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Volume 24, Issue 3-4

Quantitative Finance

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Quantitative Finance, Volume 24, Issue 3-4 (2024)

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Quantitative Finance, Volume 24, Issue 3-4 (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

Implied roughness in the term structure of oil market volatility

Mesias Alfeus, Christina S. Nikitopoulos & Ludger Overbeck

Pages: 347-363

Published online: 31 Jan 2024

AbstractforImplied roughness in the term structure of oil market volatility | Full Text | References | PDF (1.4 MB) | EPUB

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Book Review

Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear

by Emmanuel Gobet, Chapman & Hall (2020). Hardback. ISBN 9780367658465.

Aurélien Alfonsi & Stefano De Marco

Pages: 365-366

Published online: 21 Feb 2024

CitationforMonte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear | Full Text | PDF (545.3 KB) | EPUB

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Free Access

Research Papers

Article

Speed and duration of drawdown under general Markov models

Lingfei Li, Pingping Zeng & Gongqiu Zhang

Pages: 367-386

Published online: 23 Apr 2024

AbstractforSpeed and duration of drawdown under general Markov models | Full Text | References | PDF (721.4 KB) | EPUB

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Article

Tail risk aversion and backwardation of index futures

Jufang Liang, Dan Yang & Qian Han

Pages: 387-407

Published online: 12 Apr 2024

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Article

A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA

J. H. Hoencamp, S. Jain & B. D. Kandhai

Pages: 409-432

Published online: 26 Feb 2024

AbstractforA static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA | Full Text | References | PDF (2.9 MB) | EPUB

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Open Access

Article

Asymptotics for short maturity Asian options in jump-diffusion models with local volatility

Dan Pirjol & Lingjiong Zhu

Pages: 433-449

Published online: 21 Mar 2024

AbstractforAsymptotics for short maturity Asian options in jump-diffusion models with local volatility | Full Text | References | PDF (761.3 KB) | EPUB

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Article

Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity

Matteo Pelagatti & Giacomo Sbrana

Pages: 451-464

Published online: 04 Jan 2024

AbstractforEstimating correlations among elliptically distributed random variables under any form of heteroskedasticity | Full Text | References | PDF (2.8 MB) | EPUB

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Article

A modified CTGAN-plus-features-based method for optimal asset allocation

José-Manuel Peña, Fernando Suárez, Omar Larré, Domingo Ramírez & Arturo Cifuentes

Pages: 465-479

Published online: 08 Apr 2024

AbstractforA modified CTGAN-plus-features-based method for optimal asset allocation | Full Text | References | PDF (3.1 MB) | EPUB

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Article

Interactions between monetary and macroprudential policies

Gustavo Libório Rocha Lima, Regis Augusto Ely & Daniel Oliveira Cajueiro

Pages: 481-498

Published online: 26 Mar 2024

AbstractforInteractions between monetary and macroprudential policies | Full Text | References | PDF (3.9 MB) | EPUB

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Article

Narrative triggers of information sensitivity

Kim Ristolainen

Pages: 499-520

Published online: 12 Apr 2024

AbstractforNarrative triggers of information sensitivity | Full Text | References | PDF (7.9 MB) | EPUB

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Open Access

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Quantitative Finance (Vol.24, Iss.3-4, 2024)

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