期刊： QUANTITATIVE FINANCE, 2021; 21 (7)
Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753-1765] provide short term asymptotics for the mass at zero under the uncorrelated stochastic-al......
期刊： QUANTITATIVE FINANCE, ; ()
This paper investigates a Stackelberg game between a mutual fund manager and an investor. Throughout the paper, we follow the literature (see, e.g. Li......
期刊： QUANTITATIVE FINANCE, ; ()
This paper studies the comparative statics of an optimal portfolio choice problem for an investor with both expected return and volatility ambiguity a......
期刊： QUANTITATIVE FINANCE, ; ()
The Shanghai Stock Exchange changed its trading mechanism of the preceding three minutes to closing from continuous trading to call auction on August ......
期刊： QUANTITATIVE FINANCE, ; ()
We conduct a comprehensive study of the performance of leading backtesting procedures for expected shortfall. The tests differ in their analytical com......
期刊： QUANTITATIVE FINANCE, ; ()
Dynamic exposure and default contagion in the over-the-counter (OTC) market is considered in this paper to analyze the time-dependent priority of cent......
期刊： QUANTITATIVE FINANCE, 2021; 21 (5)
The statistical estimate of the branching ratio eta of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach cr......
期刊： QUANTITATIVE FINANCE, 2021; 21 (5)
An efficient way to implement quadratic hedging schemes for European options when the asset return process follows an asymmetric non-affine GARCH mode......
期刊： QUANTITATIVE FINANCE, 2020; 20 (8)
This paper studies the performance of pairs trading strategy under a specific spread model. Based on the empirical evidence of mean reversion and jump......
期刊： QUANTITATIVE FINANCE, 2020; 20 (8)
In this paper, we develop a new volatility model capturing the effects of macroeconomic variables and jump dynamics on the stock volatility. The propo......
期刊： QUANTITATIVE FINANCE, 2020; 20 (7)
The optimal stopping investment is a kind of mixed expected utility maximization problems with optimal stopping time. The aim of this paper is to deve......
期刊： QUANTITATIVE FINANCE, 2020; 20 (9)
When a portfolio consists of a large number of assets, it generally incorporates too many small and illiquid positions and needs a large amount of reb......
期刊： QUANTITATIVE FINANCE, 2020; 20 (10)
The covariance matrix of asset returns can change drastically and generate huge losses in portfolio value under extreme conditions such as market inte......
期刊： QUANTITATIVE FINANCE, 2020; 20 (9)
This paper studies optimal market making for large-tick assets in the presence of latency. We consider a random walk model for the asset price and for......
期刊： QUANTITATIVE FINANCE, 2020; 20 (10)
The pricing of American options is one of the most challenging problems in financial engineering due to the involved optimal stopping time problem, wh......
