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Quantitative Finance

Short Title: Quant. Finance
Publisher: Taylor & Francis (Routledge), Abingdon, Oxfordshire
ISSN: 1469-7688; 1469-7696/e
Online: http://www.tandfonline.com/loi/rquf20
Comments: Journal
Documents Indexed: 1,988 Publications (since 2001)
References Indexed: 1,870 Publications with 62,801 References.
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Authors

27 Sornette, Didier
24 Bouchaud, Jean-Philippe
23 Lillo, Fabrizio
22 Madan, Dilip B.
14 Dempster, Michael A. H.
14 Zumbach, Gilles O.
13 Elliott, Robert James
13 Gatheral, Jim
12 Bormetti, Giacomo
12 Fabozzi, Frank J.
11 Bayer, Christian
11 Farmer, James Doyne
10 Joshi, Mark S.
10 Platen, Eckhard
10 Schoutens, Wim
10 Siu, Tak Kuen
10 Stanley, H. Eugene
9 Brigo, Damiano
9 Cont, Rama
9 Härdle, Wolfgang Karl
9 Kwok, Yue-Kuen
9 Rebonato, Riccardo
8 Eberlein, Ernst W.
8 Gerlach, Richard H.
8 Wong, Hoi Ying
7 Abergel, Frédéric
7 Albanese, Claudio
7 Bacry, Emmanuel
7 Carr, Peter Paul
7 Challet, Damien
7 Crepey, Stephane
7 Friz, Peter
7 Hilliard, Jimmy E.
7 Hwang, Ruey-Ching
7 Kijima, Masaaki
7 Malevergne, Yannick
7 Muzy, Jean-François
6 Chiarella, Carl
6 Creamer, Germán G.
6 Fouque, Jean-Pierre
6 Grzelak, Lech A.
6 Jacquier, Antoine
6 Lee, Yongjae
6 Marsili, Matteo
6 Oomen, Roel C. A.
6 Oosterlee, Cornelis Willebrordus
6 Tunaru, Radu S.
6 Večeř, Jan
6 Zhou, Weixing
5 Alexander, Carol
5 Baviera, Roberto
5 Benzaquen, Michael
5 Cartea, Álvaro
5 Chu, Chih-Kang
5 Consigli, Giorgio
5 Cui, Zhenyu
5 Ewald, Christian-Oliver
5 Funahashi, Hideharu
5 Glasserman, Paul
5 Kim, Jeong-Hoon
5 Kim, Woo Chang
5 Levendorskiĭ, Sergeĭ Zakharovich
5 Li, Lingfei
5 Lorig, Matthew J.
5 Lütkebohmert, Eva
5 Ma, Jingtang
5 Mandelbrot, Benoit B.
5 Mastromatteo, Iacopo
5 Nadarajah, Saralees
5 Pallavicini, Andrea
5 Potters, Marc
5 Schoenmakers, John G. M.
5 Stübinger, Johannes
5 Takahashi, Akihiko
5 Tang, Ke
5 Tempone, Raúl F.
5 Thurner, Stefan
5 Yu, Philip Leung Ho
5 Zagst, Rudi
5 Zhou, Xunyu
5 Zhu, Songping
5 Ziemba, William T.
4 Avellaneda, Marco
4 Bellini, Fabio
4 Blomvall, Jörgen
4 Bo, Lijun
4 Bunn, Derek W.
4 Dai, Min
4 Dai, Tian-Shyr
4 Davis, Mark Herbert Ainsworth
4 Ding, Rui
4 Escobar, Marcos
4 Feigenbaum, James A.
4 Fujii, Masaaki
4 Fukasawa, Masaaki
4 Giacometti, Rosella
4 Grasselli, Martino
4 Guégan, Dominique
4 Guidolin, Massimo
4 Guillaume, Florence
...and 2,988 more Authors

Publications by Year

Citations contained in zbMATH Open

1,362 Publications have been cited 11,183 times in 7,037 Documents Cited by Year
Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174
Cont, R.
303
2001
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
203
2018
Pricing under rough volatility. Zbl 1465.91108
Bayer, Christian; Friz, Peter; Gatheral, Jim
132
2016
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
111
2010
An exact and explicit solution for the valuation of American put options. Zbl 1136.91468
Zhu, Song-Ping
109
2006
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
101
2010
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
91
2007
A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick
90
2010
High-frequency trading in a limit order book. Zbl 1152.91024
Avellaneda, Marco; Stoikov, Sasha
87
2008
Information and option pricings. Zbl 1405.91619
Guo, X.
