# zbMATH — the first resource for mathematics

## 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: 1,699 Publications (since 2001) References Indexed: 1,598 Publications with 51,654 References.
all top 5

#### Latest Issues

 21, No. 3 (2021) 21, No. 2 (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. 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) 14, No. 2 (2014) 14, No. 1 (2014) 13, No. 12 (2013) 13, No. 11 (2013) 13, No. 10 (2013) 13, No. 9 (2013) 13, No. 8 (2013) 13, No. 7 (2013) 13, No. 6 (2013) 13, No. 5 (2013) 13, No. 4 (2013) 13, No. 3 (2013) 13, No. 2 (2013) 13, No. 1 (2013) 12, No. 12 (2012) 12, No. 11 (2012) 12, No. 10 (2012) ...and 87 more Volumes
all top 5

#### Authors

 23 Sornette, Didier 22 Bouchaud, Jean-Philippe 18 Madan, Dilip B. 17 Lillo, Fabrizio 14 Zumbach, Gilles O. 11 Elliott, Robert James 11 Farmer, James Doyne 10 Bormetti, Giacomo 10 Dempster, Michael A. H. 10 Fabozzi, Frank J. 10 Gatheral, Jim 10 Joshi, Mark S. 10 Platen, Eckhard 9 Kwok, Yue-Kuen 9 Rebonato, Riccardo 9 Schoutens, Wim 9 Siu, Tak Kuen 9 Stanley, H. Eugene 8 Bayer, Christian 8 Eberlein, Ernst W. 8 Härdle, Wolfgang Karl 7 Bacry, Emmanuel 7 Brigo, Damiano 7 Challet, Damien 7 Cont, Rama 7 Kijima, Masaaki 7 Malevergne, Yannick 7 Muzy, Jean-François 6 Abergel, Frédéric 6 Chiarella, Carl 6 Friz, Peter Karl 6 Gerlach, Richard H. 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 Albanese, Claudio 5 Carr, Peter P. 5 Creamer, Germán G. 5 Crepey, Stephane 5 Fouque, Jean-Pierre 5 Grzelak, Lech A. 5 Levendorskiĭ, Sergeĭ Zakharovich 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 Wong, Hoi Ying 5 Ziemba, William T. 4 Avellaneda, Marco 4 Baviera, Roberto 4 Bellini, Fabio 4 Cartea, Álvaro 4 Chu, Chih-Kang 4 Dai, Min 4 Davis, Mark H. A. 4 Escobar, Marcos 4 Ewald, Christian-Oliver 4 Feigenbaum, James A. 4 Fujii, Masaaki 4 Giacometti, Rosella 4 Glasserman, Paul 4 Grasselli, Martino 4 Guégan, Dominique 4 Guidolin, Massimo 4 Guillaume, Florence 4 He, Xuezhong 4 Heath, David C. 4 Hilliard, Jimmy E. 4 Jaimungal, Sebastian 4 Kim, Jeong-Hoon 4 Kim, Kyoung-Kuk 4 Lleo, Sébastien 4 Lorig, Matthew J. 4 Mantegna, Rosario Nunzio 4 Marazzina, Daniele 4 Medova, Elena A. 4 Mercurio, Fabio 4 Mitra, Gautam 4 Mulvey, John M. 4 Nagurney, Anna 4 Norton Kercheval, Alec 4 Pallavicini, Andrea 4 Plerou, Vasiliki 4 Poulsen, Rolf 4 Rosenbaum, Mathieu 4 Sircar, Ronnie 4 Taleb, Nassim Nicholas 4 Tempone, Raúl F. 4 Wang, Tai-Ho 4 Wang, Yongjin 4 Yang, Jinqiang 4 Yin, Libo 4 Yu, Philip Leung Ho ...and 2,540 more Authors
all top 5

