×

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: 1,888 Publications (since 2001)
References Indexed: 1,775 Publications with 58,771 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 2,831 more Authors

Publications by Year

Citations contained in zbMATH Open

1,200 Publications have been cited 8,352 times in 5,583 Documents Cited by Year
Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174
Cont, R.
198
2001
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
144
2018
An exact and explicit solution for the valuation of American put options. Zbl 1136.91468
Zhu, Song-Ping
103
2006
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
88
2010
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
86
2010
A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick
75
2010
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
72
2013
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
72
2007
High-frequency trading in a limit order book. Zbl 1152.91024
Avellaneda, Marco; Stoikov, Sasha
70
2008
A multifactor volatility Heston model. Zbl 1152.91500
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
67
2008
Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438
Kraft, Holger
65
2005
No-dynamic-arbitrage and market impact. Zbl 1194.91208
Gatheral, Jim
59
2010
Information and option pricings. Zbl 1405.91619
Guo, X.
58
2001
A multivariate jump-driven financial asset model. Zbl 1134.91446
Luciano, Elisa; Schoutens, Wim
54
2006
Statistical arbitrage in the US equities market. Zbl 1194.91196
Avellaneda, Marco; Lee, Jeong-Hyun
52
2010
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
51
2014
Pairs trading. Zbl 1134.91415
Elliott, Robert J.; van der Hoek, John; Malcolm, William P.
49
2005
Hierarchies of Archimedean copulas. Zbl 1270.91086
Savu, Cornelia; Trede, Mark
44
2010
Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425
Hobson, David; Laurence, Peter; Wang, Tai-Ho
43
2005
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
43
2014
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
42
2013
Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450
Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph
42
2005
Valuation of energy storage: an optimal switching approach. Zbl 1203.91286
Carmona, René; Ludkovski, Michael
42
2010
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
40
2019
On elicitable risk measures. Zbl 1395.91506
Bellini, Fabio; Bignozzi, Valeria
40
2015
Portfolio selection with higher moments. Zbl 1195.91181
Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter
40
2010
Higher moment coherent risk measures. Zbl 1190.91074
Krokhmal, Pavlo A.
38
2007
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
37
2006
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
37
2017
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
36
2014
Network topology of the interbank market. Zbl 1405.91729
Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan
36
2004
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
36
2014
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
35
2008
Arbitrage-free SVI volatility surfaces. Zbl 1308.91187
Gatheral, Jim; Jacquier, Antoine
35
2014
Limit order books. Zbl 1284.91584
Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D.
35
2013
Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387
Musiela, M.; Zariphopoulou, T.
34
2009
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
32
2003
Multi-scaling in finance. Zbl 1278.91118
di Matteo, T.
31
2007
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
31
2007
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
31
2011
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
31
2004
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
31
2010
Pricing under rough volatility. Zbl 1465.91108
Bayer, Christian; Friz, Peter; Gatheral, Jim
30
2016
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
30
2005
The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072
Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien
30
2012
A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130
Zeng, Xudong; Taksar, Michael
30
2013
A jump telegraph model for option pricing. Zbl 1151.91535
Ratanov, Nikita
29
2007
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
29
2011
Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430
Broadie, Mark; Cao, Menghui
28
2008
Deep hedging. Zbl 1420.91450
Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B.
28
2019
A multi-quality model of interest rates. Zbl 1158.91353
Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony
28
2009
Order book approach to price impact. Zbl 1134.91379
Weber, P.; Rosenow, B.
28
2005
Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431
Kahl, Christian; Jäckel, Peter
27
2006
Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156
Drimus, Gabriel G.
27
2012
Probability distribution of returns in the Heston model with stochastic volatility. Zbl 1405.91734
Drǎgulescu, Adrian A.; Yakovenko, Victor M.
27
2002
Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701
Anand, Kartik; Craig, Ben; von Peter, Goetz
27
2015
Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137
Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A.
26
2007
Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139
Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam
26
2007
Optimal positioning in derivative securities. Zbl 1405.91599
Carr, P.; Madan, D.
26
2001
Statistical theory of the continuous double auction. Zbl 1405.91241
Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya
26
2003
Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176
Hambly, Ben; Howison, Sam; Kluge, Tino
26
2009
Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112
Chronopoulou, Alexandra; Viens, Frederi G.
