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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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":null,"pages":null},"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}
Pub Date : 2024-02-14DOI: 10.1080/14697688.2024.2308069
Christian Oliver Ewald, Kevin Kamm
We study the effect of stochastic feeding costs on animal-based commodities with particular focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic behavior of sa...
{"title":"On the impact of feeding cost risk in aquaculture valuation and decision making","authors":"Christian Oliver Ewald, Kevin Kamm","doi":"10.1080/14697688.2024.2308069","DOIUrl":"https://doi.org/10.1080/14697688.2024.2308069","url":null,"abstract":"We study the effect of stochastic feeding costs on animal-based commodities with particular focus on aquaculture. More specifically, we use soybean futures to infer on the stochastic behavior of sa...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753030","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 : 2024-02-13DOI: 10.1080/14697688.2023.2299466
Milena Vuletić, Felix Prenzel, Mihai Cucuringu
We investigate the use of Generative Adversarial Networks (GANs) for probabilistic forecasting of financial time series. To this end, we introduce a novel economics-driven loss function for the gen...
{"title":"Fin-GAN: forecasting and classifying financial time series via generative adversarial networks","authors":"Milena Vuletić, Felix Prenzel, Mihai Cucuringu","doi":"10.1080/14697688.2023.2299466","DOIUrl":"https://doi.org/10.1080/14697688.2023.2299466","url":null,"abstract":"We investigate the use of Generative Adversarial Networks (GANs) for probabilistic forecasting of financial time series. To this end, we introduce a novel economics-driven loss function for the gen...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903168","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 : 2024-02-13DOI: 10.1080/14697688.2024.2307493
M. Burzoni, A. Doldi, E. Monzio Compagnoni
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of ...
{"title":"Risk sharing with deep neural networks","authors":"M. Burzoni, A. Doldi, E. Monzio Compagnoni","doi":"10.1080/14697688.2024.2307493","DOIUrl":"https://doi.org/10.1080/14697688.2024.2307493","url":null,"abstract":"We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infimal convolution of ...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903156","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 : 2024-02-13DOI: 10.1080/14697688.2023.2301419
Paweł Polak, Urban Ulrych
This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. It provides theoretical and empirical evidence that, under the stylized fac...
{"title":"Dynamic currency hedging with non-Gaussianity and ambiguity","authors":"Paweł Polak, Urban Ulrych","doi":"10.1080/14697688.2023.2301419","DOIUrl":"https://doi.org/10.1080/14697688.2023.2301419","url":null,"abstract":"This paper introduces a non-Gaussian dynamic currency hedging strategy for globally diversified investors with ambiguity. It provides theoretical and empirical evidence that, under the stylized fac...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139903324","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 : 2024-02-06DOI: 10.1080/14697688.2024.2302827
Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we iden...
{"title":"When is cross impact relevant?","authors":"Victor Le Coz, Iacopo Mastromatteo, Damien Challet, Michael Benzaquen","doi":"10.1080/14697688.2024.2302827","DOIUrl":"https://doi.org/10.1080/14697688.2024.2302827","url":null,"abstract":"Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we iden...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139753203","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 : 2024-02-06DOI: 10.1080/14697688.2024.2305643
Stephan Höcht, W. Schoutens, E. Verschueren
{"title":"On the pricing of capped volatility swaps using machine learning techniques","authors":"Stephan Höcht, W. Schoutens, E. Verschueren","doi":"10.1080/14697688.2024.2305643","DOIUrl":"https://doi.org/10.1080/14697688.2024.2305643","url":null,"abstract":"","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.3,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139798749","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}