#### Fields

 1,618 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 374 Statistics (62-XX) 327 Probability theory and stochastic processes (60-XX) 88 Numerical analysis (65-XX) 79 Operations research, mathematical programming (90-XX) 42 Systems theory; control (93-XX) 31 Computer science (68-XX) 29 General and overarching topics; collections (00-XX) 19 Partial differential equations (35-XX) 13 Measure and integration (28-XX) 11 History and biography (01-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Harmonic analysis on Euclidean spaces (42-XX) 6 Combinatorics (05-XX) 6 Integral transforms, operational calculus (44-XX) 5 Approximations and expansions (41-XX) 3 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 Integral equations (45-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 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) 1 Mathematics education (97-XX)

#### Citations contained in zbMATH Open

999 Publications have been cited 6,456 times in 4,459 Documents Cited by Year
Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174
Cont, R.
2001
An exact and explicit solution for the valuation of American put options. Zbl 1136.91468
Zhu, Song-Ping
2006
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
2018
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
2010
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
2010
A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick
2010
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
2013
High-frequency trading in a limit order book. Zbl 1152.91024
Avellaneda, Marco; Stoikov, Sasha
2008
A multifactor volatility Heston model. Zbl 1152.91500
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
2008
Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438
Kraft, Holger
2005
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
2007
No-dynamic-arbitrage and market impact. Zbl 1194.91208
Gatheral, Jim
2010
A multivariate jump-driven financial asset model. Zbl 1134.91446
Luciano, Elisa; Schoutens, Wim
2006
Information and option pricings. Zbl 1405.91619
Guo, X.
2001
Statistical arbitrage in the US equities market. Zbl 1194.91196
Avellaneda, Marco; Lee, Jeong-Hyun
2010
Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425
Hobson, David; Laurence, Peter; Wang, Tai-Ho
2005
Elliott, Robert J.; van der Hoek, John; Malcolm, William P.
2005
Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450
Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph
2005
Hierarchies of Archimedean copulas. Zbl 1270.91086
Savu, Cornelia; Trede, Mark
2010
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
2014
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
2013
Valuation of energy storage: an optimal switching approach. Zbl 1203.91286
Carmona, René; Ludkovski, Michael
2010
On elicitable risk measures. Zbl 1395.91506
Bellini, Fabio; Bignozzi, Valeria
2015
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
2008
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
2014
Higher moment coherent risk measures. Zbl 1190.91074
Krokhmal, Pavlo A.
2007
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
2006
Portfolio selection with higher moments. Zbl 1195.91181
Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter
2010
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
2010
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
2011
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
2014
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
2007
Order book approach to price impact. Zbl 1134.91379
Weber, P.; Rosenow, B.
2005
Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387
Musiela, M.; Zariphopoulou, T.
2009
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
2014
Arbitrage-free SVI volatility surfaces. Zbl 1308.91187
Gatheral, Jim; Jacquier, Antoine
2014
A multi-quality model of interest rates. Zbl 1158.91353
Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony
2009
A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130
Zeng, Xudong; Taksar, Michael
2013
Limit order books. Zbl 1284.91584
Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D.
2013
Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156
Drimus, Gabriel G.
2012
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
2011
Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701
Anand, Kartik; Craig, Ben; von Peter, Goetz
2015
Network topology of the interbank market. Zbl 1405.91729
Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan
2004
Multi-scaling in finance. Zbl 1278.91118
di Matteo, T.
2007
Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139
Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam
2007
A jump telegraph model for option pricing. Zbl 1151.91535
Ratanov, Nikita
2007
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
2017
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
2004
Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431
Kahl, Christian; Jäckel, Peter
2006
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
2005
Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181
Moreni, N.; Pallavicini, A.
2014
Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176
Hambly, Ben; Howison, Sam; Kluge, Tino
2009
On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181
Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei
2011
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen
2012
Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217
