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: 2,053 Publications (since 2001) References Indexed: 1,932 Publications with 65,460 References. all top 5 Latest Issues 24, No. 7 (2024) 24, No. 6 (2024) 24, No. 5 (2024) 24, No. 3-4 (2024) 24, No. 2 (2024) 24, No. 1 (2024) 23, No. 12 (2023) 23, No. 11 (2023) 23, No. 10 (2023) 23, No. 9 (2023) 23, No. 7-8 (2023) 23, No. 6 (2023) 23, No. 5 (2023) 23, No. 4 (2023) 23, No. 3 (2023) 23, No. 2 (2023) 23, No. 1 (2023) 22, No. 12 (2022) 22, No. 11 (2022) 22, No. 10 (2022) 22, No. 9 (2022) 22, No. 8 (2022) 22, No. 7 (2022) 22, No. 6 (2022) 22, No. 5 (2022) 22, No. 4 (2022) 22, No. 3 (2022) 22, No. 2 (2022) 22, No. 1 (2022) 21, No. 7 (2021) 21, No. 6 (2021) 21, No. 5 (2021) 21, No. 4 (2021) 21, No. 3 (2021) 21, No. 2 (2021) 21, No. 1 (2021) 20, No. 12 (2020) 20, No. 11 (2020) 20, No. 10 (2020) 20, No. 9 (2020) 20, No. 8 (2020) 20, No. 7 (2020) 20, No. 6 (2020) 20, No. 5 (2020) 20, No. 4 (2020) 20, No. 3 (2020) 20, No. 2 (2020) 20, No. 1 (2020) 19, No. 12 (2019) 19, No. 11 (2019) 19, No. 10 (2019) 19, No. 9 (2019) 19, No. 8 (2019) 19, No. 7 (2019) 19, No. 6 (2019) 19, No. 5 (2019) 19, No. 4 (2019) 19, No. 3 (2019) 19, No. 2 (2019) 19, No. 1 (2019) 18, No. 12 (2018) 18, No. 11 (2018) 18, No. 10 (2018) 18, No. 9 (2018) 18, No. 8 (2018) 18, No. 7 (2018) 18, No. 6 (2018) 18, No. 5 (2018) 18, No. 4 (2018) 18, No. 3 (2018) 18, No. 2 (2018) 18, No. 1 (2018) 17, No. 12 (2017) 17, No. 11 (2017) 17, No. 10 (2017) 17, No. 9 (2017) 17, No. 8 (2017) 17, No. 7 (2017) 17, No. 6 (2017) 17, No. 5 (2017) 17, No. 4 (2017) 17, No. 3 (2017) 17, No. 2 (2017) 17, No. 1 (2017) 16, No. 12 (2016) 16, No. 11 (2016) 16, No. 10 (2016) 16, No. 9 (2016) 16, No. 8 (2016) 16, No. 7 (2016) 16, No. 6 (2016) 16, No. 5 (2016) 16, No. 4 (2016) 16, No. 3 (2016) 16, No. 2 (2016) 16, No. 1 (2016) 15, No. 12 (2015) 15, No. 11 (2015) 15, No. 10 (2015) 15, No. 9 (2015) ...and 122 more Volumes all top 5 Authors 27 Sornette, Didier 24 Bouchaud, Jean-Philippe 23 Lillo, Fabrizio 22 Madan, Dilip B. 14 Dempster, Michael A. H. 14 Gatheral, Jim 14 Zumbach, Gilles O. 13 Elliott, Robert James 12 Bormetti, Giacomo 12 Fabozzi, Frank J. 11 Bayer, Christian 11 Farmer, James Doyne 10 Härdle, Wolfgang Karl 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 Kwok, Yue-Kuen 9 Rebonato, Riccardo 9 Wong, Hoi Ying 8 Challet, Damien 8 Eberlein, Ernst W. 8 Gerlach, Richard H. 8 Hwang, Ruey-Ching 8 Jacquier, Antoine 7 Abergel, Frédéric 7 Albanese, Claudio 7 Bacry, Emmanuel 7 Carr, Peter Paul 7 Crepey, Stephane 7 Friz, Peter 7 Hilliard, Jimmy E. 7 Kijima, Masaaki 7 Li, Lingfei 7 Malevergne, Yannick 7 Muzy, Jean-François 6 Benzaquen, Michael 6 Cartea, Álvaro 6 Chiarella, Carl 6 Creamer, Germán G. 6 Fouque, Jean-Pierre 6 Grzelak, Lech A. 6 Lee, Yongjae 6 Marsili, Matteo 6 Mastromatteo, Iacopo 6 Oomen, Roel C. A. 6 Oosterlee, Cornelis Willebrordus 6 Tunaru, Radu S. 6 Večeř, Jan 6 Zagst, Rudi 6 Zhou, Weixing 5 Alexander, Carol 5 Baviera, Roberto 5 Chu, Chih-Kang 5 Consigli, Giorgio 5 Cui, Zhenyu 5 Ewald, Christian-Oliver 5 Funahashi, Hideharu 5 Glasserman, Paul 5 Jarrow, Robert Alan 5 Kim, Jeong-Hoon 5 Kim, Woo Chang 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Lorig, Matthew J. 5 Lütkebohmert, Eva 5 Ma, Jingtang 5 Mandelbrot, Benoit B. 5 Nadarajah, Saralees 5 Pallavicini, Andrea 5 Potters, Marc 5 Schoenmakers, John G. M. 5 Stübinger, Johannes 5 Takahashi, Akihiko 5 Tang, Ke 5 Thurner, Stefan 5 Yu, Philip Leung Ho 5 Zheng, Harry H. 