Quantitative Finance Short Title: Quant. Finance Publisher: Taylor & Francis (Routledge), Abingdon, Oxfordshire ISSN: 1469-7688; 1469-7696/e Online: http://www.tandfonline.com/loi/rquf20 Comments: Journal Documents Indexed: 1,988 Publications (since 2001) References Indexed: 1,870 Publications with 62,801 References. all top 5 Latest Issues 23, No. 11 (2023) 23, No. 10 (2023) 23, No. 9 (2023) 23, No. 7-8 (2023) 23, No. 6 (2023) 23, No. 5 (2023) 23, No. 4 (2023) 23, No. 3 (2023) 23, No. 2 (2023) 23, No. 1 (2023) 22, No. 12 (2022) 22, No. 11 (2022) 22, No. 10 (2022) 22, No. 9 (2022) 22, No. 8 (2022) 22, No. 7 (2022) 22, No. 6 (2022) 22, No. 5 (2022) 22, No. 4 (2022) 22, No. 3 (2022) 22, No. 2 (2022) 22, No. 1 (2022) 21, No. 7 (2021) 21, No. 6 (2021) 21, No. 5 (2021) 21, No. 4 (2021) 21, No. 3 (2021) 21, No. 2 (2021) 21, No. 1 (2021) 20, No. 12 (2020) 20, No. 11 (2020) 20, No. 10 (2020) 20, No. 9 (2020) 20, No. 8 (2020) 20, No. 7 (2020) 20, No. 6 (2020) 20, No. 5 (2020) 20, No. 4 (2020) 20, No. 3 (2020) 20, No. 2 (2020) 20, No. 1 (2020) 19, No. 12 (2019) 19, No. 11 (2019) 19, No. 10 (2019) 19, No. 9 (2019) 19, No. 8 (2019) 19, No. 7 (2019) 19, No. 6 (2019) 19, No. 5 (2019) 19, No. 4 (2019) 19, No. 3 (2019) 19, No. 2 (2019) 19, No. 1 (2019) 18, No. 12 (2018) 18, No. 11 (2018) 18, No. 10 (2018) 18, No. 9 (2018) 18, No. 8 (2018) 18, No. 7 (2018) 18, No. 6 (2018) 18, No. 5 (2018) 18, No. 4 (2018) 18, No. 3 (2018) 18, No. 2 (2018) 18, No. 1 (2018) 17, No. 12 (2017) 17, No. 11 (2017) 17, No. 10 (2017) 17, No. 9 (2017) 17, No. 8 (2017) 17, No. 7 (2017) 17, No. 6 (2017) 17, No. 5 (2017) 17, No. 4 (2017) 17, No. 3 (2017) 17, No. 2 (2017) 17, No. 1 (2017) 16, No. 12 (2016) 16, No. 11 (2016) 16, No. 10 (2016) 16, No. 9 (2016) 16, No. 8 (2016) 16, No. 7 (2016) 16, No. 6 (2016) 16, No. 5 (2016) 16, No. 4 (2016) 16, No. 3 (2016) 16, No. 2 (2016) 16, No. 1 (2016) 15, No. 12 (2015) 15, No. 11 (2015) 15, No. 10 (2015) 15, No. 9 (2015) 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) ...and 115 more Volumes all top 5 Authors 27 Sornette, Didier 24 Bouchaud, Jean-Philippe 23 Lillo, Fabrizio 22 Madan, Dilip B. 14 Dempster, Michael A. H. 14 Zumbach, Gilles O. 13 Elliott, Robert James 13 Gatheral, Jim 12 Bormetti, Giacomo 12 Fabozzi, Frank J. 11 Bayer, Christian 11 Farmer, James Doyne 10 Joshi, Mark S. 10 Platen, Eckhard 10 Schoutens, Wim 10 Siu, Tak Kuen 10 Stanley, H. Eugene 9 Brigo, Damiano 9 Cont, Rama 9 Härdle, Wolfgang Karl 9 Kwok, Yue-Kuen 9 Rebonato, Riccardo 8 Eberlein, Ernst W. 8 Gerlach, Richard H. 8 Wong, Hoi Ying 7 Abergel, Frédéric 7 Albanese, Claudio 7 Bacry, Emmanuel 7 Carr, Peter Paul 7 Challet, Damien 7 Crepey, Stephane 7 Friz, Peter 7 Hilliard, Jimmy E. 7 Hwang, Ruey-Ching 7 Kijima, Masaaki 7 Malevergne, Yannick 7 Muzy, Jean-François 6 Chiarella, Carl 6 Creamer, Germán G. 6 Fouque, Jean-Pierre 6 Grzelak, Lech A. 6 Jacquier, Antoine 6 Lee, Yongjae 6 Marsili, Matteo 6 Oomen, Roel C. A. 6 Oosterlee, Cornelis Willebrordus 6 Tunaru, Radu S. 6 Večeř, Jan 6 Zhou, Weixing 5 Alexander, Carol 5 Baviera, Roberto 5 Benzaquen, Michael 5 Cartea, Álvaro 5 Chu, Chih-Kang 5 Consigli, Giorgio 5 Cui, Zhenyu 5 Ewald, Christian-Oliver 5 Funahashi, Hideharu 5 Glasserman, Paul 5 Kim, Jeong-Hoon 5 Kim, Woo Chang 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Li, Lingfei 5 Lorig, Matthew J. 5 Lütkebohmert, Eva 5 Ma, Jingtang 5 Mandelbrot, Benoit B. 5 Mastromatteo, Iacopo 5 Nadarajah, Saralees 5 Pallavicini, Andrea 5 Potters, Marc 5 Schoenmakers, John G. M. 5 Stübinger, Johannes 5 Takahashi, Akihiko 5 Tang, Ke 5 Tempone, Raúl