Bo, Lijun; Wang, Yongjin; Yang, Xuewei
2011
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
2006
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
2011
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
2019
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.
2001
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
2003
Statistical theory of the continuous double auction. Zbl 1405.91241
Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya
2003
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558
Højgaard, Bjarne; Taksar, Michael
2004
Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430
2008
Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172
Fengler, Matthias R.
2009
The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072
Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien
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
2012
Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137
Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A.
2007
Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415
Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc
2006
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.
2001
Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417
Friz, Peter; Gatheral, Jim
2005
PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
2005
An empirical analysis of multivariate copula models. Zbl 1180.91314
Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian
2009
Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333
2010
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
2001
The multiplex structure of interbank networks. Zbl 1398.91703
Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F.
2015
Sato processes and the valuation of structured products. Zbl 1171.91327
2009
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
2009
Riding on the smiles. Zbl 1277.91176
da Fonseca, José; Grasselli, Martino
2011
Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112
Chronopoulou, Alexandra; Viens, Frederi G.
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
2013
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Zbl 1281.91150
Ahlip, Rehez; Rutkowski, Marek
2013
Regression-based algorithms for life insurance contracts with surrender guarantees. Zbl 1210.91056
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro
2010
Asymptotics and calibration of local volatility models. Zbl 1405.91586
Berestycki, H.; Busca, J.; Florent, I.
2002
Risk-sensitive benchmarked asset management. Zbl 1140.91383
Davis, Mark; Lleo, Sébastien
2008
A simple approach for pricing equity options with Markov switching state variables. Zbl 1136.91410
Aingworth, Donald D.; Das, Sanjiv R.; Motwani, Rajeev
2006
Portfolio diversification and value at risk under thick-tailedness. Zbl 1176.91146
Ibragimov, Rustam
2009
An improved convolution algorithm for discretely sampled Asian options. Zbl 1232.91653
Černý, Aleš; Kyriakou, Ioannis
2011
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options. Zbl 1229.91300
Carr, Peter; Crosby, John
2010
Optimal positioning in derivative securities. Zbl 1405.91599
2001
A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573
Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David
2015
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
2002
Rank reduction of correlation matrices by majorization. Zbl 1405.91647
Pietersz, Raoul; Groenen, Patrick J. F.
2004
Moment swaps. Zbl 1134.91461
Schoutens, Wim
2005
Pricing of geometric Asian options under Heston’s stochastic volatility model. Zbl 1402.91792
Kim, Bara; Wee, In-Suk
2014
Risk minimization in stochastic volatility models: model risk and empirical performance. Zbl 1188.91220
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, Christian-Oliver
2009
Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159
Øksendal, Bernt; Sulem, Agnès
2011
Leverage causes fat tails and clustered volatility. Zbl 1278.91154
Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John
2012
Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162
Feinstein, Zachary; Rudloff, Birgit
2013
An enhanced model for portfolio choice with SSD criteria: a constructive approach. Zbl 1258.91195
Fábián, Csaba I.; Mitra, Gautam; Roman, Diana; Zverovich, Victor
2011
On VIX futures in the rough Bergomi model. Zbl 1400.91596
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor
2017
$$G$$-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116
Pun, Chi Seng
2021
The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355
Cordi, Marcus; Challet, Damien; Kassibrakis, Serge
2021
Robust statistical arbitrage strategies. Zbl 1466.91345
Lütkebohmert, Eva; Sester, Julian
2021
Pricing methods for $$\alpha$$-quantile and perpetual early exercise options based on Spitzer identities. Zbl 1454.91304
Phelan, C. E.; Marazzina, D.; Germano, G.
2020
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
2020
Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387
2020
Quasi-Monte Carlo-based conditional pathwise method for option Greeks. Zbl 1431.91437
Zhang, Chaojun; Wang, Xiaoqun
2020
Slow-moving capital and stock returns. Zbl 1454.91315
Isaenko, Sergey
2020
Forward or backward simulation? A comparative study. Zbl 1454.91305
Sabino, Piergiacomo
2020
An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes. Zbl 1454.91278
Chan, Tat Lung (Ron)
2020