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 Ching, Wai-Ki 4 Cucuringu, Mihai 4 Dai, Min 4 Dai, Tian-Shyr 4 Davis, Mark Herbert Ainsworth 4 Ding, Rui 4 Escobar Anel, Marcos 4 Escobar, Marcos 4 Feigenbaum, James A. 4 Forsyth, Peter A. 4 Fujii, Masaaki 4 Fukasawa, Masaaki ...and 3,105 more Authors all top 5 Fields 1,964 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 431 Statistics (62-XX) 390 Probability theory and stochastic processes (60-XX) 108 Numerical analysis (65-XX) 94 Operations research, mathematical programming (90-XX) 79 Computer science (68-XX) 60 Systems theory; control (93-XX) 49 General and overarching topics; collections (00-XX) 27 Partial differential equations (35-XX) 14 History and biography (01-XX) 14 Measure and integration (28-XX) 11 Calculus of variations and optimal control; optimization (49-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 7 Approximations and expansions (41-XX) 7 Integral transforms, operational calculus (44-XX) 6 Combinatorics (05-XX) 4 Integral equations (45-XX) 4 Information and communication theory, circuits (94-XX) 3 Statistical mechanics, structure of matter (82-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Nonassociative rings and algebras (17-XX) 2 Real functions (26-XX) 2 Ordinary differential equations (34-XX) 2 Abstract harmonic analysis (43-XX) 2 Global analysis, analysis on manifolds (58-XX) 1 Number theory (11-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 1,424 Publications have been cited 12,651 times in 7,797 Documents Cited by ▼ Year ▼ Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174 Cont, R. 374 2001 Volatility is rough. Zbl 1400.91590 Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu 241 2018 Pricing under rough volatility. Zbl 1465.91108 Bayer, Christian; Friz, Peter; Gatheral, Jim 163 2016 Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191 Cont, Rama; Deguest, Romain; Scandolo, Giacomo 129 2010 An exact and explicit solution for the valuation of American put options. Zbl 1136.91468 Zhu, Song-Ping 116 2006 Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199 Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander 116 2010 Ambiguity in portfolio selection. Zbl 1190.91138 Pflug, Georg; Wozabal, David 100 2007 A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240 Lord, Roger; Koekkoek, Remmert; van Dijk, Dick 100 2010 Information and option pricings. Zbl 1405.91619 Guo, X. 99 2001 High-frequency trading in a limit order book. Zbl 1152.91024 Avellaneda, Marco; Stoikov, Sasha 93 2008 Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073 Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F. 90 2013 Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438 Kraft, Holger 85 2005 No-dynamic-arbitrage and market impact. Zbl 1194.91208 Gatheral, Jim 83 2010 A multifactor volatility Heston model. Zbl 1152.91500 Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio 79 2008 Functional Itô calculus. Zbl 1420.91458 Dupire, Bruno 76 2019 Network topology of the interbank market. Zbl 1405.91729 Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan 72 2004 Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173 Breymann, Wolfgang; Dias, Alexandra; Embrechts, Paul 71 2003 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 71 2004 Pairs trading. Zbl 1134.91415 Elliott, Robert J.; van der Hoek, John; Malcolm, William P. 68 2005 Statistical arbitrage in the US equities market. Zbl 1194.91196 Avellaneda, Marco; Lee, Jeong-Hyun 65 2010 Deep hedging. Zbl 1420.91450 Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B. 62 2019 A multivariate jump-driven financial asset model. Zbl 1134.91446 Luciano, Elisa; Schoutens, Wim 61 2006 On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168 Vigna, Elena 61 2014 Optimal high-frequency trading with limit and market orders. Zbl 1280.91148 Guilbaud, Fabien; Pham, Huyên 58 2013 Probability distribution of returns in the Heston model with stochastic volatility. Zbl 1405.91734 Drǎgulescu, Adrian A.; Yakovenko, Victor M. 57 2002 Portfolio selection with higher moments. Zbl 1195.91181 Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter 57 2010 On elicitable risk measures. Zbl 1395.91506 Bellini, Fabio; Bignozzi, Valeria 56 2015 Arbitrage-free SVI volatility surfaces. Zbl 1308.91187 Gatheral, Jim; Jacquier, Antoine 53 2014 Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777 Fukasawa, Masaaki 51 2017 Robust risk measurement and model risk. Zbl 1294.91076 Glasserman, Paul; Xu, Xingbo 51 2014 Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387 