26
2012
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen
26
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
25
2006
Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181
Moreni, N.; Pallavicini, A.
25
2014
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
24
2013
Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217
Bo, Lijun; Wang, Yongjin; Yang, Xuewei
24
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
24
2012
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
24
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.
24
2001
Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558
Højgaard, Bjarne; Taksar, Michael
23
2004
On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181
Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei
23
2011
Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162
Feinstein, Zachary; Rudloff, Birgit
22
2013
An empirical analysis of multivariate copula models. Zbl 1180.91314
Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian
22
2009
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
22
2002
The multiplex structure of interbank networks. Zbl 1398.91703
Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F.
22
2015
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
22
2011
Riding on the smiles. Zbl 1277.91176
da Fonseca, José; Grasselli, Martino
22
2011
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
21
2009
Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415
Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc
21
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.
21
2001
PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
21
2005
Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551
Malevergne, Y.; Pisarenko, V.; Sornette, D.
21
2005
Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172
Fengler, Matthias R.
21
2009
Sato processes and the valuation of structured products. Zbl 1171.91327
Eberlein, Ernst; Madan, Dilip B.
20
2009
Risk-sensitive benchmarked asset management. Zbl 1140.91383
Davis, Mark; Lleo, Sébastien
20
2008
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Zbl 1281.91150
Ahlip, Rehez; Rutkowski, Marek
20
2013
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.
20
2019
Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171
Bingham, N. H.; Kiesel, Rüdiger
20
2002
Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333
Grabchak, Michael; Samorodnitsky, Gennady
20
2010
Arbitrage pricing of defaultable game options with applications to convertible bonds. Zbl 1154.91426
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
19
2008
A simple approach for pricing equity options with Markov switching state variables. Zbl 1136.91410
Aingworth, Donald D.; Das, Sanjiv R.; Motwani, Rajeev
19
2006
Regression-based algorithms for life insurance contracts with surrender guarantees. Zbl 1210.91056
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro
19
2010
Pricing of geometric Asian options under Heston’s stochastic volatility model. Zbl 1402.91792
Kim, Bara; Wee, In-Suk
19
2014
Asymptotics and calibration of local volatility models. Zbl 1405.91586
Berestycki, H.; Busca, J.; Florent, I.
19
2002
A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573
Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David
19
2015
Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417
Friz, Peter; Gatheral, Jim
19
2005
Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159
Øksendal, Bernt; Sulem, Agnès
19
2011
Lifting the Heston model. Zbl 1441.91093
Jaber, Eduardo Abi
18
2019
Optimal execution with limit and market orders. Zbl 1406.91403
Cartea, Álvaro; Jaimungal, Sebastian
18
2015
State-dependent Hawkes processes and their application to limit order book modelling. Zbl 1490.91199
Morariu-Patrichi, Maxime; Pakkanen, Mikko S.
3
2022
Distributionally robust portfolio optimization with linearized STARR performance measure. Zbl 1484.91427
Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang
1
2022
Lifetime consumption and investment with housing, deferred annuities and home equity release. Zbl 1484.91388
Jang, Chul; Owadally, Iqbal; Clare, Andrew; Kashif, Muhammad
1
2022
Constructing long-short stock portfolio with a new listwise learn-to-rank algorithm. Zbl 1484.91441
Zhang, Xin; Wu, Lan; Chen, Zhixue
1
2022
Portfolio optimization with a prescribed terminal wealth distribution. Zbl 1484.91422
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei
1
2022
Short-dated smile under rough volatility: asymptotics and numerics. Zbl 1487.91137
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo
1
2022
Tempered stable processes with time-varying exponential tails. Zbl 1490.91214
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael
1
2022
Optimal trade execution for Gaussian signals with power-law resilience. Zbl 1487.91131
Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin
1
2022
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204
Asmussen, Søren; Bladt, Mogens
1
2022
Static replication of European standard dispersion options. Zbl 1491.91139
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew
1
2022
A new representation of the risk-neutral distribution and its applications. Zbl 1491.91141
Cui, Zhenyu; Xu, Yuewu
1
2022
On the investment strategies in occupational pension plans. Zbl 1491.91104
Bosserhoff, F.; Chen, A.; Sørensen, N.; Stadje, M.
