## 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: 1,798 Publications (since 2001) References Indexed: 1,671 Publications with 54,266 References.
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### Latest Issues

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### Authors

 26 Sornette, Didier 22 Bouchaud, Jean-Philippe 18 Lillo, Fabrizio 18 Madan, Dilip B. 14 Zumbach, Gilles O. 11 Bormetti, Giacomo 11 Dempster, Michael A. H. 11 Elliott, Robert James 11 Farmer, James Doyne 11 Gatheral, Jim 10 Fabozzi, Frank J. 10 Joshi, Mark S. 10 Platen, Eckhard 10 Stanley, H. Eugene 9 Bayer, Christian 9 Brigo, Damiano 9 Kwok, Yue-Kuen 9 Rebonato, Riccardo 9 Schoutens, Wim 9 Siu, Tak Kuen 8 Eberlein, Ernst W. 8 Härdle, Wolfgang Karl 7 Abergel, Frédéric 7 Bacry, Emmanuel 7 Challet, Damien 7 Cont, Rama 7 Friz, Peter Karl 7 Kijima, Masaaki 7 Malevergne, Yannick 7 Muzy, Jean-François 6 Albanese, Claudio 6 Carr, Peter P. 6 Chiarella, Carl 6 Crepey, Stephane 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 Wong, Hoi Ying 6 Zhou, Weixing 5 Baviera, Roberto 5 Creamer, Germán G. 5 Fouque, Jean-Pierre 5 Grzelak, Lech A. 5 Hilliard, Jimmy E. 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 Cartea, Álvaro 4 Chu, Chih-Kang 4 Consigli, Giorgio 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 Jaimungal, Sebastian 4 Kim, Kyoung-Kuk 4 Korn, Ralf 4 Lleo, Sébastien 4 Ma, Jingtang 4 MacLean, Leonard C. 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 Paterlini, Sandra 4 Plerou, Vasiliki ...and 2,694 more Authors
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### Fields

 1,719 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 393 Statistics (62-XX) 346 Probability theory and stochastic processes (60-XX) 90 Numerical analysis (65-XX) 84 Operations research, mathematical programming (90-XX) 49 Systems theory; control (93-XX) 39 Computer science (68-XX) 33 General and overarching topics; collections (00-XX) 22 Partial differential equations (35-XX) 13 Measure and integration (28-XX) 12 History and biography (01-XX) 9 Harmonic analysis on Euclidean spaces (42-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 6 Combinatorics (05-XX) 6 Approximations and expansions (41-XX) 6 Integral transforms, operational calculus (44-XX) 4 Information and communication theory, circuits (94-XX) 2 Nonassociative rings and algebras (17-XX) 2 Real functions (26-XX) 2 Abstract harmonic analysis (43-XX) 2 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 Classical thermodynamics, heat transfer (80-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) 1 Mathematics education (97-XX)

### Citations contained in zbMATH Open

1,108 Publications have been cited 7,432 times in 5,052 Documents Cited by Year
Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174
Cont, R.
2001
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
2018
An exact and explicit solution for the valuation of American put options. Zbl 1136.91468
Zhu, Song-Ping
2006
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
2010
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
2010
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
2013
A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick
2010
High-frequency trading in a limit order book. Zbl 1152.91024
Avellaneda, Marco; Stoikov, Sasha
2008
Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438
Kraft, Holger
2005
A multifactor volatility Heston model. Zbl 1152.91500
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
2008
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
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
2014
Elliott, Robert J.; van der Hoek, John; Malcolm, William P.
2005
Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425
Hobson, David; Laurence, Peter; Wang, Tai-Ho
2005
Hierarchies of Archimedean copulas. Zbl 1270.91086
Savu, Cornelia; Trede, Mark
2010
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
2013
Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450
Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph
2005
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
Portfolio selection with higher moments. Zbl 1195.91181
Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter
2010
Higher moment coherent risk measures. Zbl 1190.91074
Krokhmal, Pavlo A.
2007
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
2014
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
2014
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
2006
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
2008
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
2014
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
2019
Limit order books. Zbl 1284.91584
Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D.
2013
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
2017
Arbitrage-free SVI volatility surfaces. Zbl 1308.91187
Gatheral, Jim; Jacquier, Antoine
2014
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
2011
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
2007
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
Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387
Musiela, M.; Zariphopoulou, T.
2009
A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130
Zeng, Xudong; Taksar, Michael
2013
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
2011
Network topology of the interbank market. Zbl 1405.91729
Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan
2004
A jump telegraph model for option pricing. Zbl 1151.91535
Ratanov, Nikita
2007
Multi-scaling in finance. Zbl 1278.91118
di Matteo, T.
