Dupret, Jean-Loup; Hainaut, Donatien A subdiffusive stochastic volatility jump model. (English) Zbl 1520.91401 Quant. Finance 23, No. 6, 979-1002 (2023). MSC: 91G20 35Q84 35R11 PDFBibTeX XMLCite \textit{J.-L. Dupret} and \textit{D. Hainaut}, Quant. Finance 23, No. 6, 979--1002 (2023; Zbl 1520.91401) Full Text: DOI
Aguilar, Jean-Philippe; Kirkby, Justin Lars Closed-form option pricing for exponential Lévy models: a residue approach. (English) Zbl 1518.91270 Quant. Finance 23, No. 2, 251-278 (2023). MSC: 91G20 60G51 44A10 PDFBibTeX XMLCite \textit{J.-P. Aguilar} and \textit{J. L. Kirkby}, Quant. Finance 23, No. 2, 251--278 (2023; Zbl 1518.91270) Full Text: DOI
Tafakori, L.; Bee, M.; Soltani, A. R. Some analytical results on bivariate stable distributions with an application in operational risk. (English) Zbl 07562214 Quant. Finance 22, No. 7, 1355-1369 (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{L. Tafakori} et al., Quant. Finance 22, No. 7, 1355--1369 (2022; Zbl 07562214) Full Text: DOI
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael Tempered stable processes with time-varying exponential tails. (English) Zbl 1490.91214 Quant. Finance 22, No. 3, 541-561 (2022). MSC: 91G20 60G51 62P05 PDFBibTeX XMLCite \textit{Y. S. Kim} et al., Quant. Finance 22, No. 3, 541--561 (2022; Zbl 1490.91214) Full Text: DOI arXiv
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei Portfolio optimization with a prescribed terminal wealth distribution. (English) Zbl 1484.91422 Quant. Finance 22, No. 2, 333-347 (2022). MSC: 91G10 93E20 35Q84 91G80 PDFBibTeX XMLCite \textit{I. Guo} et al., Quant. Finance 22, No. 2, 333--347 (2022; Zbl 1484.91422) Full Text: DOI arXiv
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang Distributionally robust portfolio optimization with linearized STARR performance measure. (English) Zbl 1484.91427 Quant. Finance 22, No. 1, 113-127 (2022). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{R. Ji} et al., Quant. Finance 22, No. 1, 113--127 (2022; Zbl 1484.91427) Full Text: DOI
Bo, Lijun; Liu, Yanchu; Zhang, Tingting Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing. (English) Zbl 1479.91371 Quant. Finance 21, No. 7, 1187-1206 (2021). MSC: 91G15 91G45 PDFBibTeX XMLCite \textit{L. Bo} et al., Quant. Finance 21, No. 7, 1187--1206 (2021; Zbl 1479.91371) Full Text: DOI
Bianchi, Michele Leonardo; Tassinari, Gian Luca Forward-looking portfolio selection with multivariate non-Gaussian models. (English) Zbl 1454.91212 Quant. Finance 20, No. 10, 1645-1661 (2020). MSC: 91G10 PDFBibTeX XMLCite \textit{M. L. Bianchi} and \textit{G. L. Tassinari}, Quant. Finance 20, No. 10, 1645--1661 (2020; Zbl 1454.91212) Full Text: DOI
Yatigammana, R. P.; Chan, J. S. K.; Gerlach, R. H. Forecasting trade durations via ACD models with mixture distributions. (English) Zbl 1441.62270 Quant. Finance 19, No. 12, 2051-2067 (2019). MSC: 62P05 62M10 91G70 PDFBibTeX XMLCite \textit{R. P. Yatigammana} et al., Quant. Finance 19, No. 12, 2051--2067 (2019; Zbl 1441.62270) Full Text: DOI
Novales, Alfonso; Garcia-Jorcano, Laura Backtesting extreme value theory models of expected shortfall. (English) Zbl 1420.91493 Quant. Finance 19, No. 5, 799-825 (2019). MSC: 91G40 60G70 PDFBibTeX XMLCite \textit{A. Novales} and \textit{L. Garcia-Jorcano}, Quant. Finance 19, No. 5, 799--825 (2019; Zbl 1420.91493) Full Text: DOI Link
