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Deep calibration with random grids 使用随机网格进行深度校准
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-04-12 DOI: 10.1080/14697688.2024.2332375
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
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引用次数: 0
Tail risk aversion and backwardation of index futures 尾部风险规避与指数期货的后向波动
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-04-12 DOI: 10.1080/14697688.2024.2330612
Jufang Liang, Dan Yang, Qian Han
{"title":"Tail risk aversion and backwardation of index futures","authors":"Jufang Liang, Dan Yang, Qian Han","doi":"10.1080/14697688.2024.2330612","DOIUrl":"https://doi.org/10.1080/14697688.2024.2330612","url":null,"abstract":"We show that tail risk aversion, proxied by the skewness risk premium implied from the SSE 50 ETF options market, explains a significant proportion of the unusually deep backwardation of index futu...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"49 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595655","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Narrative triggers of information sensitivity 信息敏感性的叙述性触发因素
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-04-12 DOI: 10.1080/14697688.2024.2335241
Kim Ristolainen
{"title":"Narrative triggers of information sensitivity","authors":"Kim Ristolainen","doi":"10.1080/14697688.2024.2335241","DOIUrl":"https://doi.org/10.1080/14697688.2024.2335241","url":null,"abstract":"This research explores the factors contributing to information sensitivity in debt markets, focusing on the potential influences of uncertainty, economic performance, and journalist-dependent langu...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"19 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595766","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A modified CTGAN-plus-features-based method for optimal asset allocation 基于修正 CTGAN 加特征的优化资产配置方法
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-04-08 DOI: 10.1080/14697688.2024.2329194
José-Manuel Pe na, Fernando Suárez, Omar Larré, Domingo Ramírez, Arturo Cifuentes
{"title":"A modified CTGAN-plus-features-based method for optimal asset allocation","authors":"José-Manuel Pe na, Fernando Suárez, Omar Larré, Domingo Ramírez, Arturo Cifuentes","doi":"10.1080/14697688.2024.2329194","DOIUrl":"https://doi.org/10.1080/14697688.2024.2329194","url":null,"abstract":"We propose a new approach to portfolio optimization that utilizes a unique combination of synthetic data generation and a CVaR-constraint. We formulate the portfolio optimization problem as an asse...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"2020 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595658","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Interactions between monetary and macroprudential policies 货币政策与宏观审慎政策之间的相互作用
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-03-26 DOI: 10.1080/14697688.2024.2327065
Gustavo Libório Rocha Lima, Regis Augusto Ely, Daniel Oliveira Cajueiro
{"title":"Interactions between monetary and macroprudential policies","authors":"Gustavo Libório Rocha Lima, Regis Augusto Ely, Daniel Oliveira Cajueiro","doi":"10.1080/14697688.2024.2327065","DOIUrl":"https://doi.org/10.1080/14697688.2024.2327065","url":null,"abstract":"This work aims to investigate the behavior of financial agents in a complex setting where they interact and learn about the environment. Using the bottom-up approach of agent-based models, we simul...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"56 3 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140301869","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
15 years of Adjoint Algorithmic Differentiation (AAD) in finance 金融领域的交点算法微分 (AAD) 15 年历程
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-03-22 DOI: 10.1080/14697688.2024.2325158
Luca Capriotti, Mike Giles
{"title":"15 years of Adjoint Algorithmic Differentiation (AAD) in finance","authors":"Luca Capriotti, Mike Giles","doi":"10.1080/14697688.2024.2325158","DOIUrl":"https://doi.org/10.1080/14697688.2024.2325158","url":null,"abstract":"Following the seminal ‘Smoking Adjoint’ paper by Giles and Glasserman [Smoking adjoints: Fast monte carlo greeks. Risk, 2006, 19, 88–92], the development of Adjoint Algorithmic Differentiation (AAD...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"45 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140199213","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotics for short maturity Asian options in jump-diffusion models with local volatility 具有局部波动性的跳跃扩散模型中短期限亚洲期权的渐近线
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-03-21 DOI: 10.1080/14697688.2024.2326114
Dan Pirjol, Lingjiong Zhu
{"title":"Asymptotics for short maturity Asian options in jump-diffusion models with local volatility","authors":"Dan Pirjol, Lingjiong Zhu","doi":"10.1080/14697688.2024.2326114","DOIUrl":"https://doi.org/10.1080/14697688.2024.2326114","url":null,"abstract":"We present a study of the short maturity asymptotics for Asian options in a jump-diffusion model with a local volatility component, where the jumps are modeled as a compound Poisson process. The an...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"35 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140301866","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
GPT's idea of stock factors GPT 的股票因素理念
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-03-05 DOI: 10.1080/14697688.2024.2318220
Yuhan Cheng, Ke Tang
{"title":"GPT's idea of stock factors","authors":"Yuhan Cheng, Ke Tang","doi":"10.1080/14697688.2024.2318220","DOIUrl":"https://doi.org/10.1080/14697688.2024.2318220","url":null,"abstract":"We amalgamate the capabilities of the GPT-4 computational model with the avant-garde methodology of autonomous factor generation, culminating in the synthesis of high-return factors within the equi...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"23 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140036955","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA 可赎回利率衍生品的静态复制方法：SIMM-MVA 的数学基础和高效估算
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-02-26 DOI: 10.1080/14697688.2024.2312523
J. H. Hoencamp, S. Jain, B. D. Kandhai
{"title":"A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA","authors":"J. H. Hoencamp, S. Jain, B. D. Kandhai","doi":"10.1080/14697688.2024.2312523","DOIUrl":"https://doi.org/10.1080/14697688.2024.2312523","url":null,"abstract":"The computation of credit risk measures such as exposure and Credit Value Adjustments (CVA) requires the simulation of future portfolio prices. Recent metrics, such as dynamic Initial Margin (IM) a...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"13 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140006461","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear 蒙特卡洛方法与随机过程：从线性到非线性
IF 1.3 4区 经济学
Quantitative Finance Pub Date : 2024-02-21 DOI: 10.1080/14697688.2024.2310568
Aurélien Alfonsi, Stefano De Marco
{"title":"Monte-Carlo Methods and Stochastic Processes: From Linear to Non-Linear","authors":"Aurélien Alfonsi, Stefano De Marco","doi":"10.1080/14697688.2024.2310568","DOIUrl":"https://doi.org/10.1080/14697688.2024.2310568","url":null,"abstract":"Published in Quantitative Finance (Ahead of Print, 2024)","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"29 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-02-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139927932","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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