A neural network approach to understanding implied volatility movements. Zbl 1454.91275
Cao, Jay; Chen, Jacky; Hull, John
2020
Quant GANs: deep generation of financial time series. Zbl 1454.91366
Wiese, Magnus; Knobloch, Robert; Korn, Ralf; Kretschmer, Peter
2020
An options-pricing approach to election prediction. Zbl 1465.91047
Fry, John; Burke, Matt
2020
Co-impact: crowding effects in institutional trading activity. Zbl 1448.91279
Bucci, F.; Mastromatteo, I.; Eisler, Z.; Lillo, F.; Bouchaud, J.-P.; Lehalle, C.-A.
2020
The Zumbach effect under rough Heston. Zbl 1448.91295
2020
A closed-form formula characterization of the Epps effect. Zbl 1448.91278
Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; Pollastri, Alessandro
2020
Buy rough, sell smooth. Zbl 1466.91336
Glasserman, Paul; He, Pu
2020
Calibrating rough volatility models: a convolutional neural network approach. Zbl 1466.91318
Stone, Henry
2020
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
2019
Deep hedging. Zbl 1420.91450
Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B.
2019
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.
2019
Lifting the Heston model. Zbl 1441.91093
Jaber, Eduardo Abi
2019
Tightening robust price bounds for exotic derivatives. Zbl 1429.91324
Lütkebohmert, Eva; Sester, Julian
2019
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method. Zbl 1420.91130
Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan
2019
Universal features of price formation in financial markets: perspectives from deep learning. Zbl 1420.91433
Sirignano, Justin; Cont, Rama
2019
Cross-impact and no-dynamic-arbitrage. Zbl 1407.91235
Schneider, M.; Lillo, F.
2019
Stock performance by utility indifference pricing and the Sharpe ratio. Zbl 1420.91547
Hodoshima, Jiro
2019
Optimal investment and consumption under a continuous-time cointegration model with exponential utility. Zbl 1420.91427
Ma, Guiyuan; Zhu, Song-Ping
2019
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model. Zbl 1435.62420
Borup, Daniel; Jakobsen, Johan S.
2019
Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu
2019
Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts. Zbl 1420.91428
Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas
2019
The impact of a partial borrowing limit on financial decisions. Zbl 1420.91138
Lim, Byung Hwa; Kwak, Minsuk
2019
Estimation of risk contributions with MCMC. Zbl 1420.91528
Koike, Takaaki; Minami, Mihoko
2019
Simulation-based value-at-risk for nonlinear portfolios. Zbl 1422.91780
Chen, Junyao; Sit, Tony; Wong, Hoi Ying
2019
American option pricing under the double Heston model based on asymptotic expansion. Zbl 1420.91363
Zhang, S. M.; Feng, Y.
2019
Bubble detection and sector trading in real time. Zbl 1420.91551
Milunovich, George; Shi, Shuping; Tan, David
2019
Dynamic portfolio choice without cash. Zbl 1420.91423
Lam, Chi Kin; Xu, Yuhong; Yin, Guosheng
2019
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions. Zbl 1428.62048
Grzelak, L. A.; Witteveen, J. A. S.; Suárez-Taboada, M.; Oosterlee, C. W.
2019
Implied stopping rules for American basket options from Markovian projection. Zbl 1420.91446
Bayer, Christian; Häppölä, Juho; Tempone, Raúl
2019
A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462
Hainaut, Donatien; Deelstra, Griselda
2019
The principle of not feeling the boundary for the SABR model. Zbl 1420.91452
Chen, Nan; Yang, Nian
2019
Risk parity portfolio optimization under a Markov regime-switching framework. Zbl 1420.91410
Costa, Giorgio; Kwon, Roy H.
2019
On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105
Han, Zheng; Hu, Yaozhong; Lee, Chihoon
2019
Deep learning for limit order books. Zbl 1420.91555
Sirignano, Justin A.
2019
Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S&P 500. Zbl 1420.91548
Knoll, Julian; Stübinger, Johannes; Grottke, Michael
2019
Asian option pricing with orthogonal polynomials. Zbl 1420.91481
Willems, Sander
2019
A recursive method for static replication of autocallable structured products. Zbl 1420.91470
Kim, Kyoung-Kuk; Lim, Dong-Young
2019
Gold price dynamics and the role of uncertainty. Zbl 1420.91102
Beckmann, Joscha; Berger, Theo; Czudaj, Robert
2019
A simple mechanism for financial bubbles: time-varying momentum horizon. Zbl 1420.91549
Lin, L.; Schatz, M.; Sornette, D.
2019
Real options under a double exponential jump-diffusion model with regime switching and partial information. Zbl 1420.91500
Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun
2019
Leveraging a call-put ratio as a trading signal. Zbl 1420.91417
Houlihan, Patrick; Creamer, Germán G.
2019
A financially justifiable and practically implementable approach to coherent stress testing. Zbl 1420.91554
Rebonato, Riccardo
2019
Enhancing the momentum strategy through deep regression. Zbl 1420.91420
Kim, Saejoon
2019
The influence of intraday seasonality on volatility transmission pattern. Zbl 1420.91537
Alemany, N.; Aragó, V.; Salvador, E.
2019
On the seasonality in the implied volatility of electricity options. Zbl 1420.91459
Fanelli, Viviana; Schmeck, Maren Diane
2019
Target volatility option pricing in the lognormal fractional SABR model. Zbl 1420.91441
Alòs, Elisa; Chatterjee, Rupak; Tudor, Sebastian F.; Wang, Tai-Ho
2019
Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics. Zbl 1420.91409
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang Karl
2019
Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction. Zbl 1420.91543
