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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: 2,007 Publications (since 2001)
References Indexed: 1,889 Publications with 63,486 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 Jacquier, Antoine
7 Kijima, Masaaki
7 Malevergne, Yannick
7 Muzy, Jean-François
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 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 Benzaquen, Michael
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 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 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 Fujii, Masaaki
4 Fukasawa, Masaaki
4 Giacometti, Rosella
4 Grasselli, Martino
4 Gu, Jiawen
...and 3,026 more Authors

Publications by Year

Citations contained in zbMATH Open

1,386 Publications have been cited 11,993 times in 7,437 Documents Cited by Year
Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174
Cont, R.
353
2001
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
219
2018
Pricing under rough volatility. Zbl 1465.91108
Bayer, Christian; Friz, Peter; Gatheral, Jim
150
2016
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
119
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
111
2010
Information and option pricings. Zbl 1405.91619
Guo, X.
95
2001
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
94
2007
A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick
93
2010
High-frequency trading in a limit order book. Zbl 1152.91024
Avellaneda, Marco; Stoikov, Sasha
88
2008
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
87
2013
Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438
Kraft, Holger
81
2005
No-dynamic-arbitrage and market impact. Zbl 1194.91208
Gatheral, Jim
79
2010
A multifactor volatility Heston model. Zbl 1152.91500
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
74
2008
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
73
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
70
2003
Pairs trading. Zbl 1134.91415
Elliott, Robert J.; van der Hoek, John; Malcolm, William P.
68
2005
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
66
2004
Statistical arbitrage in the US equities market. Zbl 1194.91196
Avellaneda, Marco; Lee, Jeong-Hyun
65
2010
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
60
2014
A multivariate jump-driven financial asset model. Zbl 1134.91446
Luciano, Elisa; Schoutens, Wim
56
2006
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
56
2013
On elicitable risk measures. Zbl 1395.91506
Bellini, Fabio; Bignozzi, Valeria
55
2015
Probability distribution of returns in the Heston model with stochastic volatility. Zbl 1405.91734
Drǎgulescu, Adrian A.; Yakovenko, Victor M.
55
2002
Portfolio selection with higher moments. Zbl 1195.91181
Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter
54
2010
Deep hedging. Zbl 1420.91450
Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B.
52
2019
Arbitrage-free SVI volatility surfaces. Zbl 1308.91187
Gatheral, Jim; Jacquier, Antoine
51
2014
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
50
2001
Hierarchies of Archimedean copulas. Zbl 1270.91086
Savu, Cornelia; Trede, Mark
49
2010
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
49
2017
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
49
2014
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
Statistical theory of the continuous double auction. Zbl 1405.91241
Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya
47
2003
Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387
Musiela, M.; Zariphopoulou, T.
47
2009
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
46
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
Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450
Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph
45
2005
A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130
Zeng, Xudong; Taksar, Michael
44
2013
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
43
2006
Higher moment coherent risk measures. Zbl 1190.91074
Krokhmal, Pavlo A.
43
2007
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
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
43
2014
Financial markets as nonlinear adaptive evolutionary systems. Zbl 1405.91624
Hommes, C. H.
42
2001
Statistical properties of stock order books: empirical results and models. Zbl 1408.62172
Bouchaud, Jean-Philippe; Mézard, Marc; Potters, Marc
42
2002
The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072
Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien
41
2012
Asymptotics and calibration of local volatility models. Zbl 1405.91586
Berestycki, H.; Busca, J.; Florent, I.
40
2002
Multi-scaling in finance. Zbl 1278.91118
di Matteo, T.
39
2007
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
38
2014
Asset price and wealth dynamics under heterogeneous expectations. Zbl 1405.91218
Chiarella, C.; He, X.-Z.
38
2001
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
38
2008
Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701
Anand, Kartik; Craig, Ben; von Peter, Goetz
37
2015
Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156
Drimus, Gabriel G.
37
2012
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
36
2011
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
35
2005
Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431
Kahl, Christian; Jäckel, Peter
35
2006
A jump telegraph model for option pricing. Zbl 1151.91535
Ratanov, Nikita
35
2007
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.
35
2019
Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181
Moreni, N.; Pallavicini, A.
35
2014
Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171
Bingham, N. H.; Kiesel, Rüdiger
35
2002
Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172
Fengler, Matthias R.
