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Volume 23, Issue 12

Quantitative Finance

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Quantitative Finance, Volume 23, Issue 12 (2023)

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Quantitative Finance, Volume 23, Issue 12 (2023)

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Vol 24, 2024 Volume 23, 2023 Vol 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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Features

Article

Smiles in delta

Arianna Mingone

Pages: 1713-1728

Published online: 20 Dec 2023

AbstractforSmiles in delta | Full Text | References | PDF (624.7 KB) | EPUB

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Book Review

Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices

by Agostino Capponi and Charles-Albert Lehalle (Eds), Cambridge University Press (2023). Hardcover. ISBN 978-1316516195.

Damir Filipovic

Pages: 1729-1730

Published online: 20 Dec 2023

CitationforMachine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices | Full Text | PDF (1.3 MB) | EPUB

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Free Access

Research Papers

Article

Effective stochastic local volatility models

M. Felpel, J. Kienitz & T.A. McWalter

Pages: 1731-1750

Published online: 20 Dec 2023

AbstractforEffective stochastic local volatility models | Full Text | References | PDF (3.7 MB) | EPUB

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Article

Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices

Thomas R. Bollinger, William R. Melick & Charles P. Thomas

Pages: 1751-1768

Published online: 20 Dec 2023

AbstractforPrincipled pasting: attaching tails to risk-neutral probability density functions recovered from option prices | Full Text | References | PDF (1.8 MB) | EPUB

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Open Access

Article

Functional quantization of rough volatility and applications to volatility derivatives

O. Bonesini, G. Callegaro & A. Jacquier

Pages: 1769-1792

Published online: 20 Dec 2023

AbstractforFunctional quantization of rough volatility and applications to volatility derivatives | Full Text | References | PDF (2.8 MB) | EPUB

616 Views
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Article

Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model

M. Escobar-Anel, M. Kschonnek & R. Zagst

Pages: 1793-1813

Published online: 20 Dec 2023

111 Views
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Article

Dynamic core-satellite investing using higher order moments: an explicit solution

Yanfeng Wang, Wanbo Lu & Kris Boudt

Pages: 1815-1831

Published online: 20 Dec 2023

AbstractforDynamic core-satellite investing using higher order moments: an explicit solution | Full Text | References | PDF (838 KB) | EPUB

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Article

A basket half full: sparse portfolios

Ekaterina Seregina

Pages: 1833-1852

Published online: 20 Dec 2023

AbstractforA basket half full: sparse portfolios | Full Text | References | PDF (1.3 MB) | EPUB

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Article

Cryptocurrency factor momentum

Christian Fieberg, Gerrit Liedtke, Daniel Metko & Adam Zaremba

Pages: 1853-1869

Published online: 20 Dec 2023

AbstractforCryptocurrency factor momentum | Full Text | References | PDF (662.9 KB) | EPUB

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Article

Rule-based trading on an order-driven exchange: a reassessment

Alan G. Isaac & Vasudeva Ramaswamy

Pages: 1871-1886

Published online: 20 Dec 2023

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Quantitative Finance (Vol.23, Iss.12, 2023)

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