Chen, Shun; Ge, Lei
2019
Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design. Zbl 1420.91492
Lahmiri, Salim; Bekiros, Stelios
2019
Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models. Zbl 1422.91339
Dong, Bing; Xu, Wei; Kwok, Yue Kuen
2019
Internalisation by electronic FX spot dealers. Zbl 1407.91292
Butz, M.; Oomen, R.
2019
An extended likelihood framework for modelling discretely observed credit rating transitions. Zbl 1407.91265
Pfeuffer, M.; Möstel, L.; Fischer, M.
2019
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225
Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang
2019
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
2018
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. Zbl 1400.91648
Alonso-García, Jennifer; Wood, Oliver; Ziveyi, Jonathan
2018
Turbocharging Monte Carlo pricing for the rough Bergomi model. Zbl 1406.91486
McCrickerd, Ryan; Pakkanen, Mikko S.
2018
Smoothing the payoff for efficient computation of basket option prices. Zbl 1400.91649
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul
2018
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Zbl 1406.62151
Varneskov, Rasmus T.; Perron, Pierre
2018
Analytic value function for optimal regime-switching pairs trading rules. Zbl 1400.91527
Bai, Yang; Wu, Lan
2018
Instantaneous portfolio theory. Zbl 1400.91557
2018
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. Zbl 1406.91439
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
2018
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics. Zbl 1406.91463
Gulisashvili, Archil; Horvath, Blanka; Jacquier, Antoine
2018
Collective synchronization and high frequency systemic instabilities in financial markets. Zbl 1400.91695
Calcagnile, Lucio Maria; Bormetti, Giacomo; Treccani, Michele; Marmi, Stefano; Lillo, Fabrizio
2018
A multiple-curve Lévy forward rate model in a two-price economy. Zbl 1400.91586
Eberlein, Ernst; Gerhart, Christoph
2018
Recursive marginal quantization of higher-order schemes. Zbl 1400.91604
McWalter, T. A.; Rudd, R.; Kienitz, J.; Platen, E.
2018
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. Zbl 1406.91425
Stübinger, Johannes; Endres, Sylvia
2018
Implicit expectiles and measures of implied volatility. Zbl 1406.91433
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit
2018
Marginal consistent dependence modelling using weak subordination for Brownian motions. Zbl 1407.62390
Michaelsen, Markus; Szimayer, Alexander
2018
A supermartingale relation for multivariate risk measures. Zbl 1406.91410
Feinstein, Zachary; Rudloff, Birgit
2018
Relative robust portfolio optimization with benchmark regret. Zbl 1406.91424
Simões, Gonçalo; McDonald, Mark; Williams, Stacy; Fenn, Daniel; Hauser, Raphael
2018
Performance of information criteria for selection of Hawkes process models of financial data. Zbl 1405.62137
Chen, J.; Hawkes, A. G.; Scalas, E.; Trinh, M.
2018
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration. Zbl 1400.91556
Lu, Xiaofei; Abergel, Frédéric
2018
Transform analysis for Hawkes processes with applications in dark pool trading. Zbl 1400.91542
Gao, Xuefeng; Zhou, Xiang; Zhu, Lingjiong
2018
COS method for option pricing under a regime-switching model with time-changed Lévy processes. Zbl 1400.91614
Tour, G.; Thakoor, N.; Khaliq, A. Q. M.; Tangman, D. Y.
2018
Linear models for the impact of order flow on prices. I: History dependent impact models. Zbl 1400.91564
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, Jean-Philippe; Lillo, Fabrizio; Tóth, Bence
2018
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. Zbl 1400.91589
Fouque, J.-P.; Saporito, Y. F.
2018
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity. Zbl 1400.91529
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.
2018
Efficient exposure computation by risk factor decomposition. Zbl 1406.91489
de Graaf, C. S. L.; Kandhai, D.; Reisinger, C.
2018
A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models. Zbl 1406.91499
Hambuckers, J.; Kneib, T.; Langrock, R.; Silbersdorff, A.
2018
Market impact with multi-timescale liquidity. Zbl 1406.91400
Benzaquen, M.; Bouchaud, J.-P.
2018
Statistical arbitrage with vine copulas. Zbl 1407.62178
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher
2018
Heterogeneous beliefs and optimal ownership in entrepreneurial financing decisions. Zbl 1406.91482
Tavares-Gärtner, Miguel; Pereira, Paulo J.; Brandão, Elísio
2018
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix. Zbl 1405.62135
Achab, M.; Bacry, E.; Muzy, J. F.; Rambaldi, M.
2018
A new integral equation formulation for American put options. Zbl 1400.91627
Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping
2018
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula. Zbl 1400.91628
de Marco, Stefano; Martini, Claude
2018
Forecasting and trading high frequency volatility on large indices. Zbl 1400.91555
Liu, Fei; Pantelous, Athanasios A.; von Mettenheim, Hans-Jörg
2018
The shifting dependence dynamics between the G7 stock markets. Zbl 1400.91528
Bensaïda, Ahmed; Boubaker, Sabri; Nguyen, Duc Khuong
2018
Estimating a regime switching pairs trading model. Zbl 1400.91539
2018
Robust and consistent estimation of generators in credit risk. Zbl 1400.91635
Dos Reis, G.; Smith, G.
2018
Singular Fourier-Padé series expansion of European option prices. Zbl 1400.91583
Chan, Tat Lung (Ron)
2018
...and 899 more Documents
all top 5