Musiela, M.; Zariphopoulou, T. 50 2009 What good is a volatility model? Zbl 1405.91612 Engle, R. F.; Patton, A. J. 50 2001 A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130 Zeng, Xudong; Taksar, Michael 49 2013 Statistical theory of the continuous double auction. Zbl 1405.91241 Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya 49 2003 Hierarchies of Archimedean copulas. Zbl 1270.91086 Savu, Cornelia; Trede, Mark 49 2010 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286 Carmona, René; Ludkovski, Michael 49 2010 Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425 Hobson, David; Laurence, Peter; Wang, Tai-Ho 48 2005 Dynamics of implied volatility surfaces. Zbl 1405.91603 Cont, Rama; Da Fonseca, José 47 2002 Limit order books. Zbl 1284.91584 Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D. 46 2013 Higher moment coherent risk measures. Zbl 1190.91074 Krokhmal, Pavlo A. 45 2007 Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450 Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph 45 2005 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033 Hubalek, Friedrich; Sgarra, Carlo 43 2006 Financial markets as nonlinear adaptive evolutionary systems. Zbl 1405.91624 Hommes, C. H. 43 2001 Statistical properties of stock order books: empirical results and models. Zbl 1408.62172 Bouchaud, Jean-Philippe; Mézard, Marc; Potters, Marc 43 2002 Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750 Bacry, Emmanuel; Muzy, Jean-François 43 2014 Optimal positioning in derivative securities. Zbl 1405.91599 Carr, P.; Madan, D. 43 2001 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. 43 2001 The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072 Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien 42 2012 Estimating value-at-risk: a point process approach. Zbl 1118.91353 Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J. 41 2005 Asymptotics and calibration of local volatility models. Zbl 1405.91586 Berestycki, H.; Busca, J.; Florent, I. 41 2002 CDO pricing with nested Archimedean copulas. Zbl 1213.91074 Hofert, Marius; Scherer, Matthias 41 2011 Thou shalt buy and hold. Zbl 1154.91478 Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 39 2008 Multi-scaling in finance. Zbl 1278.91118 di Matteo, T. 39 2007 Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156 Drimus, Gabriel G. 39 2012 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. 39 2019 Asset price and wealth dynamics under heterogeneous expectations. Zbl 1405.91218 Chiarella, C.; He, X.-Z. 39 2001 Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431 Kahl, Christian; Jäckel, Peter 38 2006 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 Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172 Fengler, Matthias R. 37 2009 A jump telegraph model for option pricing. Zbl 1151.91535 Ratanov, Nikita 36 2007 Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171 Bingham, N. H.; Kiesel, Rüdiger 36 2002 A multi-quality model of interest rates. Zbl 1158.91353 Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony 35 2009 Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181 Moreni, N.; Pallavicini, A. 35 2014 The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481 Benth, Fred Espen; Benth, Jūratė Šaltytė 34 2007 Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558 Højgaard, Bjarne; Taksar, Michael 34 2004 Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217 Bo, Lijun; Wang, Yongjin; Yang, Xuewei 34 2011 Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430 Broadie, Mark; Cao, Menghui 33 2008 Lifting the Heston model. Zbl 1441.91093 Jaber, Eduardo Abi 33 2019 Feller processes of normal inverse Gaussian type. Zbl 1405.91582 Barndorff-Nielsen, O. E.; Levendorskii, S. Z. 32 2001 A new well-posed algorithm to recover implied local volatility. Zbl 1405.91626 Jiang, Lishang; Chen, Qihong; Wang, Lijun; Zhang, Jin E. 32 2003 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 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346 Elliott, Robert