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 Documents Indexed: 1,887 Publications (since 2001) References Indexed: 1,774 Publications with 58,770 References. all top 5 Latest Issues 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) 15, No. 8 (2015) 15, No. 7 (2015) 15, No. 6 (2015) 15, No. 5 (2015) 15, No. 4 (2015) 15, No. 3 (2015) 15, No. 2 (2015) 15, No. 1 (2015) 14, No. 12 (2014) 14, No. 11 (2014) 14, No. 10 (2014) 14, No. 9 (2014) 14, No. 8 (2014) 14, No. 7 (2014) 14, No. 6 (2014) 14, No. 5 (2014) 14, No. 4 (2014) 14, No. 3 (2014) ...and 104 more Volumes all top 5 Authors 27 Sornette, Didier 23 Bouchaud, Jean-Philippe 20 Madan, Dilip B. 18 Lillo, Fabrizio 14 Zumbach, Gilles O. 13 Dempster, Michael A. H. 13 Gatheral, Jim 12 Elliott, Robert James 11 Bormetti, Giacomo 11 Fabozzi, Frank J. 11 Farmer, James Doyne 10 Joshi, Mark S. 10 Platen, Eckhard 10 Schoutens, Wim 10 Siu, Tak Kuen 10 Stanley, H. Eugene 9 Bayer, Christian 9 Brigo, Damiano 9 Kwok, Yue-Kuen 9 Rebonato, Riccardo 8 Eberlein, Ernst W. 8 Härdle, Wolfgang Karl 8 Wong, Hoi Ying 7 Abergel, Frédéric 7 Bacry, Emmanuel 7 Carr, Peter Paul 7 Challet, Damien 7 Cont, Rama 7 Friz, Peter Karl 7 Gerlach, Richard H. 7 Hilliard, Jimmy E. 7 Kijima, Masaaki 7 Malevergne, Yannick 7 Muzy, Jean-François 6 Albanese, Claudio 6 Chiarella, Carl 6 Crepey, Stephane 6 Grzelak, Lech A. 6 Hwang, Ruey-Ching 6 Jacquier, Antoine 6 Marsili, Matteo 6 Oosterlee, Cornelis Willebrordus 6 Tunaru, Radu S. 6 Večeř, Jan 6 Zhou, Weixing 5 Baviera, Roberto 5 Consigli, Giorgio 5 Creamer, Germán G. 5 Fouque, Jean-Pierre 5 Kim, Jeong-Hoon 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Lorig, Matthew J. 5 Mandelbrot, Benoit B. 5 Nadarajah, Saralees 5 Oomen, Roel C. A. 5 Potters, Marc 5 Stübinger, Johannes 5 Takahashi, Akihiko 5 Thurner, Stefan 5 Yu, Philip Leung Ho 5 Ziemba, William T. 4 Avellaneda, Marco 4 Bellini, Fabio 4 Blomvall, Jörgen 4 Bo, Lijun 4 Bunn, Derek W. 4 Cartea, Álvaro 4 Chu, Chih-Kang 4 Cui, Zhenyu 4 Dai, Min 4 Davis, Mark Herbert Ainsworth 4 Escobar, Marcos 4 Ewald, Christian-Oliver 4 Feigenbaum, James A. 4 Fujii, Masaaki 4 Funahashi, Hideharu 4 Giacometti, Rosella 4 Glasserman, Paul 4 Grasselli, Martino 4 Guégan, Dominique 4 Guidolin, Massimo 4 Guillaume, Florence 4 Han, Liyan 4 He, Xuezhong 4 Heath, David C. 4 Hilliard, Jitka 4 Horvath, Blanka 4 Jaimungal, Sebastian 4 Jaisson, Thibault 4 Kim, Kyoung-Kuk 4 Korn, Ralf 4 Lehalle, Charles-Albert 4 Lleo, Sébastien 4 Lütkebohmert, Eva 4 Lux, Thomas C. H. 4 Ma, Jingtang 4 MacLean, Leonard C. 4 Mantegna, Rosario Nunzio 4 Marazzina, Daniele 4 Mastromatteo, Iacopo ...and 2,845 more Authors all top 5 Fields 1,803 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 408 Statistics (62-XX) 361 Probability theory and stochastic processes (60-XX) 94 Numerical analysis (65-XX) 86 Operations research, mathematical programming (90-XX) 52 Computer science (68-XX) 52 Systems theory; control (93-XX) 37 General and overarching topics; collections (00-XX) 23 Partial differential equations (35-XX) 14 History and biography (01-XX) 13 Measure and integration (28-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Approximations and expansions (41-XX) 6 Combinatorics (05-XX) 6 Integral transforms, operational calculus (44-XX) 4 Integral equations (45-XX) 4 Information and communication theory, circuits (94-XX) 2 Nonassociative rings and algebras (17-XX) 2 Real functions (26-XX) 2 Abstract harmonic analysis (43-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Ordinary differential equations (34-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 1,231 Publications have been cited 8,798 times in 5,781 Documents Cited by ▼ Year ▼ Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174Cont, R. 212 2001 Volatility is rough. Zbl 1400.91590Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu 155 2018 An exact and explicit