F. 5 Thurner, Stefan 5 Yu, Philip Leung Ho 5 Zagst, Rudi 5 Zhou, Xunyu 5 Zhu, Songping 5 Ziemba, William T. 4 Avellaneda, Marco 4 Bellini, Fabio 4 Blomvall, Jörgen 4 Bo, Lijun 4 Bunn, Derek W. 4 Dai, Min 4 Dai, Tian-Shyr 4 Davis, Mark Herbert Ainsworth 4 Ding, Rui 4 Escobar, Marcos 4 Feigenbaum, James A. 4 Fujii, Masaaki 4 Fukasawa, Masaaki 4 Giacometti, Rosella 4 Grasselli, Martino 4 Guégan, Dominique 4 Guidolin, Massimo 4 Guillaume, Florence ...and 2,987 more Authors all top 5 Fields 1,902 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 420 Statistics (62-XX) 380 Probability theory and stochastic processes (60-XX) 104 Numerical analysis (65-XX) 91 Operations research, mathematical programming (90-XX) 69 Computer science (68-XX) 56 Systems theory; control (93-XX) 44 General and overarching topics; collections (00-XX) 26 Partial differential equations (35-XX) 14 History and biography (01-XX) 14 Measure and integration (28-XX) 10 Calculus of variations and optimal control; optimization (49-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 7 Approximations and expansions (41-XX) 7 Integral transforms, operational calculus (44-XX) 6 Combinatorics (05-XX) 4 Integral equations (45-XX) 4 Information and communication theory, circuits (94-XX) 2 Linear and multilinear algebra; matrix theory (15-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 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 1,353 Publications have been cited 10,930 times in 6,926 Documents Cited by ▼ Year ▼ Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174 Cont, R. 293 2001 Volatility is rough. Zbl 1400.91590 Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu 203 2018 Pricing under rough volatility. Zbl 1465.91108 Bayer, Christian; Friz, Peter; Gatheral, Jim 113 2016 Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191 Cont, Rama; Deguest, Romain; Scandolo, Giacomo 111 2010 An exact and explicit solution for the valuation of American put options. Zbl 1136.91468 Zhu, Song-Ping 106 2006 Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199 Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander 100 2010 Ambiguity in portfolio selection. Zbl 1190.91138 Pflug, Georg; Wozabal, David 91 2007 A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240 Lord, Roger; Koekkoek, Remmert; van Dijk, Dick 89 2010 High-frequency trading in a limit order book. Zbl 1152.91024 Avellaneda, Marco; Stoikov, Sasha 86 2008 Information and option pricings. Zbl 1405.91619 Guo, X. 85 2001 Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073 Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F. 80 2013 Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438 Kraft, Holger 77 2005 A multifactor volatility Heston model. Zbl 1152.91500 Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio 71 2008 Functional Itô calculus. Zbl 1420.91458 Dupire, Bruno 71 2019 No-dynamic-arbitrage and market impact. Zbl 1194.91208 Gatheral, Jim 68 2010 Pairs trading. Zbl 1134.91415 Elliott, Robert J.; van der Hoek, John; Malcolm, William P. 64 2005 Statistical arbitrage in the US equities market. Zbl 1194.91196 Avellaneda, Marco; Lee, Jeong-Hyun 64 2010 Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173 Breymann, Wolfgang; Dias, Alexandra; Embrechts, Paul 63 2003 On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168 Vigna, Elena 59 2014 A multivariate jump-driven financial asset model. Zbl 1134.91446 Luciano, Elisa; Schoutens, Wim 55 2006 Optimal high-frequency trading with limit and market orders. Zbl 1280.91148 Guilbaud, Fabien; Pham, Huyên 