Cummins, Mark; Gogolin, Fabian; Kearney, Fearghal; Kiely, Greg; Murphy, Bernard Practice-relevant model validation: distributional parameter risk analysis in financial model risk management. (English) Zbl 07801442 Ann. Oper. Res. 330, No. 1-2, 431-455 (2023). MSC: 91B05 91G99 PDFBibTeX XMLCite \textit{M. Cummins} et al., Ann. Oper. Res. 330, No. 1--2, 431--455 (2023; Zbl 07801442) Full Text: DOI OA License
Le, Anh Tu; Le, Thai-Ha; Liu, Wai-Man; Fong, Kingsley Y. Dynamic limit order placement activities and their effects on stock market quality. (English) Zbl 07801432 Ann. Oper. Res. 330, No. 1-2, 155-175 (2023). MSC: 91G15 PDFBibTeX XMLCite \textit{A. T. Le} et al., Ann. Oper. Res. 330, No. 1--2, 155--175 (2023; Zbl 07801432) Full Text: DOI
Akyildirim, Erdinc; Hekimoglu, Alper A.; Sensoy, Ahmet; Fabozzi, Frank J. Extending the Merton model with applications to credit value adjustment. (English) Zbl 1528.91076 Ann. Oper. Res. 326, No. 1, 27-65 (2023). MSC: 91G40 35Q91 PDFBibTeX XMLCite \textit{E. Akyildirim} et al., Ann. Oper. Res. 326, No. 1, 27--65 (2023; Zbl 1528.91076) Full Text: DOI
Akyildirim, Erdinc; Fabozzi, Frank J.; Goncu, Ahmet; Sensoy, Ahmet Statistical arbitrage in jump-diffusion models with compound Poisson processes. (English) Zbl 1494.91166 Ann. Oper. Res. 313, No. 2, 1357-1371 (2022). MSC: 91G30 60J74 60G55 PDFBibTeX XMLCite \textit{E. Akyildirim} et al., Ann. Oper. Res. 313, No. 2, 1357--1371 (2022; Zbl 1494.91166) Full Text: DOI Link
Shao, Jinghai; Mitra, Sovan; Karathanasopoulos, Andreas Optimal feedback control of stock prices under credit risk dynamics. (English) Zbl 1494.91145 Ann. Oper. Res. 313, No. 2, 1285-1318 (2022). MSC: 91G15 91G40 91G45 93E20 93B52 PDFBibTeX XMLCite \textit{J. Shao} et al., Ann. Oper. Res. 313, No. 2, 1285--1318 (2022; Zbl 1494.91145) Full Text: DOI
Zheng, Kai; Li, Yuying; Xu, Weidong Regime switching model estimation: spectral clustering hidden Markov model. (English) Zbl 1476.62172 Ann. Oper. Res. 303, No. 1-2, 297-319 (2021). MSC: 62M02 62M05 62P05 60J60 91G10 PDFBibTeX XMLCite \textit{K. Zheng} et al., Ann. Oper. Res. 303, No. 1--2, 297--319 (2021; Zbl 1476.62172) Full Text: DOI
Chen, An; Nguyen, Thai; Rach, Manuel A collective investment problem in a stochastic volatility environment: the impact of sharing rules. (English) Zbl 1475.91325 Ann. Oper. Res. 302, No. 1, 85-109 (2021). MSC: 91G10 91G05 93E20 PDFBibTeX XMLCite \textit{A. Chen} et al., Ann. Oper. Res. 302, No. 1, 85--109 (2021; Zbl 1475.91325) Full Text: DOI
Cerqueti, Roy; Clemente, Gian Paolo; Grassi, Rosanna Systemic risk assessment through high order clustering coefficient. (English) Zbl 1473.91027 Ann. Oper. Res. 299, No. 1-2, 1165-1187 (2021). MSC: 91G45 PDFBibTeX XMLCite \textit{R. Cerqueti} et al., Ann. Oper. Res. 299, No. 1--2, 1165--1187 (2021; Zbl 1473.91027) Full Text: DOI arXiv Link