86
2001
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
82
2013
Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438
Kraft, Holger
78
2005
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
71
2019
A multifactor volatility Heston model. Zbl 1152.91500
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
71
2008
No-dynamic-arbitrage and market impact. Zbl 1194.91208
Gatheral, Jim
68
2010
Pairs trading. Zbl 1134.91415
Elliott, Robert J.; van der Hoek, John; Malcolm, William P.
64
2005
Statistical arbitrage in the US equities market. Zbl 1194.91196
Avellaneda, Marco; Lee, Jeong-Hyun
64
2010
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, Wolfgang; Dias, Alexandra; Embrechts, Paul
63
2003
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
59
2014
A multivariate jump-driven financial asset model. Zbl 1134.91446
Luciano, Elisa; Schoutens, Wim
55
2006
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
54
2013
Portfolio selection with higher moments. Zbl 1195.91181
Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter
53
2010
Network topology of the interbank market. Zbl 1405.91729
Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan
51
2004
On elicitable risk measures. Zbl 1395.91506
Bellini, Fabio; Bignozzi, Valeria
50
2015
Deep hedging. Zbl 1420.91450
Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B.
50
2019
Arbitrage-free SVI volatility surfaces. Zbl 1308.91187
Gatheral, Jim; Jacquier, Antoine
50
2014
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
49
2014
Probability distribution of returns in the Heston model with stochastic volatility. Zbl 1405.91734
Drǎgulescu, Adrian A.; Yakovenko, Victor M.
48
2002
Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes. Zbl 1405.91730
Bouchaud, Jean-Philippe; Gefen, Yuval; Potters, Marc; Wyart, Matthieu
48
2004
Hierarchies of Archimedean copulas. Zbl 1270.91086
Savu, Cornelia; Trede, Mark
48
2010
Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425
Hobson, David; Laurence, Peter; Wang, Tai-Ho
48
2005
Valuation of energy storage: an optimal switching approach. Zbl 1203.91286
Carmona, René; Ludkovski, Michael
47
2010
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
46
2017
Limit order books. Zbl 1284.91584
Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D.
45
2013
Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450
Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph
45
2005
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
43
2002
Higher moment coherent risk measures. Zbl 1190.91074
Krokhmal, Pavlo A.
43
2007
Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. Zbl 1405.91559
Jobst, N. J.; Horniman, M. D.; Lucas, C. A.; Mitra, G.
42
2001
A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130
Zeng, Xudong; Taksar, Michael
42
2013
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
42
2006
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
41
2001
Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387
Musiela, M.; Zariphopoulou, T.
41
2009
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
40
2014
Multi-scaling in finance. Zbl 1278.91118
di Matteo, T.
39
2007
The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072
Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien
38
2012
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
38
2014
Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701
Anand, Kartik; Craig, Ben; von Peter, Goetz
37
2015
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
37
2008
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
36
2011
Optimal positioning in derivative securities. Zbl 1405.91599
Carr, P.; Madan, D.
35
2001
Statistical theory of the continuous double auction. Zbl 1405.91241
Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya
35
2003
Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172
Fengler, Matthias R.
35
2009
Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181
Moreni, N.; Pallavicini, A.
34
2014
Financial markets as nonlinear adaptive evolutionary systems. Zbl 1405.91624
Hommes, C. H.
33
2001
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
33
2005
Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156
Drimus, Gabriel G.
33
2012
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
33
2007
A jump telegraph model for option pricing. Zbl 1151.91535
Ratanov, Nikita
33
2007
A multi-quality model of interest rates. Zbl 1158.91353
Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony
33
2009
Asymptotics and calibration of local volatility models. Zbl 1405.91586
Berestycki, H.; Busca, J.; Florent, I.
32
2002
Statistical properties of stock order books: empirical results and models. Zbl 1408.62172
Bouchaud, Jean-Philippe; Mézard, Marc; Potters, Marc
32
2002
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Zbl 1192.91177
Jeannin, Marc; Pistorius, Martijn
32
2010
Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431
Kahl, Christian; Jäckel, Peter
32
2006
Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445
Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B.
31
2019
Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112
Chronopoulou, Alexandra; Viens, Frederi G.
31
2012
Order book approach to price impact. Zbl 1134.91379
Weber, P.; Rosenow, B.