2007
A multi-quality model of interest rates. Zbl 1158.91353
Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony
2009
Order book approach to price impact. Zbl 1134.91379
Weber, P.; Rosenow, B.
2005
Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701
Anand, Kartik; Craig, Ben; von Peter, Goetz
2015
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
2005
Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes. Zbl 1405.91730
Bouchaud, Jean-Philippe; Gefen, Yuval; Potters, Marc; Wyart, Matthieu
2004
Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156
Drimus, Gabriel G.
2012
Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430
2008
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
2003
Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139
Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam
2007
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen
2012
The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072
Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien
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
Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176
Hambly, Ben; Howison, Sam; Kluge, Tino
2009
Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431
Kahl, Christian; Jäckel, Peter
2006
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
Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181
Moreni, N.; Pallavicini, A.
2014
On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181
Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei
2011
Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112
Chronopoulou, Alexandra; Viens, Frederi G.
2012
Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217
Bo, Lijun; Wang, Yongjin; Yang, Xuewei
2011
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
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
Optimal positioning in derivative securities. Zbl 1405.91599
2001
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
2001
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
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
2011
Deep hedging. Zbl 1420.91450
Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B.
2019
PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
2005
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
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
2002
An empirical analysis of multivariate copula models. Zbl 1180.91314
Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian
2009
Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172
Fengler, Matthias R.
2009
The multiplex structure of interbank networks. Zbl 1398.91703
Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F.
2015
Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333
2010
Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415
Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc
2006
Riding on the smiles. Zbl 1277.91176
da Fonseca, José; Grasselli, Martino
2011
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Zbl 1281.91150
Ahlip, Rehez; Rutkowski, Marek
2013
Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162
Feinstein, Zachary; Rudloff, Birgit
2013
Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417
Friz, Peter; Gatheral, Jim
2005
Regression-based algorithms for life insurance contracts with surrender guarantees. Zbl 1210.91056
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro
2010
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
Sato processes and the valuation of structured products. Zbl 1171.91327
2009
On VIX futures in the rough Bergomi model. Zbl 1400.91596
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor
2017
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
Risk-sensitive benchmarked asset management. Zbl 1140.91383
Davis, Mark; Lleo, Sébastien
2008
An improved convolution algorithm for discretely sampled Asian options. Zbl 1232.91653
Černý, Aleš; Kyriakou, Ioannis
2011
Asymptotics and calibration of local volatility models. Zbl 1405.91586
Berestycki, H.; Busca, J.; Florent, I.
2002
Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171
Bingham, N. H.; Kiesel, Rüdiger
2002
Portfolio diversification and value at risk under thick-tailedness. Zbl 1176.91146
Ibragimov, Rustam
2009
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
2009
A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573
Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David
2015
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
Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551
Malevergne, Y.; Pisarenko, V.; Sornette, D.
2005
A simple approach for pricing equity options with Markov switching state variables. Zbl 1136.91410
Aingworth, Donald D.; Das, Sanjiv R.; Motwani, Rajeev
2006
A two-factor model for the electricity forward market. Zbl 1169.91370
Kiesel, Rüdiger; Schindlmayr, Gero; Börger, Reik H.
2009
Arbitrage pricing of defaultable game options with applications to convertible bonds. Zbl 1154.91426
Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek
2008
Pricing of geometric Asian options under Heston’s stochastic volatility model. Zbl 1402.91792
Kim, Bara; Wee, In-Suk
2014
$$G$$-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116
Pun, Chi Seng
2021
Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty. Zbl 1466.91277
Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang
2021
The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355
Cordi, Marcus; Challet, Damien; Kassibrakis, Serge
2021
Volatility has to be rough. Zbl 07436772
Fukasawa, Masaaki
2021
Algorithmic market making for options. Zbl 1479.91388
Baldacci, Bastien; Bergault, Philippe; Guéant, Olivier
2021
Optimal multi-asset trading with linear costs: a mean-field approach. Zbl 1467.91171
Emschwiller, Matt; Petit, Benjamin; Bouchaud, Jean-Philippe
2021
Martingale transport with homogeneous stock movements. Zbl 1466.91334
Eckstein, Stephan; Kupper, Michael
2021
Static replication of barrier-type options via integral equations. Zbl 1466.91343
Kim, Kyoung-Kuk; Lim, Dong-Young
2021
Robust statistical arbitrage strategies. Zbl 1466.91345
Lütkebohmert, Eva; Sester, Julian
2021
Realized higher-order comoments. Zbl 1467.62171
Bae, Kwangil; Lee, Soonhee
2021
A cost-effective approach to portfolio construction with range-based risk measures. Zbl 1466.91298
Pun, Chi Seng; Wang, Lei
2021
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
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.
2021
Multivariate continuous-time modeling of wind indexes and hedging of wind risk. Zbl 1479.91390
Benth, Fred E.; Christensen, Troels S.; Rohde, Victor
2021
Equal risk pricing of derivatives with deep hedging. Zbl 1476.91177
Carbonneau, Alexandre; Godin, Frédéric
2021
Uncertainty shocks of Trump election in an interval model of stock market. Zbl 1479.91383
Sun, Yuying; Qiao, Kenan; Wang, Shouyang
2021
Robust portfolios with commodities and stochastic interest rates. Zbl 1479.91355
Chen, Junhe; Davison, Matt; Escobar-Anel, M.; Zafari, Golara
2021
Forward or backward simulation? A comparative study. Zbl 1454.91305
Sabino, Piergiacomo
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
Quant GANs: deep generation of financial time series. Zbl 1454.91366
Wiese, Magnus; Knobloch, Robert; Korn, Ralf; Kretschmer, Peter
2020
Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387
2020
Pricing American options by exercise rate optimization. Zbl 1471.91615
Bayer, Christian; Tempone, Raúl; Wolfers, Sören
2020
Pricing exchange options with correlated jump diffusion processes. Zbl 1471.91583
Petroni, Nicola Cufaro; Sabino, Piergiacomo
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
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
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
2020
Inversion of convex ordering in the VIX market. Zbl 1454.91288
Guyon, Julien
2020
Forward-looking portfolio selection with multivariate non-Gaussian models. Zbl 1454.91212
Bianchi, Michele Leonardo; Tassinari, Gian Luca
2020
Quasi-Monte Carlo-based conditional pathwise method for option Greeks. Zbl 1431.91437
Zhang, Chaojun; Wang, Xiaoqun
2020
Analyzing order flows in limit order books with ratios of Cox-type intensities. Zbl 1431.91383
Toke, Ioane Muni; Yoshida, Nakahiro
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
Variable annuities in a Lévy-based hybrid model with surrender risk. Zbl 1466.91248
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid
2020
Unveiling the relation between herding and liquidity with trader lead-lag networks. Zbl 1471.91605
Campajola, Carlo; Lillo, Fabrizio; Tantari, Daniele
2020
A revised option pricing formula with the underlying being banned from short selling. Zbl 1454.91289
He, Xin-Jiang; Zhu, Song-Ping
2020
Slow-moving capital and stock returns. Zbl 1454.91315
Isaenko, Sergey
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.
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
2020
Algorithmic trading in a microstructural limit order book model. Zbl 1454.91238
Abergel, Frédéric; Huré, Côme; Pham, Huyên
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
Clearing price distributions in call auctions. Zbl 1454.91285
Derksen, M.; Kleijn, B.; de Vilder, R.
2020
Optimal market making in the presence of latency. Zbl 1454.91247
Gao, Xuefeng; Wang, Yunhan
2020
An options-pricing approach to election prediction. Zbl 1465.91047
Fry, John; Burke, Matt
2020
Optimal and equilibrium execution strategies with generalized price impact. Zbl 1454.91260
Ohnishi, Masamitsu; Shimoshimizu, Makoto
2020
On the interplay between multiscaling and stock dependence. Zbl 1431.91376
Buonocore, R. J.; Brandi, G.; Mantegna, R. N.; Di Matteo, T.
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.
2020
Market or limit orders? Zbl 1466.91313
Mitchell, Daniel; Chen, Jingnan
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
2020
On the first hitting time density for a reducible diffusion process. Zbl 1466.91344
2020
Dynamic principal component CAW models for high-dimensional realized covariance matrices. Zbl 1467.62174
Gribisch, Bastian; Stollenwerk, Michael
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
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
Tightening robust price bounds for exotic derivatives. Zbl 1429.91324
Lütkebohmert, Eva; Sester, Julian
2019
Optimal investment and consumption under a continuous-time cointegration model with exponential utility. Zbl 1420.91427
Ma, Guiyuan; Zhu, Song-Ping
2019
Estimation of risk contributions with MCMC. Zbl 1420.91528
Koike, Takaaki; Minami, Mihoko
2019
Deep learning for limit order books. Zbl 1420.91555
Sirignano, Justin A.
2019
Cross-impact and no-dynamic-arbitrage. Zbl 1407.91235
Schneider, M.; Lillo, F.