Flori, Andrea; Giansante, Simone; Girardone, Claudia; Pammolli, Fabio Banks’ business strategies on the edge of distress. (English) Zbl 1477.62291 Ann. Oper. Res. 299, No. 1-2, 481-530 (2021). MSC: 62P05 62H30 91G70 PDFBibTeX XMLCite \textit{A. Flori} et al., Ann. Oper. Res. 299, No. 1--2, 481--530 (2021; Zbl 1477.62291) Full Text: DOI
Morelli, Giacomo Fair prices under a unified lattice approach for interest rate derivatives. (English) Zbl 1473.91023 Ann. Oper. Res. 299, No. 1-2, 429-441 (2021). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{G. Morelli}, Ann. Oper. Res. 299, No. 1--2, 429--441 (2021; Zbl 1473.91023) Full Text: DOI
Lassance, Nathan; Vrins, Frédéric Minimum Rényi entropy portfolios. (English) Zbl 1476.91153 Ann. Oper. Res. 299, No. 1-2, 23-46 (2021). MSC: 91G10 94A17 91G70 PDFBibTeX XMLCite \textit{N. Lassance} and \textit{F. Vrins}, Ann. Oper. Res. 299, No. 1--2, 23--46 (2021; Zbl 1476.91153) Full Text: DOI arXiv
Tzagkarakis, George; Maurer, Frantz An energy-based measure for long-run horizon risk quantification. (English) Zbl 1497.91346 Ann. Oper. Res. 289, No. 2, 363-390 (2020). MSC: 91G70 PDFBibTeX XMLCite \textit{G. Tzagkarakis} and \textit{F. Maurer}, Ann. Oper. Res. 289, No. 2, 363--390 (2020; Zbl 1497.91346) Full Text: DOI
Bihary, Zsolt; Csóka, Péter; Szabó, Dávid Zoltán Spectral risk measure of holding stocks in the long run. (English) Zbl 1457.91419 Ann. Oper. Res. 295, No. 1, 75-89 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 91G15 60G51 PDFBibTeX XMLCite \textit{Z. Bihary} et al., Ann. Oper. Res. 295, No. 1, 75--89 (2020; Zbl 1457.91419) Full Text: DOI
Bonaccolto, Giovanni; Paterlini, Sandra Developing new portfolio strategies by aggregation. (English) Zbl 1470.91236 Ann. Oper. Res. 292, No. 2, 933-971 (2020). Reviewer: Jacek Jakubowski (Warszawa) MSC: 91G10 PDFBibTeX XMLCite \textit{G. Bonaccolto} and \textit{S. Paterlini}, Ann. Oper. Res. 292, No. 2, 933--971 (2020; Zbl 1470.91236) Full Text: DOI
Valladão, Davi; Silva, Thuener; Poggi, Marcus Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns. (English) Zbl 1430.91092 Ann. Oper. Res. 282, No. 1-2, 379-405 (2019). MSC: 91G10 90C15 90C39 PDFBibTeX XMLCite \textit{D. Valladão} et al., Ann. Oper. Res. 282, No. 1--2, 379--405 (2019; Zbl 1430.91092) Full Text: DOI
McGroarty, Frank; Booth, Ash; Gerding, Enrico; Chinthalapati, V. L. Raju High frequency trading strategies, market fragility and price spikes: an agent based model perspective. (English) Zbl 1434.62224 Ann. Oper. Res. 282, No. 1-2, 217-244 (2019). MSC: 62P05 91G70 62M10 62G32 PDFBibTeX XMLCite \textit{F. McGroarty} et al., Ann. Oper. Res. 282, No. 1--2, 217--244 (2019; Zbl 1434.62224) Full Text: DOI