J.; Siu, Tak Kuen 32 2011 Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176 Hambly, Ben; Howison, Sam; Kluge, Tino 32 2009 Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139 Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam 31 2007 Order book approach to price impact. Zbl 1134.91379 Weber, P.; Rosenow, B. 31 2005 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 31 2006 Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112 Chronopoulou, Alexandra; Viens, Frederi G. 31 2012 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165 Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen 31 2012 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 31 2012 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 31 2013 The multiplex structure of interbank networks. Zbl 1398.91703 Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F. 31 2015 Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137 Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A. 30 2007 Riding on the smiles. Zbl 1277.91176 da Fonseca, José; Grasselli, Martino 30 2011 Dynamical pricing of weather derivatives. Zbl 1405.91595 Brody, Dorje C.; Syroka, Joanna; Zervos, Mihail 30 2002 A theory of non-Gaussian option pricing. Zbl 1405.91587 Borland, Lisa 30 2002 Pricing Asian options in a semimartingale model. Zbl 1405.91652 Vecer, Jan; Xu, Mingxin 29 2004 Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415 Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc 28 2006 Risk-sensitive benchmarked asset management. Zbl 1140.91383 Davis, Mark; Lleo, Sébastien 28 2008 Optimal execution with limit and market orders. Zbl 1406.91403 Cartea, Álvaro; Jaimungal, Sebastian 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 Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551 Malevergne, Y.; Pisarenko, V.; Sornette, D. 27 2005 Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics. Zbl 1400.62232 Bacry, Emmanuel; Jaisson, Thibault; Muzy, Jean-François 27 2016 On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181 Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei 27 2011 A simulation analysis of the microstructure of double auction markets. Zbl 1405.91226 Chiarella, Carl; Iori, Giulia 27 2002 Rank reduction of correlation matrices by majorization. Zbl 1405.91647 Pietersz, Raoul; Groenen, Patrick J. F. 27 2004 Testing the Gaussian copula hypothesis for financial assets dependences. Zbl 1408.62177 Malevergne, Y.; Sornette, D. 27 2003 An empirical analysis of multivariate copula models. Zbl 1180.91314 Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian 27 2009 Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity. Zbl 1281.91083 Bianchi, S.; Pantanella, A.; Pianese, A. 26 2013 Sampling from Archimedean copulas. Zbl 1409.62108 Whelan, Niall 26 2004 On the optimal forecast with the fractional Brownian motion. Zbl 1537.91307 Wang, Xiaohu; Yu, Jun; Zhang, Chen 1 2024 Volatility is (mostly) path-dependent. Zbl 1522.91275 Guyon, Julien; Lekeufack, Jordan 5 2023 Markovian approximations of stochastic Volterra equations with the fractional kernel. Zbl 1518.91311 Bayer, Christian; Breneis, Simon 3 2023 Horizon effect on optimal retirement decision. Zbl 1518.91222 Jeon, Junkee; Kwak, Minsuk; Park, Kyunghyun 3 2023 A statistical test of market efficiency based on information theory. Zbl 1520.91381 Brouty, Xavier; Garcin, Matthieu 3 2023 A two-step framework for arbitrage-free prediction of the implied volatility surface. Zbl 1518.91290 Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu 2 2023 Optimal reinsurance-investment with loss aversion under rough Heston model. Zbl 1519.91216 Ma, Jingtang; Lu, Zhengyang; Chen, Dengsheng 2 2023 Empirical deep hedging. Zbl 1518.91287 Mikkilä, Oskari; Kanniainen, Juho 2 2023 Integrating prediction in mean-variance portfolio optimization. Zbl 1518.91237 Butler, Andrew; Kwon, Roy H. 2 2023 W-shaped implied volatility curves and the Gaussian mixture model. Zbl 1518.91279 Glasserman, Paul; Pirjol, Dan 2 2023 A data-driven deep learning approach for options market making. Zbl 1519.91263 Lai, Qianhui; Gao, Xuefeng; Li, Lingfei 2 2023 Delta hedging bitcoin options with a smile. Zbl 1519.91252 Alexander, Carol; Imeraj, Arben 2 2023 Multivariate systemic risk measures and computation by deep learning algorithms. Zbl 1530.91592 Doldi, A.; Feng, Y.; Fouque, J.