1
2022
What is the value of the cross-sectional approach to deep reinforcement learning? Zbl 1491.91113
Aboussalah, Amine Mohamed; Xu, Ziyun; Lee, Chi-Guhn
1
2022
Stationary increments reverting to a tempered fractional Lévy process (TFLP). Zbl 07562216
Madan, Dilip B.; Wang, King
1
2022
Forecasting with fractional Brownian motion: a financial perspective. Zbl 07562224
Garcin, Matthieu
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
8
2021
\(G\)-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116
Pun, Chi Seng
6
2021
Volatility has to be rough. Zbl 1484.91474
Fukasawa, Masaaki
5
2021
Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty. Zbl 1466.91277
Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang
4
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.
4
2021
Equal risk pricing of derivatives with deep hedging. Zbl 1476.91177
Carbonneau, Alexandre; Godin, Frédéric
4
2021
A functional analysis approach to the static replication of European options. Zbl 1477.91052
Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew
3
2021
The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355
Cordi, Marcus; Challet, Damien; Kassibrakis, Serge
2
2021
A Markov chain approximation scheme for option pricing under skew diffusions. Zbl 1466.91332
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin
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
Algorithmic market making for options. Zbl 1479.91388
Baldacci, Bastien; Bergault, Philippe; Guéant, Olivier
2
2021
XVA analysis from the balance sheet. Zbl 1479.91387
Albanese, Claudio; Crépey, Stéphane; Hoskinson, Rodney; Saadeddine, Bouazza
2
2021
Multivariate continuous-time modeling of wind indexes and hedging of wind risk. Zbl 1479.91390
Benth, Fred E.; Christensen, Troels S.; Rohde, Victor
2
2021
Uncertainty shocks of Trump election in an interval model of stock market. Zbl 1479.91383
Sun, Yuying; Qiao, Kenan; Wang, Shouyang
2
2021
Optimal multi-asset trading with linear costs: a mean-field approach. Zbl 1467.91171
Emschwiller, Matt; Petit, Benjamin; Bouchaud, Jean-Philippe
1
2021
A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints. Zbl 1466.91287
Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry
1
2021
Martingale transport with homogeneous stock movements. Zbl 1466.91334
Eckstein, Stephan; Kupper, Michael
1
2021
Static replication of barrier-type options via integral equations. Zbl 1466.91343
Kim, Kyoung-Kuk; Lim, Dong-Young
1
2021
Pricing and hedging performance on pegged FX markets based on a regime switching model. Zbl 1464.91074
Zhang, Yunbo; Drapeau, Samuel
1
2021
Robust statistical arbitrage strategies. Zbl 1466.91345
Lütkebohmert, Eva; Sester, Julian
1
2021
Realized higher-order comoments. Zbl 1467.62171
Bae, Kwangil; Lee, Soonhee
1
2021
A cost-effective approach to portfolio construction with range-based risk measures. Zbl 1466.91298
Pun, Chi Seng; Wang, Lei
1
2021
Speed-up credit exposure calculations for pricing and risk management. Zbl 1466.91337
Glau, Kathrin; Pachon, Ricardo; Pötz, Christian
1
2021
Graph theoretical representations of equity indices and their centrality measures. Zbl 1476.91180
Di Cerbo, Luca F.; Taylor, Stephen
1
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
1
2021
Mean-variance portfolio selection with non-negative state-dependent risk aversion. Zbl 1479.91366
Wang, Tianxiao; Jin, Zhuo; Wei, Jiaqin
1
2021
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes. Zbl 1479.91386
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier
1
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.
1
2021
Effective stochastic volatility: applications to ZABR-type models. Zbl 1479.91395
Felpel, M.; Kienitz, J.; Mcwalter, T. A.
1
2021
Robust portfolios with commodities and stochastic interest rates. Zbl 1479.91355
Chen, Junhe; Davison, Matt; Escobar-Anel, M.; Zafari, Golara
1
2021
Backtesting expected shortfall and beyond. Zbl 1479.91449
Deng, Kaihua; Qiu, Jie
1
2021
Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes. Zbl 1479.91443
Fukasawa, Masaaki; Hirano, Asuto
1
2021
Estimating large losses in insurance analytics and operational risk using the g-and-h distribution. Zbl 1479.91305
Bee, M.; Hambuckers, J.; Trapin, L.