35
2009
A multi-quality model of interest rates. Zbl 1158.91353
Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony
35
2009
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558
Højgaard, Bjarne; Taksar, Michael
34
2004
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
33
2007
Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430
Broadie, Mark; Cao, Menghui
32
2008
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
Order book approach to price impact. Zbl 1134.91379
Weber, P.; Rosenow, B.
31
2005
Feller processes of normal inverse Gaussian type. Zbl 1405.91582
Barndorff-Nielsen, O. E.; Levendorskii, S. Z.
31
2001
A new well-posed algorithm to recover implied local volatility. Zbl 1405.91626
Jiang, Lishang; Chen, Qihong; Wang, Lijun; Zhang, Jin E.
31
2003
Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112
Chronopoulou, Alexandra; Viens, Frederi G.
31
2012
Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217
Bo, Lijun; Wang, Yongjin; Yang, Xuewei
31
2011
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
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
30
2019
Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176
Hambly, Ben; Howison, Sam; Kluge, Tino
30
2009
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
30
2013
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
30
2011
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
29
2012
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
A theory of non-Gaussian option pricing. Zbl 1405.91587
Borland, Lisa
29
2002
Pricing Asian options in a semimartingale model. Zbl 1405.91652
Vecer, Jan; Xu, Mingxin
29
2004
Riding on the smiles. Zbl 1277.91176
da Fonseca, José; Grasselli, Martino
29
2011
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
Dynamical pricing of weather derivatives. Zbl 1405.91595
Brody, Dorje C.; Syroka, Joanna; Zervos, Mihail
28
2002
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen
28
2012
The multiplex structure of interbank networks. Zbl 1398.91703
Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F.
27
2015
A simulation analysis of the microstructure of double auction markets. Zbl 1405.91226
Chiarella, Carl; Iori, Giulia
27
2002
Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415
Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc
26
2006
An empirical analysis of multivariate copula models. Zbl 1180.91314
Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian
26
2009
Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551
Malevergne, Y.; Pisarenko, V.; Sornette, D.
26
2005
Testing the Gaussian copula hypothesis for financial assets dependences. Zbl 1408.62177
Malevergne, Y.; Sornette, D.
26
2003
Rank reduction of correlation matrices by majorization. Zbl 1405.91647
Pietersz, Raoul; Groenen, Patrick J. F.
26
2004
Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics. Zbl 1400.62232
Bacry, Emmanuel; Jaisson, Thibault; Muzy, Jean-François
25
2016
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
A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573
Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David
24
2015
Sampling from Archimedean copulas. Zbl 1409.62108
Whelan, Niall
24
2004
Some recent developments in stochastic volatility modelling. Zbl 1405.91583
Barndorff-Nielsen, Ole E.; Nicolato, Elisa; Shephard, Neil
24
2002
Volatility is (mostly) path-dependent. Zbl 1522.91275
Guyon, Julien; Lekeufack, Jordan
2
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
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
Weak approximations and VIX option price expansions in forward variance curve models. Zbl 1521.91357
Bourgey, F.; De Marco, S.; Gobet, E.
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
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
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
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
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
Multivariate systemic risk measures and computation by deep learning algorithms. Zbl 1530.91592
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 1530.91615
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.
7
2022
Short-dated smile under rough volatility: asymptotics and numerics. Zbl 1487.91137
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo
5
2022
Learning a functional control for high-frequency finance. Zbl 1505.91370
Leal, L.; Lauriere, M.; Lehalle, C.-A.
5
2022
Optimal asset allocation for outperforming a stochastic benchmark target. Zbl 1505.91354
Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray
5
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
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
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets. Zbl 1500.91139
Rømer, Sigurd Emil
3
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The optimal payoff for a Yaari investor. Zbl 1500.91119
Boudt, K.; Dragun, K.; Vanduffel, S.
3
2022
Sparse index clones via the sorted \(\ell_1\)-norm. Zbl 1484.91430
Kremer, Philipp J.; Brzyski, Damian; Bogdan, Małgorzata; Paterlini, Sandra
3
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Drawdown beta and portfolio optimization. Zbl 1497.91274
Ding, Rui; Uryasev, Stan
3
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Robust deep hedging. Zbl 1497.91311
Lütkebohmert, Eva; Schmidt, Thorsten; Sester, Julian
3
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Errata to: “Instantaneous portfolio theory”. Zbl 1490.91189
Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
2
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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
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
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
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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
Stationary increments reverting to a tempered fractional Lévy process (TFLP). Zbl 07562216
Madan, Dilip B.; Wang, King
2
2022
Pairs trading under delayed cointegration. Zbl 1498.91425
Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying
2
2022
Dynamic quantile function models. Zbl 1500.91129
Chen, Wilson Ye; Peters, Gareth W.; Gerlach, Richard H.; Sisson, Scott A.