-P.; Frittelli, M. 2 2023 A transform-based method for pricing Asian options under general two-dimensional models. Zbl 1530.91615 Zhang, Weinan; Zeng, Pingping 2 2023 A general approach for lookback option pricing under Markov models. Zbl 1531.91277 Zhang, Gongqiu; Li, Lingfei 2 2023 The EWMA Heston model. Zbl 1518.91264 Parent, Léo 1 2023 Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing. Zbl 1519.91286 Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl 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 Optimal asset allocation for commodity sovereign wealth funds. Zbl 1518.91242 Irarrazabal, Alfonso A.; Ma, Lin; Parra-Alvarez, Juan Carlos 1 2023 A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions. Zbl 1515.91140 Cheng, Yuyang; Escobar-Anel, Marcos 1 2023 Efficient pricing and hedging of high-dimensional American options using deep recurrent networks. Zbl 1519.91268 Na, Andrew S.; Wan, Justin W. L. 1 2023 Simulated Greeks for American options. Zbl 1518.91284 Letourneau, Pascal; Stentoft, Lars 1 2023 Pricing Asian options with stochastic convenience yield and jumps. Zbl 1519.91256 Ewald, Christian-Oliver; Wu, Yuexiang; Zhang, Aihua 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 Cross-impact of order flow imbalance in equity markets. Zbl 1530.91546 Cont, Rama; Cucuringu, Mihai; Zhang, Chao 1 2023 Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures. Zbl 1530.91572 Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng 1 2023 Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty. Zbl 1518.91296 Hwang, Ruey-Ching; Chu, Chih-Kang; Chen, Yi-Chi 1 2023 Weighted variance swaps hedge against impermanent loss. Zbl 07721479 Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus 1 2023 Deep-learning models for forecasting financial risk premia and their interpretations. Zbl 1520.91413 Lo, Andrew W.; Singh, Manish 1 2023 Decomposing LIBOR in transition: evidence from the futures markets. Zbl 1520.91394 Skov, Jacob Bjerre; Skovmand, David 1 2023 Weak approximations and VIX option price expansions in forward variance curve models. Zbl 1521.91357 Bourgey, F.; De Marco, S.; Gobet, E. 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 Optimal asset allocation for outperforming a stochastic benchmark target. Zbl 1505.91354 Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray 8 2022 State-dependent Hawkes processes and their application to limit order book modelling. Zbl 1490.91199 Morariu-Patrichi, Maxime; Pakkanen, Mikko S. 7 2022 Learning a functional control for high-frequency finance. Zbl 1505.91370 Leal, L.; Lauriere, M.; Lehalle, C.-A. 6 2022 Short-dated smile under rough volatility: asymptotics and numerics. Zbl 1487.91137 Friz, Peter K.; Gassiat, Paul; Pigato, Paolo 6 2022 Optimal trade execution for Gaussian signals with power-law resilience. Zbl 1487.91131 Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin 6 2022 Forecasting with fractional Brownian motion: a financial perspective. Zbl 1497.91289 Garcin, Matthieu 5 2022 Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets. Zbl 1500.91139 Rømer, Sigurd Emil 5 2022 Robust deep hedging. Zbl 1497.91311 Lütkebohmert, Eva; Schmidt, Thorsten; Sester, Julian 4 2022 Additive normal tempered stable processes for equity derivatives and power-law scaling. Zbl 1490.91206 Azzone, Michele; Baviera, Roberto 4 2022 The optimal payoff for a Yaari investor. Zbl 1500.91119 Boudt, K.; Dragun, K.; Vanduffel, S. 