1
2021
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
13
2020
Forward or backward simulation? A comparative study. Zbl 1454.91305
Sabino, Piergiacomo
7
2020
Calibrating rough volatility models: a convolutional neural network approach. Zbl 1466.91318
Stone, Henry
5
2020
Pricing American options by exercise rate optimization. Zbl 1471.91615
Bayer, Christian; Tempone, Raúl; Wolfers, Sören
5
2020
Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš
5
2020
Quant GANs: deep generation of financial time series. Zbl 1454.91366
Wiese, Magnus; Knobloch, Robert; Korn, Ralf; Kretschmer, Peter
5
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.
4
2020
Pricing exchange options with correlated jump diffusion processes. Zbl 1471.91583
Petroni, Nicola Cufaro; Sabino, Piergiacomo
4
2020
Analyzing order flows in limit order books with ratios of Cox-type intensities. Zbl 1431.91383
Toke, Ioane Muni; Yoshida, Nakahiro
4
2020
Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model. Zbl 1454.91359
Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl
4
2020
Personalized goal-based investing via multi-stage stochastic goal programming. Zbl 1466.91293
Kim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Lin, Changle
3
2020
On the first hitting time density for a reducible diffusion process. Zbl 1466.91344
Lipton, Alexander; Kaushansky, Vadim
3
2020
Variable annuities in a Lévy-based hybrid model with surrender risk. Zbl 1466.91248
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid
3
2020
A revised option pricing formula with the underlying being banned from short selling. Zbl 1454.91289
He, Xin-Jiang; Zhu, Song-Ping
3
2020
Inversion of convex ordering in the VIX market. Zbl 1454.91288
Guyon, Julien
3
2020
Forward-looking portfolio selection with multivariate non-Gaussian models. Zbl 1454.91212
Bianchi, Michele Leonardo; Tassinari, Gian Luca
3
2020
The Zumbach effect under rough Heston. Zbl 1448.91295
El Euch, Omar; Gatheral, Jim; Radoičić, Radoš; Rosenbaum, Mathieu
2
2020
A closed-form formula characterization of the Epps effect. Zbl 1448.91278
Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; Pollastri, Alessandro
2
2020
Buy rough, sell smooth. Zbl 1466.91336
Glasserman, Paul; He, Pu
2
2020
On the dependence structure between S&P500, VIX and implicit interexpectile differences. Zbl 1469.91049
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit
2
2020
Quasi-Monte Carlo-based conditional pathwise method for option Greeks. Zbl 1431.91437
Zhang, Chaojun; Wang, Xiaoqun
2
2020
Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities. Zbl 1454.91304
Phelan, C. E.; Marazzina, D.; Germano, G.
2
2020
Stock volatility predictability in bull and bear markets. Zbl 1454.91255
Li, Xingyi; Zakamulin, Valeriy
2
2020
Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network. Zbl 1454.91231
Mulvey, John M.; Sun, Yifan; Wang, Mengdi; Ye, Jing
2
2020
Optimal and equilibrium execution strategies with generalized price impact. Zbl 1454.91260
Ohnishi, Masamitsu; Shimoshimizu, Makoto
2
2020
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics. Zbl 1448.91294
Cheang, Gerald H. L.; Garces, Len Patrick Dominic M.
1
2020
A structural heath-Jarrow-Morton framework for consistent intraday spot and futures electricity prices. Zbl 1467.91187
Hinderks, W. J.; Korn, R.; Wagner, A.
1
2020
Market or limit orders? Zbl 1466.91313
Mitchell, Daniel; Chen, Jingnan
1
2020
Conic quantization: stochastic volatility and market implied liquidity. Zbl 1467.91183
Fiorin, Lucio; Schoutens, Wim
1
2020
Index tracking through deep latent representation learning. Zbl 1466.91292
Kim, Saejoon; Kim, Soong
1
2020
Random matrix models for datasets with fixed time horizons. Zbl 1466.91302
Zitelli, G. L.
