Pub Date : 2024-04-12DOI: 10.1080/14697688.2024.2332375
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. [Deep learning volatility: A deep neural networ...
{"title":"Deep calibration with random grids","authors":"Fabio Baschetti, Giacomo Bormetti, Pietro Rossi","doi":"10.1080/14697688.2024.2332375","DOIUrl":"https://doi.org/10.1080/14697688.2024.2332375","url":null,"abstract":"We propose a neural network-based approach to calibrating stochastic volatility models, which combines the pioneering grid approach by Horvath et al. [Deep learning volatility: A deep neural networ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"41 1","pages":""},"PeriodicalIF":1.3,"publicationDate":"2024-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140595867","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}
Pub Date : 2024-04-12DOI: 10.1080/14697688.2024.2330612
Jufang Liang, Dan Yang, Qian Han
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...
{"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}
Pub Date : 2024-04-12DOI: 10.1080/14697688.2024.2335241
Kim Ristolainen
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...
本研究探讨了导致债务市场信息敏感性的因素，重点关注不确定性、经济表现和记者依赖语言的潜在影响。
{"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}
Pub Date : 2024-04-08DOI: 10.1080/14697688.2024.2329194
José-Manuel Pe na, Fernando Suárez, Omar Larré, Domingo Ramírez, Arturo Cifuentes
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...
{"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}
Pub Date : 2024-03-26DOI: 10.1080/14697688.2024.2327065
Gustavo Libório Rocha Lima, Regis Augusto Ely, Daniel Oliveira Cajueiro
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...
{"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}
Pub Date : 2024-03-22DOI: 10.1080/14697688.2024.2325158
Luca Capriotti, Mike Giles
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...
继 Giles 和 Glasserman 的开创性论文 "吸烟邻接"[Smoking adjoints: Fast monte carlo greeks. Risk, 2006, 19, 88-92] 之后，邻接算法微分（AAD...
{"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}
Pub Date : 2024-03-21DOI: 10.1080/14697688.2024.2326114
Dan Pirjol, Lingjiong Zhu
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...
{"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}
Pub Date : 2024-03-05DOI: 10.1080/14697688.2024.2318220
Yuhan Cheng, Ke Tang
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...
{"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}
Pub Date : 2024-02-26DOI: 10.1080/14697688.2024.2312523
J. H. Hoencamp, S. Jain, B. D. Kandhai
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...
{"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}
Pub Date : 2024-02-21DOI: 10.1080/14697688.2024.2310568
Aurélien Alfonsi, Stefano De Marco
Published in Quantitative Finance (Ahead of Print, 2024)
发表于《定量金融》（2024 年提前出版）
{"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}
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