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 How to build a cross-impact model from first principles: theoretical requirements and empirical results. Zbl 1491.91135 Tomas, Mehdi; Mastromatteo, Iacopo; Benzaquen, Michael 3 2022 Drawdown beta and portfolio optimization. Zbl 1497.91274 Ding, Rui; Uryasev, Stan 3 2022 Distributionally robust portfolio optimization with linearized STARR performance measure. Zbl 1484.91427 Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang 3 2022 The SINC way: a fast and accurate approach to Fourier pricing. Zbl 1487.91133 Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; Rossi, Pietro 3 2022 A fast algorithm for simulation of rough volatility models. Zbl 1490.91218 Ma, Jingtang; Wu, Haofei 3 2022 Pairs trading under delayed cointegration. Zbl 1498.91425 Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying 3 2022 Moments of integrated exponential Lévy processes and applications to Asian options pricing. Zbl 1500.91132 Brignone, Riccardo 3 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 Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204 Asmussen, Søren; Bladt, Mogens 2 2022 Life insurance surrender and liquidity risks. Zbl 1491.91105 Chang, Hsiaoyin; Schmeiser, Hato 2 2022 Rating frailty, Bayesian updates, and portfolio credit risk analysis*. Zbl 1491.91155 Bu, Shang; Guo, Nan; Li, Lingfei 2 2022 A new representation of the risk-neutral distribution and its applications. Zbl 1491.91141 Cui, Zhenyu; Xu, Yuewu 2 2022 On the investment strategies in occupational pension plans. Zbl 1491.91104 Bosserhoff, F.; Chen, A.; Sørensen, N.; Stadje, M. 2 2022 On an irreversible investment problem with two-factor uncertainty. Zbl 1491.91160 Dammann, F.; Ferrari, G. 2 2022 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 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 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 Tempered stable processes with time-varying exponential tails. Zbl 1490.91214 Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael 2 2022 Dynamic quantile function models. Zbl 1500.91129 Chen, Wilson Ye; Peters, Gareth W.; Gerlach, Richard H.; Sisson, Scott A. 2 2022 No arbitrage global parametrization for the eSSVI volatility surface. Zbl 1516.91067 Mingone, A. 2 2022 A deep learning approach to estimating fill probabilities in a limit order book. Zbl 1505.91372 Maglaras, Costis; Moallemi, Ciamac C.; Wang, Muye 1 2022 Bitcoin: jumps, convenience yields, and option prices. Zbl 1505.91419 Hilliard, Jimmy E.; Ngo, Julie T. D. 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 JDOI variance reduction method and the pricing of American-style options. Zbl 1486.91091 Auster, Johan; Mathys, Ludovic; Maeder, Fabio 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 Static replication of European standard dispersion options. Zbl 1491.91139 Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew 1 2022 A simple robust asset pricing model under statistical ambiguity. Zbl 1491.91151 García-Feijóo, Luis; Viale, Ariel M. 1 2022 Brexit news propagation in financial systems: multidimensional visibility networks for market volatility dynamics. Zbl 1491.91156 De Giuli, Maria Elena; Flori, Andrea; Lazzari, Daniela; Spelta, Alessandro 1 2022 Optimal solution of the liquidation problem under execution and price impact risks. Zbl 1489.91286 Mariani, Francesca; Fatone, Lorella 1 2022 Effective Markovian projection: application to CMS spread options and mid-curve swaptions. Zbl 1491.91144 Felpel, M.; Kienitz, J.; McWalter, T. A. 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 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 Price impact on term structure. Zbl 1484.91494 Brigo, Damiano; Graceffa, Federico; Neuman, Eyal 1 2022 Estimation risk and the implicit value of index-tracking. Zbl 1483.91213 Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed 1 2022 The impact of CoCo bonds on systemic risk considering liquidity risk. Zbl 1484.91482 Li, Ping; Guo, Yanhong; Meng, Hui 1 2022 Robust control in a rough environment. Zbl 1490.91183 Han, Bingyan; Ying Wong, Hoi 1 2022 The inelastic market hypothesis: a microstructural interpretation. Zbl 1505.91358 Bouchaud, Jean-Philippe 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 Sparse index