#### Cited by 5,854 Authors

 38 Siu, Tak Kuen 32 Zhu, Songping 25 Madan, Dilip B. 25 Sornette, Didier 24 Bouchaud, Jean-Philippe 24 Schoutens, Wim 22 Lillo, Fabrizio 21 Elliott, Robert James 21 Jacquier, Antoine 21 Oosterlee, Cornelis Willebrordus 20 Schied, Alexander 19 Jaimungal, Sebastian 19 Wong, Hoi Ying 18 Cartea, Álvaro 18 Wang, Yongjin 17 Forsyth, Peter A. 17 Wang, Ruodu 16 Cui, Zhenyu 16 Hofert, Marius 16 Rutkowski, Marek 16 Zagst, Rudi 15 Bernard, Carole 15 Ching, Wai-Ki 15 Escobar, Marcos 15 Hayat, Tasawar 15 Kim, Jeong-Hoon 15 Leung, Tim 15 Li, Zhongfei 15 Ratanov, Nikita 15 Takahashi, Akihiko 14 Benth, Fred Espen 14 Bormetti, Giacomo 14 Crepey, Stephane 14 Dang, Duy Minh 14 Deelstra, Griselda 14 Eberlein, Ernst W. 14 Fabozzi, Frank J. 14 Pham, Huyên 14 Rosenbaum, Mathieu 14 Yang, Xuewei 13 Bielecki, Tomasz R. 13 Bo, Lijun 13 Yang, Hailiang 13 Yao, Haixiang 12 Bacry, Emmanuel 12 Chen, Wenting 12 Chen, Zhiping 12 Farmer, James Doyne 12 Friz, Peter Karl 12 Fusai, Gianluca 12 Gatheral, Jim 12 Grasselli, Martino 12 Hainaut, Donatien 12 He, Xinjiang 12 Papapantoleon, Antonis 12 Stanley, H. Eugene 11 Bayer, Christian 11 Kwok, Yue-Kuen 11 Levendorskiĭ, Sergeĭ Zakharovich 11 Liao, Shijun 11 Lorig, Matthew J. 11 Pistorius, Martijn R. 11 Shen, Yang 11 Vanduffel, Steven 11 Zariphopoulou, Thaleia 11 Zhu, Lingjiong 10 Grabchak, Michael 10 Gulisashvili, Archil 10 Jin, Zhuo 10 Muzy, Jean-François 10 Paterlini, Sandra 10 Platen, Eckhard 10 Rudloff, Birgit 10 Scherer, Matthias 10 Yuen, Kam Chuen 10 Zeng, Yan 9 Abergel, Frédéric 9 Biagini, Francesca 9 Chiarella, Carl 9 Cont, Rama 9 Embrechts, Paul 9 Filipović, Damir 9 Härdle, Wolfgang Karl 9 Hu, Yijun 9 Joshi, Mark S. 9 Kijima, Masaaki 9 Klüppelberg, Claudia 9 Li, Duan 9 Liang, Zongxia 9 Meyer-Brandis, Thilo 9 Nadarajah, Saralees 9 Pallavicini, Andrea 9 Pelsser, Antoon A. J. 9 Pichler, Alois 9 Reisinger, Christoph 9 Sajid, Muhammad 9 Sircar, Ronnie 9 Tankov, Peter 9 Teichmann, Josef 9 Todorov, Viktor ...and 5,754 more Authors
all top 5

#### Cited in 377 Journals

 583 Quantitative Finance 224 Insurance Mathematics & Economics 214 International Journal of Theoretical and Applied Finance 194 European Journal of Operational Research 116 SIAM Journal on Financial Mathematics 115 Journal of Economic Dynamics & Control 107 Finance and Stochastics 99 Applied Mathematical Finance 94 Journal of Computational and Applied Mathematics 87 Mathematical Finance 76 Physica A 68 Annals of Operations Research 60 Stochastic Processes and their Applications 58 Mathematics and Financial Economics 52 Journal of Econometrics 51 Review of Derivatives Research 44 Statistics & Probability Letters 43 Journal of Applied Probability 42 The Annals of Applied Probability 41 Asia-Pacific Financial Markets 40 Chaos, Solitons and Fractals 40 Applied Mathematics and Computation 40 Decisions in Economics and Finance 38 Computational