31
2005
Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171
Bingham, N. H.; Kiesel, Rüdiger
30
2002
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558
Højgaard, Bjarne; Taksar, Michael
30
2004
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
30
2011
Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176
Hambly, Ben; Howison, Sam; Kluge, Tino
30
2009
Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139
Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam
30
2007
Lifting the Heston model. Zbl 1441.91093
Jaber, Eduardo Abi
29
2019
Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217
Bo, Lijun; Wang, Yongjin; Yang, Xuewei
29
2011
Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426
Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank
29
2006
Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430
Broadie, Mark; Cao, Menghui
29
2008
The multiplex structure of interbank networks. Zbl 1398.91703
Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F.
28
2015
Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction. Zbl 1405.91251
Choulli, T.; Taksar, M.; Zhou, X. Y.
28
2001
A theory of non-Gaussian option pricing. Zbl 1405.91587
Borland, Lisa
28
2002
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen
28
2012
Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137
Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A.
28
2007
A new well-posed algorithm to recover implied local volatility. Zbl 1405.91626
Jiang, Lishang; Chen, Qihong; Wang, Lijun; Zhang, Jin E.
27
2003
Extension of stochastic volatility equity models with the Hull-White interest rate process. Zbl 1241.91124
Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha
27
2012
Asset price and wealth dynamics under heterogeneous expectations. Zbl 1405.91218
Chiarella, C.; He, X.-Z.
26
2001
Dynamical pricing of weather derivatives. Zbl 1405.91595
Brody, Dorje C.; Syroka, Joanna; Zervos, Mihail
26
2002
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160
Elliott, Robert J.; Lian, Guang-Hua
26
2013
Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551
Malevergne, Y.; Pisarenko, V.; Sornette, D.
26
2005
Feller processes of normal inverse Gaussian type. Zbl 1405.91582
Barndorff-Nielsen, O. E.; Levendorskii, S. Z.
25
2001
Testing the Gaussian copula hypothesis for financial assets dependences. Zbl 1408.62177
Malevergne, Y.; Sornette, D.
25
2003
Riding on the smiles. Zbl 1277.91176
da Fonseca, José; Grasselli, Martino
25
2011
On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181
Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei
25
2011
Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415
Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc
25
2006
A simulation analysis of the microstructure of double auction markets. Zbl 1405.91226
Chiarella, Carl; Iori, Giulia
24
2002
Optimal execution with limit and market orders. Zbl 1406.91403
Cartea, Álvaro; Jaimungal, Sebastian
24
2015
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity. Zbl 1281.91083
Bianchi, S.; Pantanella, A.; Pianese, A.
24
2013
Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162
Feinstein, Zachary; Rudloff, Birgit
24
2013
An empirical analysis of multivariate copula models. Zbl 1180.91314
Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian
24
2009
Risk-sensitive benchmarked asset management. Zbl 1140.91383
Davis, Mark; Lleo, Sébastien
24
2008
A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573
Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David
23
2015
Rank reduction of correlation matrices by majorization. Zbl 1405.91647
Pietersz, Raoul; Groenen, Patrick J. F.
23
2004
Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333
Grabchak, Michael; Samorodnitsky, Gennady
23
2010
A two-step framework for arbitrage-free prediction of the implied volatility surface. Zbl 1518.91290
Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu
2
2023
Horizon effect on optimal retirement decision. Zbl 1518.91222
Jeon, Junkee; Kwak, Minsuk; Park, Kyunghyun
2
2023
W-shaped implied volatility curves and the Gaussian mixture model. Zbl 1518.91279
Glasserman, Paul; Pirjol, Dan
2
2023
Volatility is (mostly) path-dependent. Zbl 1522.91275
Guyon, Julien; Lekeufack, Jordan
1
2023
Large-scale financial planning via a partially observable stochastic dual dynamic programming framework. Zbl 1522.91229
Lee, Jinkyu; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang
1
2023
Markovian approximations of stochastic Volterra equations with the fractional kernel. Zbl 1518.91311
Bayer, Christian; Breneis, Simon
1
2023
The EWMA Heston model. Zbl 1518.91264
Parent, Léo
1
2023
Empirical deep hedging. Zbl 1518.91287
Mikkilä, Oskari; Kanniainen, Juho
1
2023
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures. Zbl 1518.91316
Wang, Chao; Gerlach, Richard; Chen, Qian
1
2023
Integrating prediction in mean-variance portfolio optimization. Zbl 1518.91237
Butler, Andrew; Kwon, Roy H.