tracking using sequential Monte Carlo. Zbl 1498.91498 Satpathy, Tanmay; Shah, Rushabh 1 2022 Vulnerability-CoVaR: investigating the crypto-market. Zbl 1500.91148 Waltz, Martin; Singh, Abhay Kumar; Okhrin, Ostap 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 AI-driven liquidity provision in OTC financial markets. Zbl 1518.91255 Cartea, Álvaro; Chang, Patrick; Mroczka, Mateusz; Oomen, Roel 1 2022 Volatility has to be rough. Zbl 1484.91474 Fukasawa, Masaaki 23 2021 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 20 2021 Equal risk pricing of derivatives with deep hedging. Zbl 1476.91177 Carbonneau, Alexandre; Godin, Frédéric 15 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 8 2021 ...and 1277 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 9,817 Authors 53 Siu, Tak Kuen 47 Zhu, Songping 43 Lillo, Fabrizio 38 Jaimungal, Sebastian 37 Madan, Dilip B. 36 Bouchaud, Jean-Philippe 33 Oosterlee, Cornelis Willebrordus 32 Sornette, Didier 32 Wong, Hoi Ying 31 Elliott, Robert James 31 Jacquier, Antoine 29 Cartea, Álvaro 29 Wang, Ruodu 28 Schoutens, Wim 28 Zagst, Rudi 27 Benth, Fred Espen 27 Forsyth, Peter A. 26 Kim, Jeong-Hoon 25 Rosenbaum, Mathieu 24 Cui, Zhenyu 24 Fabozzi, Frank J. 24 Schied, Alexander 23 Bayer, Christian 23 Hainaut, Donatien 22 Ching, Wai-Ki 22 Cont, Rama 22 Friz, Peter 22 He, Xinjiang 22 Stanley, H. 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A 15 Theory of Probability and its Applications 15 Statistical Inference for Stochastic Processes 15 Statistical Methods and Applications 14 Journal of Statistical Planning and Inference 14 Applied Numerical Mathematics 14 SIAM Journal on Optimization 14 SIAM Journal on Scientific Computing 14 Abstract and Applied Analysis 13 Applied Mathematics Letters ...and 407 more Journals all top 5 Cited in 55 Fields 5,813 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2,617 Probability theory and stochastic processes (60-XX) 2,006 Statistics (62-XX) 780 Numerical analysis (65-XX) 767 Operations research, mathematical programming (90-XX) 605 Systems theory; control (93-XX) 386 Partial differential equations (35-XX) 284 Calculus of variations and optimal control; optimization (49-XX) 230 Computer science (68-XX) 149 Statistical mechanics, structure of matter (82-XX) 75 Ordinary differential equations (34-XX) 73 Dynamical systems and ergodic theory (37-XX) 70 Integral equations (45-XX) 50 Real functions (26-XX) 50 Biology and other natural sciences (92-XX) 49 Approximations and expansions (41-XX) 48 Integral transforms, operational calculus (44-XX) 45 Harmonic analysis on Euclidean spaces (42-XX) 41 Combinatorics (05-XX) 35 Fluid mechanics (76-XX) 32 Functional analysis (46-XX) 31 Information and communication theory, circuits (94-XX) 28 Measure and integration (28-XX) 27 Linear and multilinear algebra; matrix theory (15-XX) 23 Operator theory (47-XX) 23 Geophysics (86-XX) 21 Quantum theory (81-XX) 16 General and overarching topics; collections (00-XX) 16 Special functions (33-XX) 12 Global analysis, analysis on manifolds (58-XX) 9 Classical thermodynamics, heat transfer (80-XX) 8 History and biography (01-XX) 7 Functions of a complex variable (30-XX) 7 Mechanics of particles and systems (70-XX) 6 Mechanics of deformable solids (74-XX) 5 Difference and functional equations (39-XX) 4 Number theory (11-XX) 4 Convex and discrete geometry (52-XX) 4 Mathematics education (97-XX) 3 Mathematical logic and foundations (03-XX) 3 General topology (54-XX) 3 Relativity and gravitational theory (83-XX) 2 Order, lattices, ordered algebraic structures (06-XX) 2 Commutative algebra (13-XX) 2 Nonassociative rings and algebras (17-XX) 2 Topological groups, Lie groups (22-XX) 2 Potential theory (31-XX) 2 Abstract harmonic analysis (43-XX) 2 Geometry (51-XX) 2 Differential geometry (53-XX) 2 Algebraic topology (55-XX) 2 Optics, electromagnetic theory (78-XX) 1 Group theory and generalizations (20-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Sequences, series, summability (40-XX) Citations by Year