Management Science 36 Annals of Finance 33 Mathematics of Operations Research 31 Journal of Industrial and Management Optimization 30 Computers & Mathematics with Applications 30 Methodology and Computing in Applied Probability 29 Discrete Dynamics in Nature and Society 28 Journal of Multivariate Analysis 28 Operations Research Letters 28 Computational Statistics and Data Analysis 28 North American Actuarial Journal 27 Journal of Statistical Computation and Simulation 27 Mathematical Problems in Engineering 26 Scandinavian Actuarial Journal 25 Journal of Statistical Mechanics: Theory and Experiment 24 Journal of Mathematical Analysis and Applications 24 Operations Research 24 Mathematical Methods of Operations Research 24 ASTIN Bulletin 23 Communications in Nonlinear Science and Numerical Simulation 22 Stochastic Analysis and Applications 20 Applied Mathematics and Optimization 19 Automatica 19 Journal of Optimization Theory and Applications 19 SIAM Journal on Control and Optimization 19 International Journal of Computer Mathematics 19 Mathematical Programming. Series A. Series B 17 Optimization 17 Bernoulli 17 Journal of Applied Statistics 16 Advances in Applied Probability 16 Stochastics 16 European Actuarial Journal 15 Journal of Statistical Physics 15 Economics Letters 15 Complexity 15 The European Physical Journal B. Condensed Matter and Complex Systems 15 Dependence Modeling 15 Probability, Uncertainty and Quantitative Risk 14 Mathematics and Computers in Simulation 14 Japan Journal of Industrial and Applied Mathematics 13 Communications in Statistics. Theory and Methods 13 Abstract and Applied Analysis 12 Computational Statistics 12 The ANZIAM Journal 11 The Annals of Statistics 11 Journal of Mathematical Economics 11 Communications in Statistics. Simulation and Computation 10 Journal of Statistical Planning and Inference 10 Chaos 10 Statistics and Computing 9 Applied Numerical Mathematics 9 Applied Mathematics Letters 9 Probability in the Engineering and Informational Sciences 9 Journal of Systems Science and Complexity 9 Journal of Applied Mathematics 9 Electronic Journal of Statistics 9 Statistics & Risk Modeling 8 Theory of Probability and its Applications 8 Computers & Operations Research 8 Journal of Scientific Computing 8 Journal of Global Optimization 8 Nonlinear Analysis. Real World Applications 8 Discrete and Continuous Dynamical Systems. Series B 8 Stochastic Models 8 OR Spectrum 8 Mathematical Control and Related Fields 7 SIAM Journal on Numerical Analysis 7 Acta Mathematicae Applicatae Sinica. English Series 7 Statistics 7 SIAM Journal on Optimization 7 SIAM Journal on Scientific Computing 7 Theory of Probability and Mathematical Statistics 7 Nonlinear Dynamics 7 Statistical Inference for Stochastic Processes 7 CEJOR. Central European Journal of Operations Research 7 Econometric Theory ...and 277 more Journals
all top 5