Wang, Chao; Chen, Qian; Gerlach, Richard Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution. (English) Zbl 1428.62467 Quant. Finance 19, No. 6, 1017-1042 (2019). MSC: 62P05 62M10 62N05 65C05 PDFBibTeX XMLCite \textit{C. Wang} et al., Quant. Finance 19, No. 6, 1017--1042 (2019; Zbl 1428.62467) Full Text: DOI arXiv
Giner, Javier; Aguilar, Judit Mendoza; Morini-Marrero, Sandra Correlation as probability: applications of Sheppard’s formula to financial assets. (English) Zbl 1406.62115 Quant. Finance 18, No. 5, 777-787 (2018). MSC: 62P05 62H12 PDFBibTeX XMLCite \textit{J. Giner} et al., Quant. Finance 18, No. 5, 777--787 (2018; Zbl 1406.62115) Full Text: DOI
Wang, Chou-Wen; Yang, Sharon S.; Huang, Jr-Wei Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance. (English) Zbl 1402.91820 Quant. Finance 17, No. 10, 1567-1581 (2017). MSC: 91G20 91B30 60G51 PDFBibTeX XMLCite \textit{C.-W. Wang} et al., Quant. Finance 17, No. 10, 1567--1581 (2017; Zbl 1402.91820) Full Text: DOI
Packham, N.; Papenbrock, J.; Schwendner, P.; Woebbeking, F. Tail-risk protection trading strategies. (English) Zbl 1402.91726 Quant. Finance 17, No. 5, 729-744 (2017). MSC: 91G10 62M10 62P05 PDFBibTeX XMLCite \textit{N. Packham} et al., Quant. Finance 17, No. 5, 729--744 (2017; Zbl 1402.91726) Full Text: DOI
Niu, Huawei; Wang, Dingcheng Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy. (English) Zbl 1468.91172 Quant. Finance 16, No. 7, 1129-1145 (2016). MSC: 91G20 60J74 91G40 PDFBibTeX XMLCite \textit{H. Niu} and \textit{D. Wang}, Quant. Finance 16, No. 7, 1129--1145 (2016; Zbl 1468.91172) Full Text: DOI
Fallahgoul, Hassan A.; Kim, Young S.; Fabozzi, Frank J. Elliptical tempered stable distribution. (English) Zbl 1469.60062 Quant. Finance 16, No. 7, 1069-1087 (2016). MSC: 60E07 26A33 62H05 62P05 PDFBibTeX XMLCite \textit{H. A. Fallahgoul} et al., Quant. Finance 16, No. 7, 1069--1087 (2016; Zbl 1469.60062) Full Text: DOI
Peng, Yijie; Fu, Michael C.; Hu, Jian-Qiang Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions. (English) Zbl 1405.62147 Quant. Finance 16, No. 9, 1393-1411 (2016). MSC: 62P05 62M05 60G51 PDFBibTeX XMLCite \textit{Y. Peng} et al., Quant. Finance 16, No. 9, 1393--1411 (2016; Zbl 1405.62147) Full Text: DOI
Xiao, Yugu; Valdez, Emiliano A. A Black-Litterman asset allocation model under elliptical distributions. (English) Zbl 1398.62330 Quant. Finance 15, No. 3, 509-519 (2015). MSC: 62P05 91G10 62E10 PDFBibTeX XMLCite \textit{Y. Xiao} and \textit{E. A. Valdez}, Quant. Finance 15, No. 3, 509--519 (2015; Zbl 1398.62330) Full Text: DOI
González-Pedraz, Carlos; Moreno, Manuel; Peña, Juan Ignacio Portfolio selection with commodities under conditional copulas and skew preferences. (English) Zbl 1398.62300 Quant. Finance 15, No. 1, 151-170 (2015). MSC: 62P05 91G10 62H05 PDFBibTeX XMLCite \textit{C. González-Pedraz} et al., Quant. Finance 15, No. 1, 151--170 (2015; Zbl 1398.62300) Full Text: DOI
Bosc, Damien; Galichon, Alfred Extreme dependence for multivariate data. (English) Zbl 1402.62248 Quant. Finance 14, No. 7, 1187-1199 (2014). MSC: 62P05 62H10 91G10 91G20 PDFBibTeX XMLCite \textit{D. Bosc} and \textit{A. Galichon}, Quant. Finance 14, No. 7, 1187--1199 (2014; Zbl 1402.62248) Full Text: DOI arXiv Link
Zumbach, Gilles; Fernández, Luis; Weber, Caroline Processes for stocks capturing their statistical properties from one day to one year. (English) Zbl 1308.91196 Quant. Finance 14, No. 5, 849-861 (2014). MSC: 91G70 91B84 PDFBibTeX XMLCite \textit{G. Zumbach} et al., Quant. Finance 14, No. 5, 849--861 (2014; Zbl 1308.91196) Full Text: DOI
