Quantitative Finance, Volume 23, Issue 2 (2023)

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Quantitative Finance, Volume 23, Issue 2 (2023)

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Features

Article
Analysis and modeling of client order flow in limit order markets
Rama Cont, Mihai Cucuringu, Vacslav Glukhov & Felix Prenzel
Pages: 187-205
Published online: 16 Jan 2023
AbstractforAnalysis and modeling of client order flow in limit order markets | Full Text | References | PDF (2.9 MB) | EPUB
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Open Access
Book Review
Firefighting: The Financial Crisis and Its Lessons
by Ben S. Bernanke, Timothy F. Geithner, and Henry M. Paulson, Jr., Profile Books (2019). Paperback. ISBN 978-1788163361.
Jean-Philippe Bouchaud
Pages: 207-208
Published online: 06 Feb 2023
CitationforFirefighting: The Financial Crisis and Its Lessons | Full Text | PDF (246.1 KB) | EPUB
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Free Access

Research Papers

Article
Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing
Christian Bayer, Chiheb Ben Hammouda & Raúl Tempone
Pages: 209-227
Published online: 30 Oct 2022
AbstractforNumerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing | Full Text | References | PDF (1.2 MB) | EPUB
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Article
SABR equipped with AI wings
Hideharu Funahashi
Pages: 229-249
Published online: 15 Dec 2022
AbstractforSABR equipped with AI wings | Full Text | References | PDF (2.9 MB) | EPUB
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Article
Closed-form option pricing for exponential Lévy models: a residue approach
Jean-Philippe Aguilar & Justin Lars Kirkby
Pages: 251-278
Published online: 15 Dec 2022
AbstractforClosed-form option pricing for exponential Lévy models: a residue approach | Full Text | References | PDF (948.9 KB) | EPUB
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Article
Asymmetric short-rate model without lower bound
Frédéric Vrins & Linqi Wang
Pages: 279-295
Published online: 21 Dec 2022
AbstractforAsymmetric short-rate model without lower bound | Full Text | References | PDF (1.2 MB) | EPUB
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Open Access
Article
Pricing commodity index options
Alberto Pedro Manzano-Herrero, Emanuele Nastasi, Andrea Pallavicini & Carlos Vázquez
Pages: 297-308
Published online: 07 Nov 2022
AbstractforPricing commodity index options | Full Text | References | PDF (584 KB) | EPUB
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Article
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Chao Wang, Richard Gerlach & Qian Chen
Pages: 309-334
Published online: 05 Jan 2023
AbstractforA semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures | Full Text | References | PDF (585.6 KB) | EPUB
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Article
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks
Johannes Jakubik, Abdolreza Nazemi, Andreas Geyer-Schulz & Frank J. Fabozzi
Pages: 335-349
Published online: 12 Oct 2022
AbstractforIncorporating financial news for forecasting Bitcoin prices based on long short-term memory networks | Full Text | References | PDF (844.9 KB) | EPUB | Supplemental
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Article
Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
Chi Seng Pun & Zi Ye
Pages: 351-365
Published online: 24 Nov 2022
AbstractforOptimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency | Full Text | References | PDF (1.4 MB) | EPUB
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