53 2013 Portfolio selection with higher moments. Zbl 1195.91181 Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter 50 2010 On elicitable risk measures. Zbl 1395.91506 Bellini, Fabio; Bignozzi, Valeria 50 2015 Deep hedging. Zbl 1420.91450 Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B. 50 2019 Arbitrage-free SVI volatility surfaces. Zbl 1308.91187 Gatheral, Jim; Jacquier, Antoine 49 2014 Network topology of the interbank market. Zbl 1405.91729 Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan 49 2004 Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425 Hobson, David; Laurence, Peter; Wang, Tai-Ho 48 2005 Robust risk measurement and model risk. Zbl 1294.91076 Glasserman, Paul; Xu, Xingbo 48 2014 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286 Carmona, René; Ludkovski, Michael 47 2010 Hierarchies of Archimedean copulas. Zbl 1270.91086 Savu, Cornelia; Trede, Mark 46 2010 Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777 Fukasawa, Masaaki 46 2017 Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450 Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph 45 2005 Higher moment coherent risk measures. Zbl 1190.91074 Krokhmal, Pavlo A. 43 2007 Limit order books. Zbl 1284.91584 Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D. 43 2013 Dynamics of implied volatility surfaces. Zbl 1405.91603 Cont, Rama; Da Fonseca, José 43 2002 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 43 2004 A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130 Zeng, Xudong; Taksar, Michael 42 2013 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. 42 2001 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033 Hubalek, Friedrich; Sgarra, Carlo 41 2006 Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387 Musiela, M.; Zariphopoulou, T. 41 2009 What good is a volatility model? Zbl 1405.91612 Engle, R. F.; Patton, A. J. 41 2001 Probability distribution of returns in the Heston model with stochastic volatility. Zbl 1405.91734 Drǎgulescu, Adrian A.; Yakovenko, Victor M. 40 2002 Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750 Bacry, Emmanuel; Muzy, Jean-François 39 2014 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072 Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 38 2014 Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701 Anand, Kartik; Craig, Ben; von Peter, Goetz 37 2015 Thou shalt buy and hold. Zbl 1154.91478 Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 37 2008 Multi-scaling in finance. Zbl 1278.91118 di Matteo, T. 35 2007 Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172 Fengler, Matthias R. 35 2009 The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072 Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien 35 2012 Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181 Moreni, N.; Pallavicini, A. 34 2014 CDO pricing with nested Archimedean copulas. Zbl 1213.91074 Hofert, Marius; Scherer, Matthias 34 2011 Optimal positioning in derivative securities. Zbl 1405.91599 Carr, P.; Madan, D. 34 2001 Estimating value-at-risk: a point process approach. Zbl 1118.91353 Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J. 33 2005 A multi-quality model of interest rates. Zbl 1158.91353 Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony 33 2009 The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481 Benth, Fred Espen; Benth, Jūratė Šaltytė 33 2007 A jump telegraph model for option pricing. Zbl 1151.91535 Ratanov, Nikita 33 2007 Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156 Drimus, Gabriel G. 33 2012 