1
2020
Dynamic principal component CAW models for high-dimensional realized covariance matrices. Zbl 1467.62174
Gribisch, Bastian; Stollenwerk, Michael
1
2020
Unveiling the relation between herding and liquidity with trader lead-lag networks. Zbl 1471.91605
Campajola, Carlo; Lillo, Fabrizio; Tantari, Daniele
1
2020
A second-order discretization with Malliavin weight and quasi-Monte Carlo method for option pricing. Zbl 1471.91622
Yamada, Toshihiro; Yamamoto, Kenta
1
2020
Modeling and solving portfolio selection problems based on PVaR. Zbl 1471.91499
Huo, Yanli; Xu, Chunhui; Shiina, Takayuki
1
2020
Neural network-based automatic factor construction. Zbl 1471.91535
Fang, Jie; Lin, Jianwu; Xia, Shutao; Xia, Zhikang; Hu, Shenglei; Liu, Xiang; Jiang, Yong
1
2020
Stock market trend prediction using a functional time series approach. Zbl 1431.91380
Huang, Shih-Feng; Guo, Meihui; Chen, May-Ru
1
2020
On the interplay between multiscaling and stock dependence. Zbl 1431.91376
Buonocore, R. J.; Brandi, G.; Mantegna, R. N.; Di Matteo, T.
1
2020
Exchange options under clustered jump dynamics. Zbl 1454.91302
Ma, Yong; Pan, Dongtao; Wang, Tianyang
1
2020
Slow-moving capital and stock returns. Zbl 1454.91315
Isaenko, Sergey
1
2020
Are trading invariants really invariant? Trading costs matter. Zbl 1454.91241
Bucci, Frédéric; Lillo, Fabrizio; Bouchaud, Jean-Philippe; Benzaquen, Michael
1
2020
Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations. Zbl 1453.91102
dos Reis, G.; Pfeuffer, M.; Smith, G.
1
2020
Least-squares Monte-Carlo methods for optimal stopping investment under CEV models. Zbl 1454.91361
Ma, Jingtang; Lu, Zhengyang; Li, Wenyuan; Xing, Jie
1
2020
Algorithmic trading in a microstructural limit order book model. Zbl 1454.91238
Abergel, Frédéric; Huré, Côme; Pham, Huyên
1
2020
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process. Zbl 1454.91267
Wu, Lan; Zang, Xin; Zhao, Hongxin
1
2020
An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes. Zbl 1454.91278
Chan, Tat Lung (Ron)
1
2020
Accelerated share repurchase and other buyback programs: what neural networks can bring. Zbl 1454.91287
Guéant, Olivier; Manziuk, Iuliia; Pu, Jiang
1
2020
A neural network approach to understanding implied volatility movements. Zbl 1454.91275
Cao, Jay; Chen, Jacky; Hull, John
1
2020
Clearing price distributions in call auctions. Zbl 1454.91285
Derksen, M.; Kleijn, B.; de Vilder, R.
1
2020
Optimal market making in the presence of latency. Zbl 1454.91247
Gao, Xuefeng; Wang, Yunhan
1
2020
Deep learning for ranking response surfaces with applications to optimal stopping problems. Zbl 1454.91291
Hu, Ruimeng
1
2020
An options-pricing approach to election prediction. Zbl 1465.91047
Fry, John; Burke, Matt
1
2020
...and 1100 more Documents
all top 5

Cited by 7,269 Authors

