Quantitative Finance, Volume 21, Issue 1 (2021)

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Quantitative Finance, Volume 21, Issue 1 (2021)

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Feature

Volatility has to be rough
Masaaki Fukasawa
Pages: 1-8
Published online: 21 Oct 2020
AbstractforVolatility has to be rough | Full Text | References | PDF (339.1 KB) | EPUB
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Book review

Book Review
Machine Learning in Finance: From Theory to Practice
by Matthew F. Dixon, Igor Halperin, and Paul Bilokon, Springer (2020). ISBN 978-3-030-41067-4. Paperback.
Guillaume Coqueret
Pages: 9-10
Published online: 15 Oct 2020
CitationforMachine Learning in Finance: From Theory to Practice | Full Text | References | PDF (305.3 KB) | EPUB
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Free Access

Research Papers

Article
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
Blanka Horvath, Aitor Muguruza & Mehdi Tomas
Pages: 11-27
Published online: 26 Oct 2020
AbstractforDeep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models | Full Text | References | PDF (2.5 MB) | EPUB
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Article
Dynamic programming for optimal stopping via pseudo-regression
Christian Bayer, Martin Redmann & John Schoenmakers
Pages: 29-44
Published online: 01 Sep 2020
AbstractforDynamic programming for optimal stopping via pseudo-regression | Full Text | References | PDF (426.7 KB) | EPUB
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Article
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Yangang Chen & Justin W. L. Wan
Pages: 45-67
Published online: 08 Sep 2020
AbstractforDeep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions | Full Text | References | PDF (3.2 MB) | EPUB
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Article
Market impact: a systematic study of the high frequency options market
Emilio Said, Ahmed Bel Hadj Ayed, Damien Thillou, Jean-Jacques Rabeyrin & Frédéric Abergel
Pages: 69-84
Published online: 08 Sep 2020
AbstractforMarket impact: a systematic study of the high frequency options market | Full Text | References | PDF (3.7 MB) | EPUB
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Article
Algorithmic market making for options
Bastien Baldacci, Philippe Bergault & Olivier Guéant
Pages: 85-97
Published online: 04 Aug 2020
AbstractforAlgorithmic market making for options | Full Text | References | PDF (814.2 KB) | EPUB
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Article
XVA analysis from the balance sheet
Claudio Albanese, Stéphane Crépey, Rodney Hoskinson & Bouazza Saadeddine
Pages: 99-123
Published online: 16 Oct 2020
AbstractforXVA analysis from the balance sheet | Full Text | References | PDF (2.4 MB) | EPUB
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Article
Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities
Jimmy E. Hilliard, Jitka Hilliard & Yinan Ni
Pages: 125-142
Published online: 28 Jul 2020
AbstractforUsing the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities | Full Text | References | PDF (659.7 KB) | EPUB
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Open Access
Article
Mechanics of good trade execution in the framework of linear temporary market impact
Claudio Bellani & Damiano Brigo
Pages: 143-163
Published online: 18 Sep 2020
AbstractforMechanics of good trade execution in the framework of linear temporary market impact | Full Text | References | PDF (1.5 MB) | EPUB
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Article
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Fred E. Benth, Troels S. Christensen & Victor Rohde
Pages: 165-183
Published online: 16 Oct 2020
AbstractforMultivariate continuous-time modeling of wind indexes and hedging of wind risk | Full Text | References | PDF (1.4 MB) | EPUB
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