1
2023
Optimal asset allocation for commodity sovereign wealth funds. Zbl 1518.91242
Irarrazabal, Alfonso A.; Ma, Lin; Parra-Alvarez, Juan Carlos
1
2023
A data-driven deep learning approach for options market making. Zbl 1519.91263
Lai, Qianhui; Gao, Xuefeng; Li, Lingfei
1
2023
Delta hedging bitcoin options with a smile. Zbl 1519.91252
Alexander, Carol; Imeraj, Arben
1
2023
Quantitative reverse stress testing, bottom up. Zbl 1519.91233
Albanese, Claudio; Crépey, Stéphane; Iabichino, Stefano
1
2023
The timing of debt renegotiation and its implications for irreversible investment and capital structure. Zbl 1519.91285
Yang, Zhaojun; Zhu, Nanhui
1
2023
Weighted variance swaps hedge against impermanent loss. Zbl 07721479
Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus
1
2023
Decomposing LIBOR in transition: evidence from the futures markets. Zbl 1520.91394
Skov, Jacob Bjerre; Skovmand, David
1
2023
A statistical test of market efficiency based on information theory. Zbl 1520.91381
Brouty, Xavier; Garcin, Matthieu
1
2023
Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures. Zbl 07761999
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng
1
2023
Multivariate systemic risk measures and computation by deep learning algorithms. Zbl 07762000
Doldi, A.; Feng, Y.; Fouque, J.-P.; Frittelli, M.
1
2023
A transform-based method for pricing Asian options under general two-dimensional models. Zbl 07778535
Zhang, Weinan; Zeng, Pingping
1
2023
State-dependent Hawkes processes and their application to limit order book modelling. Zbl 1490.91199
Morariu-Patrichi, Maxime; Pakkanen, Mikko S.
6
2022
Learning a functional control for high-frequency finance. Zbl 1505.91370
Leal, L.; Lauriere, M.; Lehalle, C.-A.
5
2022
Short-dated smile under rough volatility: asymptotics and numerics. Zbl 1487.91137
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo
4
2022
Optimal trade execution for Gaussian signals with power-law resilience. Zbl 1487.91131
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin
4
2022
Forecasting with fractional Brownian motion: a financial perspective. Zbl 1497.91289
Garcin, Matthieu
4
2022
Sparse index clones via the sorted \(\ell_1\)-norm. Zbl 1484.91430
Kremer, Philipp J.; Brzyski, Damian; Bogdan, Małgorzata; Paterlini, Sandra
3
2022
A fast algorithm for simulation of rough volatility models. Zbl 1490.91218
Ma, Jingtang; Wu, Haofei
3
2022
Additive normal tempered stable processes for equity derivatives and power-law scaling. Zbl 1490.91206
Azzone, Michele; Baviera, Roberto
3
2022
Drawdown beta and portfolio optimization. Zbl 1497.91274
Ding, Rui; Uryasev, Stan
3
2022
Optimal asset allocation for outperforming a stochastic benchmark target. Zbl 1505.91354
Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray
3
2022
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets. Zbl 1500.91139
Rømer, Sigurd Emil
3
2022
The optimal payoff for a Yaari investor. Zbl 1500.91119
Boudt, K.; Dragun, K.; Vanduffel, S.
3
2022
Equal risk pricing and hedging of financial derivatives with convex risk measures. Zbl 1484.91485
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng
2
2022
Distributionally robust portfolio optimization with linearized STARR performance measure. Zbl 1484.91427
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang
2
2022
Lifetime consumption and investment with housing, deferred annuities and home equity release. Zbl 1484.91388
Jang, Chul; Owadally, Iqbal; Clare, Andrew; Kashif, Muhammad
2
2022
Portfolio optimization with a prescribed terminal wealth distribution. Zbl 1484.91422
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei
2
2022
Errata to: “Instantaneous portfolio theory”. Zbl 1490.91189
Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
2
2022
On the investment strategies in occupational pension plans. Zbl 1491.91104
Bosserhoff, F.; Chen, A.; Sørensen, N.; Stadje, M.
2
2022
How to build a cross-impact model from first principles: theoretical requirements and empirical results. Zbl 1491.91135
Tomas, Mehdi; Mastromatteo, Iacopo; Benzaquen, Michael
2
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What is the value of the cross-sectional approach to deep reinforcement learning? Zbl 1491.91113
Aboussalah, Amine Mohamed; Xu, Ziyun; Lee, Chi-Guhn
2
2022
Stationary increments reverting to a tempered fractional Lévy process (TFLP). Zbl 07562216
Madan, Dilip B.; Wang, King
2
2022
Robust deep hedging. Zbl 1497.91311
Lütkebohmert, Eva; Schmidt, Thorsten; Sester, Julian
2
2022
Dynamic quantile function models. Zbl 1500.91129
Chen, Wilson Ye; Peters, Gareth W.; Gerlach, Richard H.; Sisson, Scott A.