solution for the valuation of American put options. Zbl 1136.91468Zhu, Song-Ping 104 2006 Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191Cont, Rama; Deguest, Romain; Scandolo, Giacomo 94 2010 Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander 93 2010 Ambiguity in portfolio selection. Zbl 1190.91138Pflug, Georg; Wozabal, David 79 2007 A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240Lord, Roger; Koekkoek, Remmert; van Dijk, Dick 77 2010 Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F. 73 2013 High-frequency trading in a limit order book. Zbl 1152.91024Avellaneda, Marco; Stoikov, Sasha 72 2008 A multifactor volatility Heston model. Zbl 1152.91500Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio 67 2008 Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438Kraft, Holger 66 2005 No-dynamic-arbitrage and market impact. Zbl 1194.91208Gatheral, Jim 59 2010 Information and option pricings. Zbl 1405.91619Guo, X. 58 2001 A multivariate jump-driven financial asset model. Zbl 1134.91446Luciano, Elisa; Schoutens, Wim 54 2006 Statistical arbitrage in the US equities market. Zbl 1194.91196Avellaneda, Marco; Lee, Jeong-Hyun 53 2010 Pairs trading. Zbl 1134.91415Elliott, Robert J.; van der Hoek, John; Malcolm, William P. 53 2005 On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168Vigna, Elena 52 2014 Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425Hobson, David; Laurence, Peter; Wang, Tai-Ho 46 2005 Robust risk measurement and model risk. Zbl 1294.91076Glasserman, Paul; Xu, Xingbo 45 2014 Hierarchies of Archimedean copulas. Zbl 1270.91086Savu, Cornelia; Trede, Mark 45 2010 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286Carmona, René; Ludkovski, Michael 44 2010 Portfolio selection with higher moments. Zbl 1195.91181Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter 44 2010 Optimal high-frequency trading with limit and market orders. Zbl 1280.91148Guilbaud, Fabien; Pham, Huyên 43 2013 Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph 43 2005 On elicitable risk measures. Zbl 1395.91506Bellini, Fabio; Bignozzi, Valeria 43 2015 Functional Itô calculus. Zbl 1420.91458Dupire, Bruno 42 2019 Pricing under rough volatility. Zbl 1465.91108Bayer, Christian; Friz, Peter; Gatheral, Jim 41 2016 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033Hubalek, Friedrich; Sgarra, Carlo 39 2006 Higher moment coherent risk measures. Zbl 1190.91074Krokhmal, Pavlo A. 39 2007 Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777Fukasawa, Masaaki 39 2017 Arbitrage-free SVI volatility surfaces. Zbl 1308.91187Gatheral, Jim; Jacquier, Antoine 37 2014 Network topology of the interbank market. Zbl 1405.91729Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan 37 2004 Limit order books. Zbl 1284.91584Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D. 36 2013 Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750Bacry, Emmanuel; Muzy, Jean-François 36 2014 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 36 2014 Thou shalt buy and hold. Zbl 1154.91478Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 36 2008 Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387Musiela, M.; Zariphopoulou, T. 36 2009 Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173Breymann, W.; Dias, A.; Embrechts, P. 36 2003 The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481Benth, Fred Espen; Benth, Jūratė Šaltytė 32 2007 A jump telegraph model for option pricing. Zbl 1151.91535Ratanov, Nikita 32 2007 A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130Zeng, Xudong; Taksar, Michael 32 2013 The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien 32 2012 Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181Moreni, N.; Pallavicini, A. 32 2014 A multi-quality model of interest rates. Zbl 1158.91353Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony 32 2009 CDO pricing with nested Archimedean copulas. Zbl 1213.91074Hofert, Marius; Scherer, Matthias 32 2011 Multi-scaling in finance. Zbl 1278.91118di Matteo, T. 32 2007 A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Zbl 1192.91177Jeannin, Marc; Pistorius, Martijn 31 2010 Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes. Zbl 1405.91730Bouchaud, Jean-Philippe; Gefen, Yuval; Potters, Marc; Wyart, Matthieu 31 2004 Deep hedging. Zbl 1420.91450Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B. 30 2019 Estimating value-at-risk: a point process approach. Zbl 1118.91353Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J. 30 2005 Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112Chronopoulou, Alexandra; Viens, Frederi G. 29 2012 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 29 2011 Probability distribution of returns in the Heston model with stochastic volatility. Zbl 1405.91734Drǎgulescu, Adrian A.; Yakovenko, Victor M. 29 2002 Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156Drimus, Gabriel G. 28 2012 Order book approach to price impact. Zbl 1134.91379Weber, P.; Rosenow, B. 28 2005 Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176Hambly, Ben; Howison, Sam; Kluge, Tino 28 2009 Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430Broadie, Mark; Cao, Menghui 28 2008 Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431Kahl, Christian; Jäckel, Peter 27 2006 Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam 27 2007 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen 27 2012 Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701Anand, Kartik; Craig, Ben; von Peter, Goetz 27 2015 Optimal positioning in derivative securities. Zbl 1405.91599Carr, P.; Madan, D. 27 2001 Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A. 26 2007 Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217Bo, Lijun; Wang, Yongjin; Yang, Xuewei 26 2011 Statistical theory of the continuous double auction. Zbl 1405.91241Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya 26 2003 Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 25 2006 What good is a volatility model? Zbl 1405.91612Engle, R. F.; Patton, A. J. 25 2001 Dynamics of implied volatility surfaces. Zbl 1405.91603Cont, Rama; Da Fonseca, José 25 2002 Extension of stochastic volatility equity models with the Hull-White interest rate process. Zbl 1241.91124Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha 24 2012 Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551Malevergne, Y.; Pisarenko, V.; Sornette, D. 24 2005 The multiplex structure of interbank networks. Zbl 1398.91703Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F. 24 2015 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160Elliott, Robert J.; Lian, Guang-Hua 24 2013 Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162Feinstein, Zachary; Rudloff, Birgit 24 2013 Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. Zbl 1405.91559Jobst, N. J.; Horniman, M. D.; Lucas, C. A.; Mitra, G. 24 2001 Riding on the smiles. Zbl 1277.91176da Fonseca, José; Grasselli, Martino 23 2011 On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei 23 2011 Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172Fengler, Matthias R. 23 2009 Risk-sensitive benchmarked asset management. Zbl 1140.91383Davis, Mark; Lleo, Sébastien 23 2008 Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558Højgaard, Bjarne; Taksar, Michael 23 2004 Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B. 22 2019 Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc 22 2006 An empirical analysis of multivariate copula models. Zbl 1180.91314Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian 22 2009 Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333Grabchak, Michael; Samorodnitsky, Gennady 22 2010 On refined volatility smile expansion in the Heston model. Zbl 1267.91068Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan 22 2011 PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek 22 2005 Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction. Zbl 1405.91251Choulli, T.; Taksar, M.; Zhou, X. Y. 22 2001 Lifting the Heston model. Zbl 1441.91093Jaber, Eduardo Abi 21 2019 A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David 21 2015 Robust portfolio selection under downside risk measures. Zbl 1180.91280Zhu, Shushang; Li, Duan; Wang, Shouyang 21 2009 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Zbl 1281.91150Ahlip, Rehez; Rutkowski, Marek 21 2013 Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity. Zbl 1281.91083Bianchi, S.; Pantanella, A.; Pianese, A. 21 2013 Asymptotics and calibration of local volatility models. Zbl 1405.91586Berestycki, H.; Busca, J.; Florent, I. 21 2002 Sato processes and the valuation of structured products. Zbl 1171.91327Eberlein, Ernst; Madan, Dilip B. 20 2009 Regression-based algorithms for life insurance contracts with surrender guarantees. Zbl 1210.91056Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro 20 2010 Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171Bingham, N. H.; Kiesel, Rüdiger 20 2002 A two-factor model for the electricity forward market. Zbl 1169.91370Kiesel, Rüdiger; Schindlmayr, Gero; Börger, Reik H. 19 2009 A simple approach for pricing equity options with Markov switching state variables. Zbl 1136.91410Aingworth, Donald D.; Das, Sanjiv R.; Motwani, Rajeev 19 2006 Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159Øksendal, Bernt; Sulem, Agnès 19 2011 Integer-valued Lévy processes and low latency financial econometrics. Zbl 1278.91156Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil 19 2012 Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417Friz, Peter; Gatheral, Jim 19 2005 State-dependent Hawkes processes and their application to limit order book modelling. Zbl 1490.91199Morariu-Patrichi, Maxime; Pakkanen, Mikko S. 3 2022 Stationary increments reverting to a tempered fractional Lévy process (TFLP). Zbl 07562216Madan, Dilip B.; Wang, King 2 2022 Distributionally robust portfolio optimization with linearized STARR performance measure. Zbl 1484.91427Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang 1 2022 Lifetime consumption and investment with housing, deferred annuities and home equity release. Zbl 1484.91388Jang, Chul; Owadally, Iqbal; Clare, Andrew; Kashif, Muhammad 1 2022 Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm. Zbl 1484.91441Zhang, Xin; Wu, Lan; Chen, Zhixue 1 2022 Portfolio optimization with a prescribed terminal wealth distribution. Zbl 1484.91422Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei 1 2022 A fast algorithm for simulation of rough volatility models. Zbl 1490.91218Ma, Jingtang; Wu, Haofei 1 2022 Short-dated smile under rough volatility: asymptotics and numerics. Zbl 1487.91137Friz, Peter K.; Gassiat, Paul; Pigato, Paolo 1 2022 Robust control in a rough environment. Zbl 1490.91183Han, Bingyan; Ying Wong, Hoi 1 2022 Tempered stable processes with time-varying exponential tails. Zbl 1490.91214Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael 1 2022 Optimal trade execution for Gaussian signals with power-law resilience. Zbl 1487.91131Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin 1 2022 Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204Asmussen, Søren; Bladt, Mogens 1 2022 Cheapest-to-deliver collateral: a common factor approach. Zbl 1496.91092Wolf, F. L.; Grzelak, L. A.; Deelstra, G. 1 2022 Static replication of European standard dispersion options. Zbl 1491.91139Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew 1 2022 A new representation of the risk-neutral distribution and its applications. Zbl 1491.91141Cui, Zhenyu; Xu, Yuewu 1 2022 On the investment strategies in occupational pension plans. Zbl 1491.91104Bosserhoff, F.; Chen, A.; Sørensen, N.; Stadje, M. 1 2022 What is the value of the cross-sectional approach to deep reinforcement learning? Zbl 1491.91113Aboussalah, Amine Mohamed; Xu, Ziyun; Lee, Chi-Guhn 1 2022 Forecasting with fractional Brownian motion: a financial perspective. Zbl 1497.91289Garcin, Matthieu 1 2022 Pairs trading under delayed cointegration. Zbl 1498.91425Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying 1 2022 Learning a functional control for high-frequency finance. Zbl 1505.91370Leal, L.; Lauriere, M.; Lehalle, C.-A. 1 2022 Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. Zbl 1479.91400Horvath, Blanka; Muguruza, Aitor; Tomas, Mehdi 10 2021 Volatility has to be rough. Zbl 1484.91474Fukasawa, Masaaki 7 2021 \(G\)-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116Pun, Chi Seng 6 2021 Equal risk pricing of derivatives with deep hedging. Zbl 1476.91177Carbonneau, Alexandre; Godin, Frédéric 6 2021 Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions. Zbl 1479.91393Chen, Yangang; Wan, Justin W. L. 5 2021 Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty. Zbl 1466.91277Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang 4 2021 A functional analysis approach to the static replication of European options. Zbl 1477.91052Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew 4 2021 A Markov chain approximation scheme for option pricing under skew diffusions. Zbl 1466.91332Ding, Kailin; Cui, Zhenyu; Wang, Yongjin 3 2021 XVA analysis from the balance sheet. Zbl 1479.91387Albanese, Claudio; Crépey, Stéphane; Hoskinson, Rodney; Saadeddine, Bouazza 3 2021 Uncertainty shocks of Trump election in an interval model of stock market. Zbl 1479.91383Sun, Yuying; Qiao, Kenan; Wang, Shouyang 3 2021 The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355Cordi, Marcus; Challet, Damien; Kassibrakis, Serge 2 2021 Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units. Zbl 1466.91371Dong, W.; Kang, B. 2 2021 Algorithmic market making for options. Zbl 1479.91388Baldacci, Bastien; Bergault, Philippe; Guéant, Olivier 2 2021 Multivariate continuous-time modeling of wind indexes and hedging of wind risk. Zbl 1479.91390Benth, Fred E.; Christensen, Troels S.; Rohde, Victor 2 2021 Effects of a government subsidy and labor flexibility on portfolio selection and retirement. Zbl 1479.91362Park, Kyunghyun; Lee, Hyoseob; Shin, Yong Hyun 2 2021 Optimal multi-asset trading with linear costs: a mean-field approach. Zbl 1467.91171Emschwiller, Matt; Petit, Benjamin; Bouchaud, Jean-Philippe 1 2021 A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints. Zbl 1466.91287Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry 1 2021 Martingale transport with homogeneous stock movements. Zbl 1466.91334Eckstein, Stephan; Kupper, Michael 1 2021 Static replication of barrier-type options via integral equations. Zbl 1466.91343Kim, Kyoung-Kuk; Lim, Dong-Young 1 2021 Pricing and hedging performance on pegged FX markets based on a regime switching model. 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Zbl 1465.91047Fry, John; Burke, Matt 1 2020 ...and 1131 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 7,607 Authors 45 Siu, Tak Kuen 40 Zhu, Songping 30 Madan, Dilip B. 29 Sornette, Didier 29 Wong, Hoi Ying 27 Oosterlee, Cornelis Willebrordus 26 Elliott, Robert James 26 Lillo, Fabrizio 25 Bouchaud, Jean-Philippe 25 Schoutens, Wim 24 Jaimungal, Sebastian 24 Schied, Alexander 23 Cartea, Álvaro 23 Jacquier, Antoine 23 Wang, Ruodu 22 Zagst, Rudi 21 Cui, Zhenyu 21 Forsyth, Peter A. 20 Benth, Fred Espen 20 Fabozzi, Frank J. 20 Kim, Jeong-Hoon 18 Friz, Peter Karl 18 Wang, Yongjin 17 Bayer, Christian 17 Ching, Wai-Ki 17 He, Xinjiang 17 Hofert, Marius 17 Li, Zhongfei 17 Pham, Huyên 17 Ratanov, Nikita 17 Rosenbaum, Mathieu 17 Stanley, H. 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