Financial markets as nonlinear adaptive evolutionary systems. Zbl 1405.91624 Hommes, C. H. 33 2001 Statistical theory of the continuous double auction. Zbl 1405.91241 Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya 33 2003 Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431 Kahl, Christian; Jäckel, Peter 32 2006 A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Zbl 1192.91177 Jeannin, Marc; Pistorius, Martijn 32 2010 Asymptotics and calibration of local volatility models. Zbl 1405.91586 Berestycki, H.; Busca, J.; Florent, I. 32 2002 Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112 Chronopoulou, Alexandra; Viens, Frederi G. 31 2012 Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445 Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B. 31 2019 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346 Elliott, Robert J.; Siu, Tak Kuen 30 2011 Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176 Hambly, Ben; Howison, Sam; Kluge, Tino 30 2009 Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139 Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam 30 2007 Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171 Bingham, N. H.; Kiesel, Rüdiger 30 2002 Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217 Bo, Lijun; Wang, Yongjin; Yang, Xuewei 29 2011 Order book approach to price impact. Zbl 1134.91379 Weber, P.; Rosenow, B. 29 2005 Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426 Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 29 2006 Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430 Broadie, Mark; Cao, Menghui 29 2008 Lifting the Heston model. Zbl 1441.91093 Jaber, Eduardo Abi 29 2019 Statistical properties of stock order books: empirical results and models. Zbl 1408.62172 Bouchaud, Jean-Philippe; Mézard, Marc; Potters, Marc 29 2002 Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558 Højgaard, Bjarne; Taksar, Michael 29 2004 Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137 Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A. 28 2007 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165 Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen 28 2012 Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction. Zbl 1405.91251 Choulli, T.; Taksar, M.; Zhou, X. Y. 28 2001 The multiplex structure of interbank networks. Zbl 1398.91703 Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F. 27 2015 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 27 2012 A new well-posed algorithm to recover implied local volatility. Zbl 1405.91626 Jiang, Lishang; Chen, Qihong; Wang, Lijun; Zhang, Jin E. 27 2003 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 26 2013 Asset price and wealth dynamics under heterogeneous expectations. Zbl 1405.91218 Chiarella, C.; He, X.-Z. 26 2001 Dynamical pricing of weather derivatives. Zbl 1405.91595 Brody, Dorje C.; Syroka, Joanna; Zervos, Mihail 26 2002 Riding on the smiles. Zbl 1277.91176 da Fonseca, José; Grasselli, Martino 25 2011 On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181 Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei 25 2011 Feller processes of normal inverse Gaussian type. Zbl 1405.91582 Barndorff-Nielsen, O. E.; Levendorskii, S. Z. 25 2001 A theory of non-Gaussian option pricing. Zbl 1405.91587 Borland, Lisa 25 2002 Testing the Gaussian copula hypothesis for financial assets dependences. Zbl 1408.62177 Malevergne, Y.; Sornette, D. 25 2003 Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551 Malevergne, Y.; Pisarenko, V.; Sornette, D. 24 2005 An empirical analysis of