Lejeune, Miguel A. A VaR Black-Litterman model for the construction of absolute return fund-of-funds. (English) Zbl 1258.91200 Quant. Finance 11, No. 10, 1489-1501 (2011). MSC: 91G10 91G70 90C15 PDFBibTeX XMLCite \textit{M. A. Lejeune}, Quant. Finance 11, No. 10, 1489--1501 (2011; Zbl 1258.91200) Full Text: DOI
Di Pierro, Massimo; Mosevich, Jack Effects of skewness and kurtosis on portfolio rankings. (English) Zbl 1260.91227 Quant. Finance 11, No. 10, 1449-1453 (2011). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 91G10 PDFBibTeX XMLCite \textit{M. Di Pierro} and \textit{J. Mosevich}, Quant. Finance 11, No. 10, 1449--1453 (2011; Zbl 1260.91227) Full Text: DOI
Bowden, Roger J. Directional entropy and tail uncertainty, with applications to financial hazard. (English) Zbl 1215.62111 Quant. Finance 11, No. 3, 437-446 (2011). MSC: 62P05 62B10 91G70 91B30 PDFBibTeX XMLCite \textit{R. J. Bowden}, Quant. Finance 11, No. 3, 437--446 (2011; Zbl 1215.62111) Full Text: DOI
Fung, Thomas; Seneta, Eugene Tail dependence and skew distributions. (English) Zbl 1278.62089 Quant. Finance 11, No. 3, 327-333 (2011). MSC: 62H20 62H05 60E05 91G70 PDFBibTeX XMLCite \textit{T. Fung} and \textit{E. Seneta}, Quant. Finance 11, No. 3, 327--333 (2011; Zbl 1278.62089) Full Text: DOI
Grabchak, Michael; Samorodnitsky, Gennady Do financial returns have finite or infinite variance? A paradox and an explanation. (English) Zbl 1202.91333 Quant. Finance 10, No. 8, 883-893 (2010). MSC: 91G30 60E05 91B70 PDFBibTeX XMLCite \textit{M. Grabchak} and \textit{G. Samorodnitsky}, Quant. Finance 10, No. 8, 883--893 (2010; Zbl 1202.91333) Full Text: DOI
Cartea, Álvaro; Howison, Sam Option pricing with Lévy-stable processes generated by Lévy-stable integrated variance. (English) Zbl 1188.91212 Quant. Finance 9, No. 4, 397-409 (2009). Reviewer: Gong Guanglu (Beijing) MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{Á. Cartea} and \textit{S. Howison}, Quant. Finance 9, No. 4, 397--409 (2009; Zbl 1188.91212) Full Text: DOI Link
Pflug, Georg; Wozabal, David Ambiguity in portfolio selection. (English) Zbl 1190.91138 Quant. Finance 7, No. 4, 435-442 (2007). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{G. Pflug} and \textit{D. Wozabal}, Quant. Finance 7, No. 4, 435--442 (2007; Zbl 1190.91138) Full Text: DOI
Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J. Stable distributions in the Black-Litterman approach to asset allocation. (English) Zbl 1190.91136 Quant. Finance 7, No. 4, 423-433 (2007). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{R. Giacometti} et al., Quant. Finance 7, No. 4, 423--433 (2007; Zbl 1190.91136) Full Text: DOI
Këllezi, Evis; Webber, Nick Valuing Bermudan options when asset returns are Lévy processes. (English) Zbl 1405.91630 Quant. Finance 4, No. 1, 87-100 (2004). MSC: 91G20 60G51 PDFBibTeX XMLCite \textit{E. Këllezi} and \textit{N. Webber}, Quant. Finance 4, No. 1, 87--100 (2004; Zbl 1405.91630) Full Text: DOI
Malevergne, Y.; Sornette, D. Value-at-risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions. (English) Zbl 1405.91562 Quant. Finance 4, No. 1, 17-36 (2004). MSC: 91G10 62P05 PDFBibTeX XMLCite \textit{Y. Malevergne} and \textit{D. Sornette}, Quant. Finance 4, No. 1, 17--36 (2004; Zbl 1405.91562) Full Text: DOI arXiv
Bingham, N. H.; Kiesel, Rüdiger Semi-parametric modelling in finance: theoretical foundations. (English) Zbl 1408.62171 Quant. Finance 2, No. 4, 241-250 (2002). MSC: 62P05 60J65 PDFBibTeX XMLCite \textit{N. H. Bingham} and \textit{R. Kiesel}, Quant. Finance 2, No. 4, 241--250 (2002; Zbl 1408.62171) Full Text: DOI