QUANTITATIVE FINANCE

The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach

Optimal investment and consumption under a continuous-time cointegration model with exponential utility

Tightening robust price bounds for exotic derivatives

Internalisation by electronic FX spot dealers

Generative Bayesian neural network model for risk-neutral pricing of American index options

On the predictability of stock market bubbles: evidence from LPPLS confidence multi-scale indicators

On the seasonality in the implied volatility of electricity options

Encoding of high-frequency order information and prediction of short-term stock price by deep learning

Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design

Stock market uncertainty and economic fundamentals: an entropy-based approach

Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction

Enhancing the momentum strategy through deep regression

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Risk parity portfolio optimization under a Markov regime-switching framework

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method

Real options maximizing survival probability under incomplete markets

Closed-form Arrow-Debreu pricing for the Hull-White short rate model

Simulation-based Value-at-Risk for nonlinear portfolios

Forecasting trade durations via ACD models with mixture distributions

American option pricing under the double Heston model based on asymptotic expansion

The principle of not feeling the boundary for the SABR model

Forecasting realised volatility using ARFIMA and HAR models

Volatility modeling and prediction: the role of price impact

Agricultural commodity futures trading based on cross-country rolling quantile return signals

On being a student of Ken Arrow

Structural asset pricing theory with wavelets

Weighing asset pricing factors: a least squares model averaging approach

Dynamics of foreign exchange implied volatility and implied correlation surfaces

Risk discriminating portfolio optimization

Model-driven statistical arbitrage on LETF option markets

An agent-based model for the assessment of LTV caps

Pricing and hedging performance on pegged FX markets based on a regime switching model

Stochastic regularization for the mean-variance allocation scheme

Price signatures

On the efficacy of stop-loss rules in the presence of overnight gaps

Path-breaking contributions of K. J. Arrow

American-type basket option pricing: a simple two-dimensional partial differential equation

Challenging the robustness of optimal portfolio investment with moving average-based strategies

Deep learning for limit order books

A systematic and efficient simulation scheme for the Greeks of financial derivatives

Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx

Predicting corporate bankruptcy using the framework of Leland-Toft: evidence from U.S.

Market making with minimum resting times

The implied Sharpe ratio

Election predictions are arbitrage-free: response to Taleb

Lifting the Heston model

The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions