Publications and grants

Research Institute of Quantitative Finance


Publications and forthcoming papers of our members in the fields of quantitative finance, financial mathematics and financial engineering:

  • A Stochastic Model for Commodity Pairs Trading (2016) Quantitative Finance (forthcoming) (A. Goncu, E. Akyildirim)
  • Variance-Gamma and Normal-Inverse Gaussian Models: Goodness-of-fit to Chinese high-frequency index returns, North American Journal of Economics and Finance (forthcoming), A. Goncu, H. Yang
  • A Comparative Goodness-of-fit Analysis of Distributions of Some Levy Processes and Heston Model to Stock Index Returns, North American Journal of Economics and Finance (forthcoming), A. Goncu, M.O. Karahan, and T.U. Kuzubas
  • The economic significance of CDS price discovery, Review of Quantitative Finance and Accounting (forthcoming), Chng, M., Fang, V., Xiang, V.
  • Hedging industrial metals with stochastic volatility models, Journal of Futures Markets,Chng, M., Liu, Q., Xu, D.
  • Beta asymmetry and higher moments: Evidence from Australia, Accounting and Finance, Chng, M., Doan, M., Lin, C.T.
  • Statistical Arbitrage with Pairs Trading, International Review of Finance, A. Goncu and E. Akyildirim
  • Statistical Arbitrage in Jump-Diffusion Models with Compound Poisson Processes, working paper, A. Goncu and E. Akyildirim
  • How do risk attitudes of clearing firms matter for managing default exposure in futures markets?, European Journal of Finance, J. Cheng, Y. Hong, and J. Tao
  • Statistical Arbitrage in the Black-Scholes Framework, Quantitative Finance, A. Goncu
  • Estimating Sensitivities of Temperature-Based Weather Derivatives, Applied Economics, W. Yuan, A. Goncu, and G. Okten
  • Efficient simulation of a multi-factor stochastic volatility model, Journal of Computational and Applied Mathematics, A. Goncu and G. Okten
  • On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo, Mathematical and Computer Modeling, G. Okten, E. Salta, and A. Goncu
  • Pricing Futures and Options on a Basket of Temperature Indices, Review of Futures Markets, A. Goncu and Z. Lu
  • Variance Reduction for Asian Options under a General Model Framework, Review of Finance, K. D. Dingeç, H. Sak, and Wolfgang Hörmann
  • Fast simulations in credit risk, Quantitative Finance, H. Sak and W. Hörmann
  • Valuation Bounds on Barrier Options Under Model Uncertainty, Journal of Futures, Y. Hong
  • Arbitrage Bounds on Currency Basket Options, Working paper, Y. Hong
  • Yield Curve Forecasting with the Burg model. To appear in Journal of Forecasting, Rostan, P., Belhachemi, R., Racicot, F. (2016)
  • Modelling Conditional Moments and Correlation with the Continuous Hidden-Threshold-Skew-Normal Distribution. Applied Economics, 47 (51), 5461-5475, Belhachemi, R., Rostan, P., Racicot, F. (2015)


Ministry of Education grant:
Project Title: Margin setting and performance evaluation from the perspective of option pricing (No. 15YJC790026)
PI: Dr Yi Hong

Research Development Fund, XJTLU:
PI: Dr Rachid Belhachemi

Research Development Fund, XJTLU:
Project Title: Quasi-Monte Carlo Methods in Market Risk Management
PI: Dr H. Sak Co-PI: Dr A. Goncu