multivariate copula models. Zbl 1180.91314 Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian 24 2009 Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415 Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc 24 2006 Risk-sensitive benchmarked asset management. Zbl 1140.91383 Davis, Mark; Lleo, Sébastien 24 2008 Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity. Zbl 1281.91083 Bianchi, S.; Pantanella, A.; Pianese, A. 24 2013 Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162 Feinstein, Zachary; Rudloff, Birgit 24 2013 Optimal execution with limit and market orders. Zbl 1406.91403 Cartea, Álvaro; Jaimungal, Sebastian 24 2015 A simulation analysis of the microstructure of double auction markets. Zbl 1405.91226 Chiarella, Carl; Iori, Giulia 24 2002 A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573 Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David 23 2015 On refined volatility smile expansion in the Heston model. Zbl 1267.91068 Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan 23 2011 Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333 Grabchak, Michael; Samorodnitsky, Gennady 23 2010 A two-step framework for arbitrage-free prediction of the implied volatility surface. Zbl 1518.91290 Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu 2 2023 Horizon effect on optimal retirement decision. Zbl 1518.91222 Jeon, Junkee; Kwak, Minsuk; Park, Kyunghyun 2 2023 W-shaped implied volatility curves and the Gaussian mixture model. Zbl 1518.91279 Glasserman, Paul; Pirjol, Dan 2 2023 Deep reinforcement learning for option pricing and hedging under dynamic expectile risk measures. Zbl 07761999 Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng 1 2023 Multivariate systemic risk measures and computation by deep learning algorithms. Zbl 07762000 Doldi, A.; Feng, Y.; Fouque, J.-P.; Frittelli, M. 1 2023 A transform-based method for pricing Asian options under general two-dimensional models. Zbl 07778535 Zhang, Weinan; Zeng, Pingping 1 2023 Weighted variance swaps hedge against impermanent loss. Zbl 07721479 Fukasawa, Masaaki; Maire, Basile; Wunsch, Marcus 1 2023 Decomposing LIBOR in transition: evidence from the futures markets. Zbl 1520.91394 Skov, Jacob Bjerre; Skovmand, David 1 2023 A statistical test of market efficiency based on information theory. Zbl 1520.91381 Brouty, Xavier; Garcin, Matthieu 1 2023 Volatility is (mostly) path-dependent. Zbl 1522.91275 Guyon, Julien; Lekeufack, Jordan 1 2023 Large-scale financial planning via a partially observable stochastic dual dynamic programming framework. Zbl 1522.91229 Lee, Jinkyu; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang 1 2023 Markovian approximations of stochastic Volterra equations with the fractional kernel. Zbl 1518.91311 Bayer, Christian; Breneis, Simon 1 2023 The EWMA Heston model. Zbl 1518.91264 Parent, Léo 1 2023 Empirical deep hedging. Zbl 1518.91287 Mikkilä, Oskari; Kanniainen, Juho 1 2023 A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures. Zbl 1518.91316 Wang, Chao; Gerlach, Richard; Chen, Qian 1 2023 Integrating prediction in mean-variance portfolio optimization. Zbl 1518.91237 Butler, Andrew; Kwon, Roy H. 1 2023 Optimal asset allocation for commodity sovereign wealth funds. Zbl 1518.91242 Irarrazabal, Alfonso A.; Ma, Lin; Parra-Alvarez, Juan Carlos 1 2023 A data-driven deep learning approach for options market making. Zbl 1519.91263 Lai, Qianhui; Gao, Xuefeng; Li, Lingfei 1 2023 Delta hedging bitcoin options with a smile. Zbl 1519.91252 Alexander, Carol; Imeraj, Arben 1 2023 Quantitative reverse stress testing, bottom up. Zbl 1519.91233 Albanese, Claudio; Crépey, Stéphane; Iabichino, Stefano 1 2023 The timing of debt renegotiation and its implications for irreversible investment and capital structure. Zbl 1519.91285 Yang, Zhaojun; Zhu, Nanhui 1 2023 State-dependent Hawkes processes and their application to limit order book modelling. Zbl 1490.91199 Morariu-Patrichi, Maxime; Pakkanen, Mikko S. 6 2022 Learning a functional control for high-frequency finance. Zbl 1505.91370 Leal, L.; Lauriere, M.; Lehalle, C.