2
2022
AI-driven liquidity provision in OTC financial markets. Zbl 1518.91255
Cartea, Álvaro; Chang, Patrick; Mroczka, Mateusz; Oomen, Roel
1
2022
No arbitrage global parametrization for the eSSVI volatility surface. Zbl 1516.91067
Mingone, A.
1
2022
Cumulative market impact of consecutive orders over one and two days: how long does the market remember past trades? Zbl 1484.91446
Besson, Paul; Lasnier, Matthieu
1
2022
Kelly investing with downside risk control in a regime-switching market. Zbl 1484.91435
MacLean, Leonard; Zhao, Yonggan
1
2022
Liquidity fluctuations and the latent dynamics of price impact. Zbl 1484.91460
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; Livieri, Giulia
1
2022
Estimation risk and the implicit value of index-tracking. Zbl 1483.91213
Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed
1
2022
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm. Zbl 1484.91441
Zhang, Xin; Wu, Lan; Chen, Zhixue
1
2022
The impact of CoCo bonds on systemic risk considering liquidity risk. Zbl 1484.91482
Li, Ping; Guo, Yanhong; Meng, Hui
1
2022
The SINC way: a fast and accurate approach to Fourier pricing. Zbl 1487.91133
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; Rossi, Pietro
1
2022
Robust control in a rough environment. Zbl 1490.91183
Han, Bingyan; Ying Wong, Hoi
1
2022
Tempered stable processes with time-varying exponential tails. Zbl 1490.91214
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael
1
2022
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204
Asmussen, Søren; Bladt, Mogens
1
2022
A generalized Esscher transform for option valuation with regime switching risk. Zbl 1490.91212
Elliott, R. J.; Siu, T. K.
1
2022
Cheapest-to-deliver collateral: a common factor approach. Zbl 1496.91092
Wolf, F. L.; Grzelak, L. A.; Deelstra, G.
1
2022
Life insurance surrender and liquidity risks. Zbl 1491.91105
Chang, Hsiaoyin; Schmeiser, Hato
1
2022
Rating frailty, Bayesian updates, and portfolio credit risk analysis*. Zbl 1491.91155
Bu, Shang; Guo, Nan; Li, Lingfei
1
2022
Static replication of European standard dispersion options. Zbl 1491.91139
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew
1
2022
A new representation of the risk-neutral distribution and its applications. Zbl 1491.91141
Cui, Zhenyu; Xu, Yuewu
1
2022
On an irreversible investment problem with two-factor uncertainty. Zbl 1491.91160
Dammann, F.; Ferrari, G.
1
2022
International portfolio choice under multi-factor stochastic volatility. Zbl 1491.91117
Escobar-Anel, Marcos; Ferrando, Sebastian; Gschnaidtner, Christoph; Rubtsov, Alexey
1
2022
Some analytical results on bivariate stable distributions with an application in operational risk. Zbl 07562214
Tafakori, L.; Bee, M.; Soltani, A. R.
1
2022
Pairs trading under delayed cointegration. Zbl 1498.91425
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying
1
2022
Proof of non-convergence of the short-maturity expansion for the SABR model. Zbl 1500.91136
Lewis, Alan L.; Pirjol, Dan
1
2022
Optimal characteristic portfolios. Zbl 1500.91127
McGee, Richard J.; Olmo, Jose
1
2022
The effects of errors in means, variances, and correlations on the mean-variance framework. Zbl 1500.91121
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; Fabozzi, Frank J.
1
2022
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. Zbl 1479.91400
Horvath, Blanka; Muguruza, Aitor; Tomas, Mehdi
18
2021
Equal risk pricing of derivatives with deep hedging. Zbl 1476.91177
Carbonneau, Alexandre; Godin, Frédéric
14
2021
Volatility has to be rough. Zbl 1484.91474
Fukasawa, Masaaki
13
2021
\(G\)-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116
Pun, Chi Seng
11
2021
XVA analysis from the balance sheet. Zbl 1479.91387
Albanese, Claudio; Crépey, Stéphane; Hoskinson, Rodney; Saadeddine, Bouazza
11
2021
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions. Zbl 1479.91393
Chen, Yangang; Wan, Justin W. L.
