Quantitative Finance
Functional quantization of rough volatility and applications to volatility derivatives
Volume 23, Issue 12, December 2023, Page 1769-1792.
Quantitative Finance
Centred expected shortfall (CES): a traditional asset manager’s view on decomposing downside investment risk
Volume 24, Issue 1, January 2024, Page 83-104.
Quantitative Finance
Bubbles and dependence between international equity markets
Volume 24, Issue 1, January 2024, Page 119-138.
Quantitative Finance
A model of dynamic information production for initial public offerings
Volume 24, Issue 1, January 2024, Page 157-174.
Quantitative Finance
Machine Learning and Data Sciences for Financial Markets: A Guide to Contemporary Practices
Volume 23, Issue 12, December 2023, Page 1729-1730.
Quantitative Finance
Effective stochastic local volatility models
Volume 23, Issue 12, December 2023, Page 1731-1750.
Quantitative Finance
Rule-based trading on an order-driven exchange: a reassessment
Volume 23, Issue 12, December 2023, Page 1871-1886.
Quantitative Finance
A basket half full: sparse portfolios
Volume 23, Issue 12, December 2023, Page 1833-1852.
Quantitative Finance
Mind the cap!—constrained portfolio optimisation in Heston’s stochastic volatility model
Volume 23, Issue 12, December 2023, Page 1793-1813.