-A. 5 2022 Short-dated smile under rough volatility: asymptotics and numerics. Zbl 1487.91137 Friz, Peter K.; Gassiat, Paul; Pigato, Paolo 4 2022 Optimal trade execution for Gaussian signals with power-law resilience. Zbl 1487.91131 Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin 4 2022 Forecasting with fractional Brownian motion: a financial perspective. Zbl 1497.91289 Garcin, Matthieu 4 2022 A fast algorithm for simulation of rough volatility models. Zbl 1490.91218 Ma, Jingtang; Wu, Haofei 3 2022 Additive normal tempered stable processes for equity derivatives and power-law scaling. Zbl 1490.91206 Azzone, Michele; Baviera, Roberto 3 2022 Optimal asset allocation for outperforming a stochastic benchmark target. Zbl 1505.91354 Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray 3 2022 Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets. Zbl 1500.91139 Rømer, Sigurd Emil 3 2022 Sparse index clones via the sorted \(\ell_1\)-norm. Zbl 1484.91430 Kremer, Philipp J.; Brzyski, Damian; Bogdan, Małgorzata; Paterlini, Sandra 3 2022 Drawdown beta and portfolio optimization. Zbl 1497.91274 Ding, Rui; Uryasev, Stan 3 2022 Errata to: “Instantaneous portfolio theory”. Zbl 1490.91189 Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim 2 2022 On the investment strategies in occupational pension plans. Zbl 1491.91104 Bosserhoff, F.; Chen, A.; Sørensen, N.; Stadje, M. 2 2022 How to build a cross-impact model from first principles: theoretical requirements and empirical results. Zbl 1491.91135 Tomas, Mehdi; Mastromatteo, Iacopo; Benzaquen, Michael 2 2022 What is the value of the cross-sectional approach to deep reinforcement learning? Zbl 1491.91113 Aboussalah, Amine Mohamed; Xu, Ziyun; Lee, Chi-Guhn 2 2022 Dynamic quantile function models. Zbl 1500.91129 Chen, Wilson Ye; Peters, Gareth W.; Gerlach, Richard H.; Sisson, Scott A. 2 2022 The optimal payoff for a Yaari investor. Zbl 1500.91119 Boudt, K.; Dragun, K.; Vanduffel, S. 2 2022 Equal risk pricing and hedging of financial derivatives with convex risk measures. Zbl 1484.91485 Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng 2 2022 Distributionally robust portfolio optimization with linearized STARR performance measure. Zbl 1484.91427 Ji, Ran; Lejeune, Miguel A.; Fan, Zhengyang 2 2022 Lifetime consumption and investment with housing, deferred annuities and home equity release. Zbl 1484.91388 Jang, Chul; Owadally, Iqbal; Clare, Andrew; Kashif, Muhammad 2 2022 Portfolio optimization with a prescribed terminal wealth distribution. Zbl 1484.91422 Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei 2 2022 Stationary increments reverting to a tempered fractional Lévy process (TFLP). Zbl 07562216 Madan, Dilip B.; Wang, King 2 2022 Robust deep hedging. Zbl 1497.91311 Lütkebohmert, Eva; Schmidt, Thorsten; Sester, Julian 2 2022 The SINC way: a fast and accurate approach to Fourier pricing. Zbl 1487.91133 Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; Rossi, Pietro 1 2022 Robust control in a rough environment. Zbl 1490.91183 