Quantitative Finance最新文献

Deep limit order book forecasting: a microstructural guide. 深度限价订单预测：微观结构指南。

IF 1.4 4区经济学

Quantitative Finance Pub Date : 2025-07-22 DOI: 10.1080/14697688.2025.2522911

Antonio Briola, Silvia Bartolucci, Tomaso Aste

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引用次数: 0

Higher order approximation of option prices in Barndorff-Nielsen and Shephard models 巴恩多夫-尼尔森和谢泼德模型中期权价格的高阶近似值

IF 1.3 4区经济学

Quantitative Finance Pub Date : 2024-09-10 DOI: 10.1080/14697688.2024.2394220

Álvaro Guinea Juliá, Alet Roux

引用次数: 0

DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. DeepVol：利用扩张因果卷积从高频数据中预测波动率。

IF 1.5 4区经济学

Quantitative Finance Pub Date : 2024-09-05 eCollection Date: 2024-01-01 DOI: 10.1080/14697688.2024.2387222

Fernando Moreno-Pino, Stefan Zohren

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引用次数: 0

Efficient option pricing in the rough Heston model using weak simulation schemes 利用弱模拟方案在粗略的赫斯顿模型中高效地进行期权定价

IF 1.3 4区经济学

Quantitative Finance Pub Date : 2024-09-02 DOI: 10.1080/14697688.2024.2391523

Christian Bayer, Simon Breneis

引用次数: 0

GDP-linked bonds as a new asset class 与 GDP 挂钩的债券作为一种新的资产类别

IF 1.3 4区经济学

Quantitative Finance Pub Date : 2024-08-30 DOI: 10.1080/14697688.2024.2386323

Ellie Papavassiliou, Nikolas Topaloglou, Stavros A. Zenios

引用次数: 0

Neural network empowered liquidity pricing in a two-price economy under conic finance settings 圆锥金融环境下双价经济中的神经网络赋权流动性定价