Quantitative Finance, Volume 20, Issue 12 (2020)

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Quantitative Finance, Volume 20, Issue 12 (2020)

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7th International Conference on Futures and Other Derivatives (ICFOD)

Feature

Modeling and solving portfolio selection problems based on PVaR
Yanli Huo, Chunhui Xu & Takayuki Shiina
Pages: 1889-1898
Published online: 12 Oct 2020
AbstractforModeling and solving portfolio selection problems based on PVaR | Full Text | References | PDF (671.9 KB) | EPUB
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Editor's foreword

Editorial
Editor’s foreword
Ke Tang
Pages: 1901-1902
Published online: 10 Nov 2020
CitationforEditor’s foreword | Full Text | PDF (107.6 KB) | EPUB
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Free Access

Special Issue Papers

Article
Bond flotation with exotic commodity collateral
M. A. H. Dempster
Pages: 1903-1925
Published online: 16 Oct 2020
AbstractforBond flotation with exotic commodity collateral | Full Text | References | PDF (3.2 MB) | EPUB
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Article
The impact of US macroeconomic news announcements on Chinese commodity futures
Haidong Cai, Shamim Ahmed, Ying Jiang & Xiaoquan Liu
Pages: 1927-1966
Published online: 07 Oct 2020
AbstractforThe impact of US macroeconomic news announcements on Chinese commodity futures | Full Text | References | PDF (720.4 KB) | EPUB
  • 557 Views
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Article
Identifying the influential factors of commodity futures prices through a new text mining approach
Jianping Li, Guowen Li, Xiaoqian Zhu & Yanzhen Yao
Pages: 1967-1981
Published online: 15 Oct 2020
AbstractforIdentifying the influential factors of commodity futures prices through a new text mining approach | Full Text | References | PDF (2.6 MB) | EPUB
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Article
Index volatility and the put-call ratio: a tale of three markets
Jianhua Gang, Nan Huang, Ke Song & Ruyi Zhang
Pages: 1983-1996
Published online: 15 Oct 2020
AbstractforIndex volatility and the put-call ratio: a tale of three markets | Full Text | References | PDF (1.3 MB) | EPUB
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Article
Hedging housing price risks: some empirical evidence from the US
Li Bao, William Cheung & Stephan Unger
Pages: 1997-2013
Published online: 15 Oct 2020
AbstractforHedging housing price risks: some empirical evidence from the US | Full Text | References | PDF (531.9 KB) | EPUB
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Article
The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets
Gideon Bruce Arkorful, Haiqiang Chen, Xiaoqun Liu & Chuanhai Zhang
Pages: 2015-2024
Published online: 15 Oct 2020
AbstractforThe impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets | Full Text | References | PDF (912 KB) | EPUB
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Article
Volatility information difference between CDS, options, and the cross section of options returns
Biao Guo, Yukun Shi & Yaofei Xu
Pages: 2025-2036
Published online: 15 Oct 2020
AbstractforVolatility information difference between CDS, options, and the cross section of options returns | Full Text | References | PDF (496.4 KB) | EPUB
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Article
Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
Changfu Ma, Wei Xu & George Yuan
Pages: 2037-2053
Published online: 15 Oct 2020
AbstractforValuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree | Full Text | References | PDF (2.4 MB) | EPUB
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Article
Chinese write-down bonds: issuance and bank capital structure
P. Li, Y. Han, S. Lin & T. Qiao
Pages: 2055-2065
Published online: 16 Oct 2020
AbstractforChinese write-down bonds: issuance and bank capital structure | Full Text | References | PDF (433.7 KB) | EPUB
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Article
Price discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction
Feng He, Baiao Liu-Chen, Xiangtong Meng, Xiong Xiong & Wei Zhang
Pages: 2067-2083
Published online: 15 Oct 2020
AbstractforPrice discovery and spillover dynamics in the Chinese stock index futures market: a natural experiment on trading volume restriction | Full Text | References | PDF (1.7 MB) | EPUB
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Article
Digital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness
Shimeng Shi, Pei Liu & Jiayuan Xin
Pages: 2085-2100
Published online: 15 Oct 2020
AbstractforDigital economy era: the role of the telecommunications sector in frequency-dependent default risk connectedness | Full Text | References | PDF (1.7 MB) | EPUB
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Article
Neural network-based automatic factor construction
Jie Fang, Jianwu Lin, Shutao Xia, Zhikang Xia, Shenglei Hu, Xiang Liu & Yong Jiang
Pages: 2101-2114
Published online: 15 Oct 2020
AbstractforNeural network-based automatic factor construction | Full Text | References | PDF (2.1 MB) | EPUB
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