Han, Bingyan; Ying Wong, Hoi 1 2022 Tempered stable processes with time-varying exponential tails. Zbl 1490.91214 Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphael 1 2022 Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204 Asmussen, Søren; Bladt, Mogens 1 2022 A generalized Esscher transform for option valuation with regime switching risk. Zbl 1490.91212 Elliott, R. J.; Siu, T. K. 1 2022 Cheapest-to-deliver collateral: a common factor approach. Zbl 1496.91092 Wolf, F. L.; Grzelak, L. A.; Deelstra, G. 1 2022 Life insurance surrender and liquidity risks. Zbl 1491.91105 Chang, Hsiaoyin; Schmeiser, Hato 1 2022 Rating frailty, Bayesian updates, and portfolio credit risk analysis*. Zbl 1491.91155 Bu, Shang; Guo, Nan; Li, Lingfei 1 2022 Static replication of European standard dispersion options. Zbl 1491.91139 Bossu, Sébastien; Carr, Peter; Papanicolaou, Andrew 1 2022 A new representation of the risk-neutral distribution and its applications. Zbl 1491.91141 Cui, Zhenyu; Xu, Yuewu 1 2022 On an irreversible investment problem with two-factor uncertainty. Zbl 1491.91160 Dammann, F.; Ferrari, G. 1 2022 International portfolio choice under multi-factor stochastic volatility. Zbl 1491.91117 Escobar-Anel, Marcos; Ferrando, Sebastian; Gschnaidtner, Christoph; Rubtsov, Alexey 1 2022 Pairs trading under delayed cointegration. Zbl 1498.91425 Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying 1 2022 Proof of non-convergence of the short-maturity expansion for the SABR model. Zbl 1500.91136 Lewis, Alan L.; Pirjol, Dan 1 2022 Optimal characteristic portfolios. Zbl 1500.91127 McGee, Richard J.; Olmo, Jose 1 2022 The effects of errors in means, variances, and correlations on the mean-variance framework. 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Zbl 1476.91180 Di Cerbo, Luca F.; Taylor, Stephen 2 2021 Fractional stochastic volatility correction to CEV implied volatility. Zbl 1479.91403 Kim, Hyun-Gyoon; Kwon, Se-Jin; Kim, Jeong-Hoon 2 2021 Artificial neural network for option pricing with and without asymptotic correction. Zbl 1479.91396 Funahashi, Hideharu 2 2021 Efficient computation of mean reverting portfolios using cyclical coordinate descent. Zbl 1479.91357 Griveau-Billion, T.; Calderhead, B. 2 2021 A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints. Zbl 1466.91287 Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry 2 2021 Martingale transport with homogeneous stock movements. Zbl 1466.91334 Eckstein, Stephan; Kupper, Michael 2 2021 The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355 Cordi, Marcus; Challet, Damien; Kassibrakis, Serge 2 2021 Robust statistical arbitrage strategies. 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Zbl 1479.91366 Wang, Tianxiao; Jin, Zhuo; Wei, Jiaqin 1 2021 ...and 1253 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 8,876 Authors 52 Siu, Tak Kuen 44 Zhu, Songping 34 Lillo, Fabrizio 34 Madan, Dilip B. 32 Jaimungal, Sebastian 31 Bouchaud, Jean-Philippe 31 Elliott, Robert James 31 Oosterlee, Cornelis Willebrordus 31 Sornette, Didier 31 Wong, Hoi Ying 27 Schoutens, Wim 26 Cartea, Álvaro 26 Jacquier, Antoine 26 Wang, Ruodu 25 Forsyth, Peter A. 24 Benth, Fred Espen 24 Kim, Jeong-Hoon 24 Schied, Alexander 24 Zagst, Rudi 23 Cui, Zhenyu 23 Fabozzi, Frank J. 22 Rosenbaum, Mathieu 21 Bayer, Christian 21 Crepey, Stephane 21 Friz, Peter 20 Ching, Wai-Ki 20 He, Xinjiang 20 Hofert, Marius 19 Pham, Huyên 18 Cont, Rama 18 Hainaut, Donatien 18 Li, Zhongfei 18 Ratanov, Nikita 18 Stanley, H. 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