2019
American option pricing under the double Heston model based on asymptotic expansion. Zbl 1420.91363
Zhang, S. M.; Feng, Y.
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
Bubble detection and sector trading in real time. Zbl 1420.91551
Milunovich, George; Shi, Shuping; Tan, David
2019
Stock performance by utility indifference pricing and the Sharpe ratio. Zbl 1420.91547
Hodoshima, Jiro
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
The principle of not feeling the boundary for the SABR model. Zbl 1420.91452
Chen, Nan; Yang, Nian
2019
Asian option pricing with orthogonal polynomials. Zbl 1420.91481
Willems, Sander
2019
Calibration and advanced simulation schemes for the Wishart stochastic volatility model. Zbl 1420.91515
La Bua, G.; Marazzina, D.
2019
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225
Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang
2019
Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts. Zbl 1420.91428
Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas
2019
Dynamic portfolio choice without cash. Zbl 1420.91423
Lam, Chi Kin; Xu, Yuhong; Yin, Guosheng
2019
Implied stopping rules for American basket options from Markovian projection. Zbl 1420.91446
Bayer, Christian; Häppölä, Juho; Tempone, Raúl
2019
Risk parity portfolio optimization under a Markov regime-switching framework. Zbl 1420.91410
Costa, Giorgio; Kwon, Roy H.
2019
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. Zbl 1420.91438
Zhang, Rongju; Langrené, Nicolas; Tian, Yu; Zhu, Zili; Klebaner, Fima; Hamza, Kais
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
Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Zbl 1420.91429
Ñíguez, Trino-Manuel; Paya, Ivan; Peel, David; Perote, Javier
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
The impact of a partial borrowing limit on financial decisions. Zbl 1420.91138
Lim, Byung Hwa; Kwak, Minsuk
2019
Simulation-based value-at-risk for nonlinear portfolios. Zbl 1422.91780
Chen, Junyao; Sit, Tony; Wong, Hoi Ying
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
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model. Zbl 1435.62420
Borup, Daniel; Jakobsen, Johan S.
2019
Forecasting trade durations via ACD models with mixture distributions. Zbl 1441.62270
Yatigammana, R. P.; Chan, J. S. K.; Gerlach, R. H.
2019
Asset management with endogenous withdrawals under a drawdown constraint. Zbl 1420.91432
Roche, Hervé
2019
A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462
Hainaut, Donatien; Deelstra, Griselda
2019
On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105
Han, Zheng; Hu, Yaozhong; Lee, Chihoon
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
A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. Zbl 1428.62466
Verma, A.; Buonocore, R. J.; Di Matteo, T.
2019
Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations. Zbl 1420.91507
Fries, Christian P.
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
Stock market uncertainty and economic fundamentals: an entropy-based approach. Zbl 1420.91536
Ahn, K.; Lee, D.; Sohn, S.; Yang, B.
2019
The endo-exo problem in high frequency financial price fluctuations and rejecting criticality. Zbl 1420.91558
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier
2019
The influence of intraday seasonality on volatility transmission pattern. Zbl 1420.91537
Alemany, N.; Aragó, V.; Salvador, E.
2019
...and 1008 more Documents
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### Cited by 6,588 Authors

