quantitative Finance, Volume 20, Issue 7 (2020)

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Quantitative Finance, Volume 20, Issue 7 (2020)

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Feature

Article
Shock amplification in financial networks with applications to the CCP feasibility
Dohyun Ahn
Pages: 1045-1056
Published online: 28 Apr 2020
AbstractforShock amplification in financial networks with applications to the CCP feasibility | Full Text | References | PDF (878.2 KB) | EPUB
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Book review

Book Review
Stochastic Disorder Problems
by Albert N. Shiryaev, Springer (2019). E-Book. ISBN 978-3-030-01526-8.
Sébastien Lleo
Pages: 1057-1058
Published online: 06 Jul 2020
CitationforStochastic Disorder Problems | Full Text | PDF (260.1 KB) | EPUB
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Free Access

Research Papers

Article
Are trading invariants really invariant? Trading costs matter
Frédéric Bucci, Fabrizio Lillo, Jean-Philippe Bouchaud & Michael Benzaquen
Pages: 1059-1068
Published online: 07 Apr 2020
AbstractforAre trading invariants really invariant? Trading costs matter | Full Text | References | PDF (1.2 MB) | EPUB
  • 323 Views
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Article
Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
G. dos Reis, M. Pfeuffer & G. Smith
Pages: 1069-1083
Published online: 07 Apr 2020
AbstractforCapturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations | Full Text | References | PDF (728.3 KB) | EPUB
  • 3328 Views
  • 9 CrossRef citations
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Open Access
Article
Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
Yang-Che Wu, Ting-Fu Chen & Shih-Kuei Lin
Pages: 1085-1100
Published online: 07 Apr 2020
AbstractforRisk management of deposit insurance corporations with risk-based premiums and credit default swaps | Full Text | References | PDF (398.4 KB) | EPUB
  • 415 Views
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Article
Assessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective
George Chalamandaris
Pages: 1101-1122
Published online: 07 Apr 2020
AbstractforAssessing the relevance of an information source to trading from an adaptive-markets hypothesis perspective | Full Text | References | PDF (771.7 KB) | EPUB | Supplemental
  • 258 Views
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Article
Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
Robert Matthijs Verschuren
Pages: 1123-1148
Published online: 07 Apr 2020
AbstractforStochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model | Full Text | References | PDF (4.1 MB) | EPUB
  • 6087 Views
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Open Access
Article
Stock volatility predictability in bull and bear markets
Xingyi Li & Valeriy Zakamulin
Pages: 1149-1167
Published online: 07 Apr 2020
AbstractforStock volatility predictability in bull and bear markets | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 4613 Views
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Open Access
Article
Effects of intervaling on high-frequency realized higher-order moments
Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan
Pages: 1169-1184
Published online: 07 Apr 2020
AbstractforEffects of intervaling on high-frequency realized higher-order moments | Full Text | References | PDF (2.9 MB) | EPUB
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Article
Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
Jean-Michel Maeso & Lionel Martellini
Pages: 1185-1197
Published online: 07 Apr 2020
AbstractforMaximizing an equity portfolio excess growth rate: a new form of smart beta strategy? | Full Text | References | PDF (235.1 KB) | EPUB
  • 352 Views
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Article
Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
Jingtang Ma, Zhengyang Lu, Wenyuan Li & Jie Xing
Pages: 1199-1211
Published online: 07 Apr 2020
AbstractforLeast-squares Monte-Carlo methods for optimal stopping investment under CEV models | Full Text | References | PDF (712.4 KB) | EPUB
  • 377 Views
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Article
Forward or backward simulation? A comparative study
Piergiacomo Sabino
Pages: 1213-1226
Published online: 07 Apr 2020
AbstractforForward or backward simulation? A comparative study | Full Text | References | PDF (468.6 KB) | EPUB
  • 324 Views
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