Quantitative Finance
A note on closed-form spread option valuation under log-normal models
Volume 25, Issue 1, January 2025, Page 143-160.
Quantitative Finance
Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing
Volume 25, Issue 1, January 2025, Page 117-141.
Quantitative Finance
A semi-parametric dynamic conditional correlation framework for risk forecasting
Volume 25, Issue 1, January 2025, Page 31-49.
Quantitative Finance
A new test of factor model for asset returns: based on pleiotropy model
Volume 25, Issue 1, January 2025, Page 91-115.
Quantitative Finance
NN de-Americanization: an efficient method to facilitate calibration of American-style options
Volume 25, Issue 1, January 2025, Page 1-16.
Quantitative Finance
An orthogonal expansion approach to joint SPX and VIX calibration in affine stochastic volatility models with jumps
Volume 25, Issue 1, January 2025, Page 63-89.