Callegaro, Giorgia; Fiorin, Lucio; Grasselli, Martino Quantization meets Fourier: a new technology for pricing options. (English) Zbl 1433.91171 Ann. Oper. Res. 282, No. 1-2, 59-86 (2019). MSC: 91G20 60J76 42A38 PDFBibTeX XMLCite \textit{G. Callegaro} et al., Ann. Oper. Res. 282, No. 1--2, 59--86 (2019; Zbl 1433.91171) Full Text: DOI
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stavros A. Portfolio diversification in the sovereign credit swap markets. (English) Zbl 1417.91444 Ann. Oper. Res. 266, No. 1-2, 5-33 (2018). MSC: 91G10 91G20 91G40 91G70 PDFBibTeX XMLCite \textit{A. Consiglio} et al., Ann. Oper. Res. 266, No. 1--2, 5--33 (2018; Zbl 1417.91444) Full Text: DOI
Perera, Sandun; Buckley, Winston; Long, Hongwei Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps. (English) Zbl 1391.91127 Ann. Oper. Res. 262, No. 1, 213-238 (2018). MSC: 91B64 91G80 60J75 93E20 PDFBibTeX XMLCite \textit{S. Perera} et al., Ann. Oper. Res. 262, No. 1, 213--238 (2018; Zbl 1391.91127) Full Text: DOI
Temocin, Busra Zeynep; Korn, Ralf; Selcuk-Kestel, A. Sevtap Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading. (English) Zbl 1404.91147 Ann. Oper. Res. 260, No. 1-2, 515-544 (2018). MSC: 91B30 PDFBibTeX XMLCite \textit{B. Z. Temocin} et al., Ann. Oper. Res. 260, No. 1--2, 515--544 (2018; Zbl 1404.91147) Full Text: DOI
Mercuri, Lorenzo; Rroji, Edit Risk parity for mixed tempered stable distributed sources of risk. (English) Zbl 1404.91247 Ann. Oper. Res. 260, No. 1-2, 375-393 (2018). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{L. Mercuri} and \textit{E. Rroji}, Ann. Oper. Res. 260, No. 1--2, 375--393 (2018; Zbl 1404.91247) Full Text: DOI Link
Kürüm, Efsun; Weber, Gerhard-Wilhelm; Iyigun, Cem Early warning on stock market bubbles via methods of optimization, clustering and inverse problems. (English) Zbl 1381.90086 Ann. Oper. Res. 260, No. 1-2, 293-320 (2018). MSC: 90C30 90C90 PDFBibTeX XMLCite \textit{E. Kürüm} et al., Ann. Oper. Res. 260, No. 1--2, 293--320 (2018; Zbl 1381.90086) Full Text: DOI
Chevallier, Julien; Goutte, Stéphane Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching. (English) Zbl 1382.60072 Ann. Oper. Res. 255, No. 1-2, 169-197 (2017). MSC: 60G51 60H35 62G05 62G10 PDFBibTeX XMLCite \textit{J. Chevallier} and \textit{S. Goutte}, Ann. Oper. Res. 255, No. 1--2, 169--197 (2017; Zbl 1382.60072) Full Text: DOI
Atakan, Semih; Bülbül, Kerem; Noyan, Nilay Minimizing value-at-risk in single-machine scheduling. (English) Zbl 1357.90062 Ann. Oper. Res. 248, No. 1-2, 25-73 (2017). MSC: 90B36 90C15 PDFBibTeX XMLCite \textit{S. Atakan} et al., Ann. Oper. Res. 248, No. 1--2, 25--73 (2017; Zbl 1357.90062) Full Text: DOI Link
Cont, Rama; Minca, Andreea Credit default swaps and systemic risk. (English) Zbl 1406.91471 Ann. Oper. Res. 247, No. 2, 523-547 (2016). MSC: 91G40 91G20 PDFBibTeX XMLCite \textit{R. Cont} and \textit{A. Minca}, Ann. Oper. Res. 247, No. 2, 523--547 (2016; Zbl 1406.91471) Full Text: DOI Link