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Volume 22, Issue 3

Quantitative Finance

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Quantitative Finance, Volume 22, Issue 3 (2022)

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Quantitative Finance, Volume 22, Issue 3 (2022)

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Vol 24, 2024 Vol 23, 2023 Volume 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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In Memoriam

Obituary

In memoriam Peter Carr

Michael Dempster & Jim Gatheral

Page: 407

Published online: 30 Mar 2022

CitationforIn memoriam Peter Carr | Full Text | PDF (95.6 KB) | EPUB

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Feature

Article

Conditions for bubbles to arise under heterogeneous beliefs

Seunghyun Lee & Hyungbin Park

Pages: 409-421

Published online: 11 Jan 2022

AbstractforConditions for bubbles to arise under heterogeneous beliefs | Full Text | References | PDF (1.4 MB) | EPUB

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Book review

Book Review

Synthetic Data for Deep Learning

Blanka Horvath

Pages: 423-425

Published online: 30 Mar 2022

First Page PreviewforSynthetic Data for Deep Learning | Full Text | References | PDF (249.6 KB) | EPUB

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Research Papers

Article

The SINC way: a fast and accurate approach to Fourier pricing

Fabio Baschetti, Giacomo Bormetti, Silvia Romagnoli & Pietro Rossi

Pages: 427-446

Published online: 16 Sep 2021

AbstractforThe SINC way: a fast and accurate approach to Fourier pricing | Full Text | References | PDF (979.6 KB) | EPUB

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Article

A fast algorithm for simulation of rough volatility models

Jingtang Ma & Haofei Wu

Pages: 447-462

Published online: 14 Oct 2021

AbstractforA fast algorithm for simulation of rough volatility models | Full Text | References | PDF (591.5 KB) | EPUB

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Article

Short-dated smile under rough volatility: asymptotics and numerics

Peter K. Friz, Paul Gassiat & Paolo Pigato

Pages: 463-480

Published online: 07 Dec 2021

AbstractforShort-dated smile under rough volatility: asymptotics and numerics | Full Text | References | PDF (686 KB) | EPUB

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Open Access

Article

Robust control in a rough environment

Bingyan Han & Hoi Ying Wong

Pages: 481-500

Published online: 14 Sep 2021

AbstractforRobust control in a rough environment | Full Text | References | PDF (677 KB) | EPUB

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Article

Additive normal tempered stable processes for equity derivatives and power-law scaling

Michele Azzone & Roberto Baviera

Pages: 501-518

Published online: 07 Dec 2021

AbstractforAdditive normal tempered stable processes for equity derivatives and power-law scaling | Full Text | References | PDF (1.1 MB) | EPUB

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Article

Performance measurement for option portfolios in a stochastic volatility framework

Rainer Baule, Oliver Entrop & Sebastian Wessels

Pages: 519-539

Published online: 07 Dec 2021

AbstractforPerformance measurement for option portfolios in a stochastic volatility framework | Full Text | References | PDF (641.7 KB) | EPUB

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Article

Tempered stable processes with time-varying exponential tails

Young Shin Kim, Kum-Hwan Roh & Raphael Douady

Pages: 541-561

Published online: 16 Sep 2021

AbstractforTempered stable processes with time-varying exponential tails | Full Text | References | PDF (1.2 MB) | EPUB

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Article

State-dependent Hawkes processes and their application to limit order book modelling

Maxime Morariu-Patrichi & Mikko S. Pakkanen

Pages: 563-583

Published online: 07 Dec 2021

AbstractforState-dependent Hawkes processes and their application to limit order book modelling | Full Text | References | PDF (14.3 MB) | EPUB

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Open Access

Article

Optimal trade execution for Gaussian signals with power-law resilience

Martin Forde, Leandro Sánchez-Betancourt & Benjamin Smith

Pages: 585-596

Published online: 23 Jul 2021

AbstractforOptimal trade execution for Gaussian signals with power-law resilience | Full Text | References | PDF (518.5 KB) | EPUB

1997 Views
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Open Access

Article

Market making with inventory control and order book information

E. Donatoni, S. Paterlini & F. Bazzana

Pages: 597-610

Published online: 11 Feb 2022

AbstractforMarket making with inventory control and order book information | Full Text | References | PDF (552.7 KB) | EPUB

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Quantitative Finance (Vol.22, Iss.3, 2022)

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