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Volume 24, Issue 2

Quantitative Finance

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Quantitative Finance, Volume 24, Issue 2 (2024)

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Quantitative Finance, Volume 24, Issue 2 (2024)

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Volume 24, 2024 Vol 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

Fin-GAN: forecasting and classifying financial time series via generative adversarial networks

Milena Vuletić, Felix Prenzel & Mihai Cucuringu

Pages: 175-199

Published online: 13 Feb 2024

AbstractforFin-GAN: forecasting and classifying financial time series via generative adversarial networks | Full Text | References | PDF (5.8 MB) | EPUB

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Open Access

Book Review

Handbook of Price Impact Modeling

by Kevin T. Webster, Chapman & Hall/CRC (2023). Hardback. ISBN 978-1032328225.

Johannes Muhle-Karbe

Pages: 201-202

Published online: 13 Feb 2024

CitationforHandbook of Price Impact Modeling | Full Text | References | PDF (351.2 KB) | EPUB

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Free Access

Research Papers

Article

Physics-informed convolutional transformer for predicting volatility surface

Soohan Kim, Seok-Bae Yun, Hyeong-Ohk Bae, Muhyun Lee & Youngjoon Hong

Pages: 203-220

Published online: 13 Feb 2024

AbstractforPhysics-informed convolutional transformer for predicting volatility surface | Full Text | References | PDF (6.3 MB) | EPUB

265 Views
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Article

Deep impulse control: application to interest rate intervention

Bowen Jia & Hoi Ying Wong

Pages: 221-232

Published online: 13 Feb 2024

AbstractforDeep impulse control: application to interest rate intervention | Full Text | References | PDF (718.3 KB) | EPUB

837 Views
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Open Access

Article

Risk sharing with deep neural networks

M. Burzoni, A. Doldi & E. Monzio Compagnoni

Pages: 233-252

Published online: 13 Feb 2024

AbstractforRisk sharing with deep neural networks | Full Text | References | PDF (1.8 MB) | EPUB

135 Views
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Article

Optimal stop-loss rules in markets with long-range dependence

Yun Xiang & Shijie Deng

Pages: 253-263

Published online: 13 Feb 2024

AbstractforOptimal stop-loss rules in markets with long-range dependence | Full Text | References | PDF (463.3 KB) | EPUB

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Article

When is cross impact relevant?

Victor Le Coz, Iacopo Mastromatteo, Damien Challet & Michael Benzaquen

Pages: 265-279

Published online: 13 Feb 2024

AbstractforWhen is cross impact relevant? | Full Text | References | PDF (3.1 MB) | EPUB

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Article

A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities

Zongxia Liang, Yang Liu, Ming Ma & Rahul Pothi Vinoth

Pages: 281-303

Published online: 13 Feb 2024

AbstractforA unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities | Full Text | References | PDF (1.1 MB) | EPUB

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Article

Dynamic currency hedging with non-Gaussianity and ambiguity

Paweł Polak & Urban Ulrych

Pages: 305-327

Published online: 13 Feb 2024

AbstractforDynamic currency hedging with non-Gaussianity and ambiguity | Full Text | References | PDF (2.8 MB) | EPUB

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Research Letters

A generalization of the rational rough Heston approximation

Jim Gatheral & Radoš Radoičić

Pages: 329-335

Published online: 13 Feb 2024

AbstractforA generalization of the rational rough Heston approximation | Full Text | References | PDF (707.8 KB) | EPUB

170 Views
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On the optimal forecast with the fractional Brownian motion

Xiaohu Wang, Jun Yu & Chen Zhang

Pages: 337-346

Published online: 13 Feb 2024

195 Views
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Quantitative Finance (Vol.24, Iss.2, 2024)

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