10
2021
A Markov chain approximation scheme for option pricing under skew diffusions. Zbl 1466.91332
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin
7
2021
Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty. Zbl 1466.91277
Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang
5
2021
Algorithmic market making for options. Zbl 1479.91388
Baldacci, Bastien; Bergault, Philippe; Guéant, Olivier
5
2021
A functional analysis approach to the static replication of European options. Zbl 1477.91052
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew
5
2021
Joint effects of the liability network and portfolio overlapping on systemic financial risk: contagion and rescue. Zbl 1479.91432
Ma, J. L.; Zhu, S. S.; Wu, Y.
5
2021
A cost-effective approach to portfolio construction with range-based risk measures. Zbl 1466.91298
Pun, Chi Seng; Wang, Lei
4
2021
Effects of a government subsidy and labor flexibility on portfolio selection and retirement. Zbl 1479.91362
Park, Kyunghyun; Lee, Hyoseob; Shin, Yong Hyun
4
2021
Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes. Zbl 1479.91443
Fukasawa, Masaaki; Hirano, Asuto
4
2021
Static replication of barrier-type options via integral equations. Zbl 1466.91343
Kim, Kyoung-Kuk; Lim, Dong-Young
3
2021
Multivariate continuous-time modeling of wind indexes and hedging of wind risk. Zbl 1479.91390
Benth, Fred E.; Christensen, Troels S.; Rohde, Victor
3
2021
Rough volatility and CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime. (Rough volatility, CGMY jumps with a finite history and the rough Heston model – small-time asymptotics in the \(k\sqrt{t}\) regime.) Zbl 1477.91053
Forde, Martin; Smith, Benjamin; Viitasaari, Lauri
3
2021
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes. Zbl 1479.91386
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier
3
2021
Generative adversarial networks for financial trading strategies fine-tuning and combination. Zbl 1479.91431
Koshiyama, Adriano; Firoozye, Nick; Treleaven, Philip
3
2021
Uncertainty shocks of Trump election in an interval model of stock market. Zbl 1479.91383
Sun, Yuying; Qiao, Kenan; Wang, Shouyang
3
2021
A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints. Zbl 1466.91287
Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry
2
2021
Martingale transport with homogeneous stock movements. Zbl 1466.91334
Eckstein, Stephan; Kupper, Michael
2
2021
The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355
Cordi, Marcus; Challet, Damien; Kassibrakis, Serge
2
2021
Robust statistical arbitrage strategies. Zbl 1466.91345
Lütkebohmert, Eva; Sester, Julian
2
2021
Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units. Zbl 1466.91371
Dong, W.; Kang, B.
2
2021
Graph theoretical representations of equity indices and their centrality measures. Zbl 1476.91180
Di Cerbo, Luca F.; Taylor, Stephen
2
2021
Fractional stochastic volatility correction to CEV implied volatility. Zbl 1479.91403
Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon
2
2021
Artificial neural network for option pricing with and without asymptotic correction. Zbl 1479.91396
Funahashi, Hideharu
2
2021
Efficient computation of mean reverting portfolios using cyclical coordinate descent. Zbl 1479.91357
Griveau-Billion, T.; Calderhead, B.
2
2021
Optimal multi-asset trading with linear costs: a mean-field approach. Zbl 1467.91171
Emschwiller, Matt; Petit, Benjamin; Bouchaud, Jean-Philippe
1
2021
Pricing and hedging performance on pegged FX markets based on a regime switching model. Zbl 1464.91074
Zhang, Yunbo; Drapeau, Samuel
1
2021
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31 Elliott, Robert James
31 Sornette, Didier
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27 Schoutens, Wim
26 Cartea, Álvaro
26 Jacquier, Antoine
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25 Benth, Fred Espen
25 Forsyth, Peter A.
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24 Schied, Alexander
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14 Biagini, Francesca
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14 Deng, Zuicha
14 Escobar Anel, Marcos
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14 Härdle, Wolfgang Karl
14 Li, Xun
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14 Paterlini, Sandra
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14 Yuen, Kam Chuen
13 Bacry, Emmanuel
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13 Brigo, Damiano
13 Chiarella, Carl
13 Fukasawa, Masaaki
13 Fusai, Gianluca
13 Grabchak, Michael
13 Hu, Yijun
13 Jentzen, Arnulf
13 Levendorskiĭ, Sergeĭ Zakharovich
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