Quantitative Finance, Volume 21, Issue 5 (2021)

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Quantitative Finance, Volume 21, Issue 5 (2021)

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Feature

Lattice-based hedging schemes under GARCH models
Maciej Augustyniak, Alexandru Badescu & Zhiyu Guo
Pages: 697-710
Published online: 12 Feb 2021
AbstractforLattice-based hedging schemes under GARCH models | Full Text | References | PDF (550.6 KB) | EPUB
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Book review

Book Review
Financial Modeling in Commodity Markets
by Viviana Fanelli, Chapman & Hall/CRC (2019). Paperback. ISBN 9780367442866.
Stein Frydenberg
Pages: 711-712
Published online: 03 Feb 2021
CitationforFinancial Modeling in Commodity Markets | Full Text | PDF (160.8 KB) | EPUB
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Free Access

Research Papers

Article
Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
Ana González-Urteaga, Belén Nieto & Gonzalo Rubio
Pages: 713-727
Published online: 23 Oct 2020
AbstractforExtracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors | Full Text | References | PDF (1.1 MB) | EPUB
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Article
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Alexander Wehrli, Spencer Wheatley & Didier Sornette
Pages: 729-752
Published online: 04 Feb 2021
AbstractforScale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes | Full Text | References | PDF (3.4 MB) | EPUB
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Article
Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue
J. L. Ma, S. S. Zhu & Y. Wu
Pages: 753-770
Published online: 08 Sep 2020
AbstractforJoint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue | Full Text | References | PDF (607.3 KB) | EPUB
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Article
Improvements in estimating the probability of informed trading models
Tsung-Chi Cheng & Hung-Neng Lai
Pages: 771-796
Published online: 03 Sep 2020
AbstractforImprovements in estimating the probability of informed trading models | Full Text | References | PDF (811.1 KB) | EPUB
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Article
Generative adversarial networks for financial trading strategies fine-tuning and combination
Adriano Koshiyama, Nick Firoozye & Philip Treleaven
Pages: 797-813
Published online: 01 Sep 2020
AbstractforGenerative adversarial networks for financial trading strategies fine-tuning and combination | Full Text | References | PDF (1.2 MB) | EPUB
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Article
The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
Minjoo Kim, Junhong Yang, Pengcheng Song & Yang Zhao
Pages: 815-835
Published online: 23 Oct 2020
AbstractforThe dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments | Full Text | References | PDF (2.7 MB) | EPUB
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Article
Effective stochastic volatility: applications to ZABR-type models
M. Felpel, J. Kienitz & T. A. McWalter
Pages: 837-852
Published online: 23 Oct 2020
AbstractforEffective stochastic volatility: applications to ZABR-type models | Full Text | References | PDF (1.5 MB) | EPUB
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Article
Jumps and oil futures volatility forecasting: a new insight
Feng Ma, Chao Liang, Qing Zeng & Haibo Li
Pages: 853-863
Published online: 09 Sep 2020
AbstractforJumps and oil futures volatility forecasting: a new insight | Full Text | References | PDF (338.7 KB) | EPUB
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Article
Uncertainty shocks of Trump election in an interval model of stock market
Yuying Sun, Kenan Qiao & Shouyang Wang
Pages: 865-879
Published online: 03 Sep 2020
AbstractforUncertainty shocks of Trump election in an interval model of stock market | Full Text | References | PDF (403.5 KB) | EPUB
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