2
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JDOI variance reduction method and the pricing of American-style options. Zbl 1486.91091
Auster, Johan; Mathys, Ludovic; Maeder, Fabio
1
2022
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204
Asmussen, Søren; Bladt, Mogens
1
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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
Robust control in a rough environment. Zbl 1490.91183
Han, Bingyan; Ying Wong, Hoi
1
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Proof of non-convergence of the short-maturity expansion for the SABR model. Zbl 1500.91136
Lewis, Alan L.; Pirjol, Dan
1
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Optimal characteristic portfolios. Zbl 1500.91127
McGee, Richard J.; Olmo, Jose
1
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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
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A deep learning approach to estimating fill probabilities in a limit order book. Zbl 1505.91372
Maglaras, Costis; Moallemi, Ciamac C.; Wang, Muye
1
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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
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Kelly investing with downside risk control in a regime-switching market. Zbl 1484.91435
MacLean, Leonard; Zhao, Yonggan
1
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Liquidity fluctuations and the latent dynamics of price impact. Zbl 1484.91460
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; Livieri, Giulia
1
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Estimation risk and the implicit value of index-tracking. Zbl 1483.91213
Clark, Brian; Edirisinghe, Chanaka; Simaan, Majeed
1
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Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm. Zbl 1484.91441
Zhang, Xin; Wu, Lan; Chen, Zhixue
1
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The impact of CoCo bonds on systemic risk considering liquidity risk. Zbl 1484.91482
Li, Ping; Guo, Yanhong; Meng, Hui
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
The SINC way: a fast and accurate approach to Fourier pricing. Zbl 1487.91133
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; Rossi, Pietro
1
2022
Tempered stable processes with time-varying exponential tails. Zbl 1490.91214
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael
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
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Moments of integrated exponential Lévy processes and applications to Asian options pricing. Zbl 1500.91132
Brignone, Riccardo
1
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AI-driven liquidity provision in OTC financial markets. Zbl 1518.91255
Cartea, Álvaro; Chang, Patrick; Mroczka, Mateusz; Oomen, Roel
1
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No arbitrage global parametrization for the eSSVI volatility surface. Zbl 1516.91067
Mingone, A.
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
Volatility has to be rough. Zbl 1484.91474
Fukasawa, Masaaki
17
2021
Equal risk pricing of derivatives with deep hedging. Zbl 1476.91177
Carbonneau, Alexandre; Godin, Frédéric
14
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
A functional analysis approach to the static replication of European options. Zbl 1477.91052
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew
6
2021
Effects of a government subsidy and labor flexibility on portfolio selection and retirement. Zbl 1479.91362