#### Cited in 53 Fields

 3,522 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,588 Probability theory and stochastic processes (60-XX) 1,075 Statistics (62-XX) 479 Numerical analysis (65-XX) 468 Operations research, mathematical programming (90-XX) 359 Systems theory; control (93-XX) 199 Partial differential equations (35-XX) 153 Calculus of variations and optimal control; optimization (49-XX) 67 Computer science (68-XX) 45 Statistical mechanics, structure of matter (82-XX) 44 Ordinary differential equations (34-XX) 37 Dynamical systems and ergodic theory (37-XX) 31 Approximations and expansions (41-XX) 29 Integral equations (45-XX) 26 Harmonic analysis on Euclidean spaces (42-XX) 26 Fluid mechanics (76-XX) 25 Biology and other natural sciences (92-XX) 22 Combinatorics (05-XX) 22 Real functions (26-XX) 22 Integral transforms, operational calculus (44-XX) 22 Functional analysis (46-XX) 17 Geophysics (86-XX) 15 Operator theory (47-XX) 14 Linear and multilinear algebra; matrix theory (15-XX) 14 Measure and integration (28-XX) 14 Information and communication theory, circuits (94-XX) 12 Global analysis, analysis on manifolds (58-XX) 10 General and overarching topics; collections (00-XX) 8 Special functions (33-XX) 8 Classical thermodynamics, heat transfer (80-XX) 8 Quantum theory (81-XX) 5 Functions of a complex variable (30-XX) 4 Mechanics of deformable solids (74-XX) 3 History and biography (01-XX) 3 Potential theory (31-XX) 3 Difference and functional equations (39-XX) 3 Convex and discrete geometry (52-XX) 2 Mathematical logic and foundations (03-XX) 2 Order, lattices, ordered algebraic structures (06-XX) 2 Nonassociative rings and algebras (17-XX) 2 Topological groups, Lie groups (22-XX) 2 Sequences, series, summability (40-XX) 2 Abstract harmonic analysis (43-XX) 2 Geometry (51-XX) 2 Differential geometry (53-XX) 2 General topology (54-XX) 2 Mechanics of particles and systems (70-XX) 2 Optics, electromagnetic theory (78-XX) 1 Number theory (11-XX) 1 Group theory and generalizations (20-XX) 1 Several complex variables and analytic spaces (32-XX) 1 Algebraic topology (55-XX) 1 Relativity and gravitational theory (83-XX)