45 Siu, Tak Kuen
37 Zhu, Songping
29 Madan, Dilip B.
29 Sornette, Didier
27 Oosterlee, Cornelis Willebrordus
27 Wong, Hoi Ying
26 Elliott, Robert James
26 Lillo, Fabrizio
25 Bouchaud, Jean-Philippe
24 Jaimungal, Sebastian
24 Schied, Alexander
24 Schoutens, Wim
23 Jacquier, Antoine
22 Wang, Ruodu
21 Cartea, Álvaro
21 Forsyth, Peter A.
21 Zagst, Rudi
20 Cui, Zhenyu
19 Benth, Fred Espen
19 Fabozzi, Frank J.
19 Kim, Jeong-Hoon
18 Friz, Peter Karl
18 Wang, Yongjin
17 Ching, Wai-Ki
17 Hofert, Marius
17 Li, Zhongfei
17 Pham, Huyên
17 Ratanov, Nikita
17 Rosenbaum, Mathieu
16 Bernard, Carole L.
16 Crepey, Stephane
16 Escobar, Marcos
16 He, Xinjiang
16 Rutkowski, Marek
16 Stanley, H. Eugene
16 Takahashi, Akihiko
16 Yao, Haixiang
15 Bayer, Christian
15 Bormetti, Giacomo
15 Chen, Zhiping
15 Dang, Duy Minh
15 Eberlein, Ernst W.
15 Hainaut, Donatien
15 Hayat, Tasawar
15 Leung, Tim
15 Shen, Yang
14 Bo, Lijun
14 Deelstra, Griselda
14 Feinstein, Zachary
14 Gatheral, Jim
14 Grasselli, Martino
14 Lorig, Matthew J.
14 Papapantoleon, Antonis
14 Yang, Hailiang
14 Yang, Xuewei
13 Bacry, Emmanuel
13 Bielecki, Tomasz R.
13 Chen, Wenting
13 Fusai, Gianluca
13 Jin, Zhuo
13 Paterlini, Sandra
13 Rudloff, Birgit
12 Escobar Anel, Marcos
12 Farmer, James Doyne
12 Grabchak, Michael
12 Levendorskiĭ, Sergeĭ Zakharovich
12 Liao, Shijun
12 Nadarajah, Saralees
12 Vanduffel, Steven
12 Wang, Jun
12 Xu, Huifu
12 Zariphopoulou, Thaleia
12 Zheng, Harry H.
12 Zhu, Lingjiong
11 Bellini, Fabio
11 Guéant, Olivier
11 Gulisashvili, Archil
11 Kwok, Yue-Kuen
11 Li, Xun
11 Muzy, Jean-François
11 Pichler, Alois
11 Pistorius, Martijn R.
11 Platen, Eckhard
11 Tan, Ken Seng
11 Todorov, Viktor
11 Tunaru, Radu S.
11 Wang, Shouyang
11 Wang, Xingchun
11 Yuen, Kam Chuen
11 Zeng, Yan
10 Abergel, Frédéric
10 Biagini, Francesca
10 Brigo, Damiano
10 Consigli, Giorgio
10 Embrechts, Paul
10 Jentzen, Arnulf
10 Korn, Ralf
10 Li, Duan
10 Liang, Zongxia
10 Lipton, Alexander
...and 7,169 more Authors
all top 5

Cited in 430 Journals

702 Quantitative Finance
246 Insurance Mathematics & Economics
237 European Journal of Operational Research
231 International Journal of Theoretical and Applied Finance
189 Physica A
155 SIAM Journal on Financial Mathematics
135 Journal of Economic Dynamics & Control
117 Finance and Stochastics
116 Applied Mathematical Finance
107 Journal of Computational and Applied Mathematics
105 Annals of Operations Research
87 Mathematical Finance
78 Stochastic Processes and their Applications
64 Mathematics and Financial Economics
61 Review of Derivatives Research
59 Chaos, Solitons and Fractals
59 Journal of Econometrics
57 Applied Mathematics and Computation
56 Decisions in Economics and Finance
51 The Annals of Applied Probability
49 Statistics & Probability Letters
48 Journal of Industrial and Management Optimization
47 Asia-Pacific Financial Markets
46 Computational Management Science
45 Journal of Applied Probability
45 Methodology and Computing in Applied Probability
43 Communications in Statistics. Theory and Methods
41 North American Actuarial Journal
40 Mathematics of Operations Research
40 Annals of Finance
37 International Journal of Computer Mathematics
35 Journal of Multivariate Analysis
34 Operations Research
34 Discrete Dynamics in Nature and Society
33 Stochastics
32 Computers & Mathematics with Applications
32 Journal of Statistical Computation and Simulation
30 Operations Research Letters
30 Computational Statistics and Data Analysis
30 Mathematical Methods of Operations Research
30 Scandinavian Actuarial Journal
30 ASTIN Bulletin
28 Communications in Nonlinear Science and Numerical Simulation
27 Mathematical Problems in Engineering
27 Journal of Statistical Mechanics: Theory and Experiment
26 Journal of Mathematical Analysis and Applications
26 Mathematical Programming. Series A. Series B
25 SIAM Journal on Control and Optimization
25 Stochastic Analysis and Applications
23 Applied Mathematics and Optimization