Park, Kyunghyun; Lee, Hyoseob; Shin, Yong Hyun
5
2021
Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes. Zbl 1479.91443
Fukasawa, Masaaki; Hirano, Asuto
5
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
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
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
3
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
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
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53 Siu, Tak Kuen
45 Zhu, Songping
40 Lillo, Fabrizio
38 Jaimungal, Sebastian
37 Madan, Dilip B.
36 Bouchaud, Jean-Philippe
32 Oosterlee, Cornelis Willebrordus
32 Sornette, Didier
31 Elliott, Robert James
31 Wong, Hoi Ying
29 Cartea, Álvaro
28 Jacquier, Antoine
28 Schoutens, Wim
28 Wang, Ruodu
26 Benth, Fred Espen
26 Zagst, Rudi
25 Forsyth, Peter A.
24 Kim, Jeong-Hoon
24 Schied, Alexander
23 Bayer, Christian
23 Cui, Zhenyu
23 Fabozzi, Frank J.
23 Rosenbaum, Mathieu
22 Cont, Rama
22 Friz, Peter
22 He, Xinjiang
22 Stanley, H. Eugene
21 Ching, Wai-Ki
20 Crepey, Stephane
20 Hainaut, Donatien
20 Hofert, Marius
20 Ratanov, Nikita
19 Li, Zhongfei
19 Pham, Huyên
19 Wang, Yongjin
19 Yao, Haixiang
18 Bernard, Carole
18 Takahashi, Akihiko
17 Bormetti, Giacomo
17 Chen, Zhiping
17 Deelstra, Griselda
17 Eberlein, Ernst W.
17 Escobar, Marcos
17 Feinstein, Zachary
17 Gatheral, Jim
17 Grasselli, Martino
17 Hayat, Tasawar
16 Dang, Duy Minh
16 Härdle, Wolfgang Karl
16 Jin, Zhuo
16 Kwok, Yue-Kuen
16 Leung, Tim
16 Li, Lingfei
16 Li, Xun
16 Lorig, Matthew J.
16 Rutkowski, Marek
16 Shen, Yang
16 Vanduffel, Steven
16 Xu, Huifu
15 Bacry, Emmanuel
15 Bielecki, Tomasz R.
15 Bo, Lijun
15 Deng, Zuicha
15 Escobar Anel, Marcos
15 Levendorskiĭ, Sergeĭ Zakharovich
15 Papapantoleon, Antonis
15 Platen, Eckhard
15 Yamada, Toshihiro
15 Yang, Hailiang
15 Yang, Liu
15 Zhu, Lingjiong
14 Biagini, Francesca
14 Brigo, Damiano
14 Chen, Wenting
14 Farmer, James Doyne
14 Filipović, Damir
14 Fukasawa, Masaaki
14 Gnoatto, Alessandro
14 Guéant, Olivier
14 Liao, Shijun
14 Paterlini, Sandra
14 Reisinger, Christoph
14 Todorov, Viktor
14 Yang, Xuewei
14 Yuen, Kam Chuen
14 Zariphopoulou, Thaleia
14 Zhou, Weixing
13 Belomestny, Denis
13 Chiarella, Carl
13 Fusai, Gianluca
13 Grabchak, Michael
13 Hu, Yijun
13 Jentzen, Arnulf
13 Joshi, Mark S.
13 Li, Duan
13 Ma, Jingtang
13 Marsili, Matteo
13 Muzy, Jean-François
13 Nadarajah, Saralees
13 Rudloff, Birgit
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906 Quantitative Finance
281 Insurance Mathematics & Economics
272 European Journal of Operational Research
260 International Journal of Theoretical and Applied Finance
240 Physica A
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203 Mathematical Finance
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106 Stochastic Processes and their Applications
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73 Chaos, Solitons and Fractals
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64 Computational Management Science
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60 Methodology and Computing in Applied Probability
57 Statistics & Probability Letters
57 The Annals of Applied Probability
56 Communications in Statistics. Theory and Methods
55 Asia-Pacific Financial Markets
52 Journal of Applied Probability
49 Communications in Nonlinear Science and Numerical Simulation
48 Annals of Finance
45 Journal of Multivariate Analysis
44 North American Actuarial Journal
43 Scandinavian Actuarial Journal
42 Stochastics
41 Mathematics of Operations Research
41 Studies in Nonlinear Dynamics and Econometrics
41 Discrete Dynamics in Nature and Society
40 Operations Research Letters
40 International Journal of Computer Mathematics
39 ASTIN Bulletin
38 Computers & Mathematics with Applications
36 Operations Research
34 Journal of Statistical Computation and Simulation
33 SIAM Journal on Control and Optimization
33 Mathematical Problems in Engineering
32 Journal of Mathematical Analysis and Applications
31 Mathematics and Computers in Simulation
31 Mathematical Methods of Operations Research
30 Applied Mathematics and Optimization
30 Mathematical Programming. Series A. Series B
29 Stochastic Analysis and Applications
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28 Economics Letters
26 Communications in Statistics. Simulation and Computation
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25 Automatica
25 The European Physical Journal B. Condensed Matter and Complex Systems
25 Probability, Uncertainty and Quantitative Risk
23 Japan Journal of Industrial and Applied Mathematics
23 Probability in the Engineering and Informational Sciences
22 European Actuarial Journal
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21 Advances in Applied Probability
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20 The ANZIAM Journal
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19 Frontiers of Mathematical Finance
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16 The Annals of Statistics
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16 Complexity
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16 OR Spectrum
15 Physics Letters. A
15 International Transactions in Operational Research
15 Statistical Inference for Stochastic Processes
15 Journal of Physics A: Mathematical and Theoretical
14 Theory of Probability and its Applications
14 SIAM Journal on Scientific Computing
14 Statistical Papers
14 Computational and Applied Mathematics
14 Abstract and Applied Analysis
13 Journal of Statistical Planning and Inference
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13 Nonlinear Analysis. Real World Applications
13 Discrete and Continuous Dynamical Systems. Series B
13 Stochastic Models
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