23 Journal of Applied Statistics
22 Automatica
22 Communications in Statistics. Simulation and Computation
21 Journal of Optimization Theory and Applications
21 Economics Letters
19 Advances in Applied Probability
19 European Actuarial Journal
19 Dependence Modeling
19 Probability, Uncertainty and Quantitative Risk
18 Bernoulli
17 Journal of Statistical Physics
17 Optimization
17 Econometric Reviews
17 Probability in the Engineering and Informational Sciences
16 Mathematics and Computers in Simulation
16 The ANZIAM Journal
15 Japan Journal of Industrial and Applied Mathematics
15 Computational Statistics
15 Complexity
15 The European Physical Journal B. Condensed Matter and Complex Systems
15 Statistics and Computing
14 The Annals of Statistics
13 Journal of Global Optimization
13 Abstract and Applied Analysis
12 Journal of Mathematical Economics
12 Computers & Operations Research
12 Statistical Papers
12 Journal of Systems Science and Complexity
12 Statistics & Risk Modeling
12 Journal of the Operations Research Society of China
11 Journal of Statistical Planning and Inference
11 INFORMS Journal on Computing
11 OR Spectrum
10 Statistics
10 Chaos
10 Statistical Inference for Stochastic Processes
9 Theory of Probability and its Applications
9 Applied Numerical Mathematics
9 Journal of Theoretical Probability
9 Applied Mathematics Letters
9 Computational and Applied Mathematics
9 Electronic Communications in Probability
9 Soft Computing
9 Econometric Theory
9 Optimization and Engineering
9 Discrete and Continuous Dynamical Systems. Series B
9 Journal of Applied Mathematics
9 Stochastic Models
9 Electronic Journal of Statistics
9 Modern Stochastics. Theory and Applications
...and 330 more Journals
all top 5

Cited in 55 Fields

4,237 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,933 Probability theory and stochastic processes (60-XX)
1,365 Statistics (62-XX)
581 Numerical analysis (65-XX)
564 Operations research, mathematical programming (90-XX)
458 Systems theory; control (93-XX)
257 Partial differential equations (35-XX)
193 Calculus of variations and optimal control; optimization (49-XX)
149 Statistical mechanics, structure of matter (82-XX)
122 Computer science (68-XX)
55 Ordinary differential equations (34-XX)
46 Integral equations (45-XX)
44 Dynamical systems and ergodic theory (37-XX)
38 Approximations and expansions (41-XX)
32 Harmonic analysis on Euclidean spaces (42-XX)
30 Real functions (26-XX)
30 Fluid mechanics (76-XX)
30 Biology and other natural sciences (92-XX)
29 Integral transforms, operational calculus (44-XX)
26 Functional analysis (46-XX)
25 Combinatorics (05-XX)
20 Information and communication theory, circuits (94-XX)
19 Measure and integration (28-XX)
19 Geophysics (86-XX)
18 Linear and multilinear algebra; matrix theory (15-XX)
17 Operator theory (47-XX)
13 General and overarching topics; collections (00-XX)
11 Special functions (33-XX)
11 Global analysis, analysis on manifolds (58-XX)
11 Quantum theory (81-XX)
8 Classical thermodynamics, heat transfer (80-XX)
6 Functions of a complex variable (30-XX)
5 Mathematics education (97-XX)
4 Difference and functional equations (39-XX)
4 Convex and discrete geometry (52-XX)
4 Mechanics of deformable solids (74-XX)
3 History and biography (01-XX)
3 Potential theory (31-XX)
2 Mathematical logic and foundations (03-XX)
2 Order, lattices, ordered algebraic structures (06-XX)
2 Number theory (11-XX)
2 Nonassociative rings and algebras (17-XX)
2 Abstract harmonic analysis (43-XX)
2 Geometry (51-XX)
2 General topology (54-XX)
2 Optics, electromagnetic theory (78-XX)
1 Commutative algebra (13-XX)
1 Group theory and generalizations (20-XX)
1 Topological groups, Lie groups (22-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Sequences, series, summability (40-XX)
1 Differential geometry (53-XX)
1 Algebraic topology (55-XX)
1 Mechanics of particles and systems (70-XX)
1 Relativity and gravitational theory (83-XX)

Citations by Year