 42 Siu, Tak Kuen 34 Zhu, Songping 26 Madan, Dilip B. 26 Oosterlee, Cornelis Willebrordus 26 Sornette, Didier 24 Bouchaud, Jean-Philippe 24 Lillo, Fabrizio 24 Schoutens, Wim 23 Jacquier, Antoine 22 Jaimungal, Sebastian 22 Schied, Alexander 22 Wong, Hoi Ying 21 Cartea, Álvaro 21 Elliott, Robert James 20 Wang, Ruodu 19 Benth, Fred Espen 19 Forsyth, Peter A. 19 Zagst, Rudi 18 Cui, Zhenyu 18 Wang, Yongjin 17 Hofert, Marius 17 Kim, Jeong-Hoon 17 Ratanov, Nikita 16 Bernard, Carole L. 16 Ching, Wai-Ki 16 Fabozzi, Frank J. 16 Friz, Peter Karl 16 Li, Zhongfei 16 Pham, Huyên 16 Rosenbaum, Mathieu 16 Rutkowski, Marek 15 Bormetti, Giacomo 15 Crepey, Stephane 15 Dang, Duy Minh 15 Eberlein, Ernst W. 15 Escobar, Marcos 15 Hayat, Tasawar 15 Leung, Tim 15 Takahashi, Akihiko 14 Bayer, Christian 14 Bo, Lijun 14 Deelstra, Griselda 14 Hainaut, Donatien 14 He, Xinjiang 14 Papapantoleon, Antonis 14 Stanley, H. Eugene 14 Yang, Hailiang 14 Yang, Xuewei 14 Yao, Haixiang 13 Bielecki, Tomasz R. 13 Chen, Zhiping 13 Gatheral, Jim 13 Jin, Zhuo 13 Lorig, Matthew J. 12 Bacry, Emmanuel 12 Chen, Wenting 12 Farmer, James Doyne 12 Fusai, Gianluca 12 Grasselli, Martino 12 Levendorskiĭ, Sergeĭ Zakharovich 12 Liao, Shijun 12 Nadarajah, Saralees 12 Paterlini, Sandra 12 Rudloff, Birgit 12 Shen, Yang 11 Feinstein, Zachary 11 Grabchak, Michael 11 Guéant, Olivier 11 Gulisashvili, Archil 11 Kwok, Yue-Kuen 11 Pistorius, Martijn R. 11 Tan, Ken Seng 11 Tunaru, Radu S. 11 Vanduffel, Steven 11 Xu, Huifu 11 Zariphopoulou, Thaleia 11 Zheng, Harry H. 11 Zhu, Lingjiong 10 Abergel, Frédéric 10 Embrechts, Paul 10 Korn, Ralf 10 Li, Xun 10 Mamon, Rogemar S. 10 Muzy, Jean-François 10 Pelsser, Antoon A. J. 10 Pichler, Alois 10 Platen, Eckhard 10 Reisinger, Christoph 10 Scherer, Matthias 10 Tankov, Peter 10 Teichmann, Josef 10 Todorov, Viktor 10 Wang, Shouyang 10 Yuen, Kam Chuen 10 Zeng, Yan 9 Bellini, Fabio 9 Belomestny, Denis 9 Biagini, Francesca 9 Brigo, Damiano 9 Chiarella, Carl ...and 6,488 more Authors
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### Cited in 412 Journals

 627 Quantitative Finance 241 Insurance Mathematics & Economics 228 International Journal of Theoretical and Applied Finance 226 European Journal of Operational Research 143 SIAM Journal on Financial Mathematics 132 Journal of Economic Dynamics & Control 112 Finance and Stochastics 107 Applied Mathematical Finance 102 Physica A 99 Journal of Computational and Applied Mathematics 87 Mathematical Finance 85 Annals of Operations Research 73 Stochastic Processes and their Applications 63 Mathematics and Financial Economics 60 Chaos, Solitons and Fractals 55 Journal of Econometrics 52 Review of Derivatives Research 50 Applied Mathematics and Computation 49 The Annals of Applied Probability 49 Decisions in Economics and Finance 47 Statistics & Probability Letters 45 Journal of Applied Probability 45 Computational Management Science 41 Asia-Pacific Financial Markets 40 Journal of Industrial and Management Optimization 39 North American Actuarial Journal 38 Annals of Finance 37 International Journal of Computer Mathematics 35 Mathematics of Operations Research 33 Methodology and Computing in Applied Probability 32 Journal of Statistical Computation and Simulation 31 Computers & Mathematics with Applications 31 Journal of Multivariate Analysis 30 Operations Research 30 Computational Statistics and Data Analysis 30 Discrete Dynamics in Nature and Society 30 ASTIN Bulletin 29 Operations Research Letters 28 Mathematical Methods of Operations Research 28 Scandinavian Actuarial Journal 27 Mathematical Problems in Engineering 27 Communications in Nonlinear Science and Numerical Simulation 27 Journal of Statistical Mechanics: Theory and Experiment 26 Communications in Statistics. Theory and Methods 25 Journal of Mathematical Analysis and Applications 24 Mathematical Programming. Series A. Series B 23 SIAM Journal on Control and Optimization 23 Stochastic Analysis and Applications 23 Journal of Applied Statistics 21 Applied Mathematics and Optimization 21 Automatica 19 Journal of Optimization Theory and Applications 18 Economics Letters 18 Bernoulli 17 Advances in Applied Probability 17 Optimization 17 European Actuarial Journal 17 Dependence Modeling 16 The ANZIAM Journal 16 Stochastics 16 Probability, Uncertainty and Quantitative Risk 15 Journal of Statistical Physics 15 Mathematics and Computers in Simulation 15 Japan Journal of Industrial and Applied Mathematics 15 Complexity 15 The European Physical Journal B. Condensed Matter and Complex Systems 14 Statistics and Computing 13 The Annals of Statistics 13 Computational Statistics 13 Abstract and Applied Analysis 12 Journal of Systems Science and Complexity 12 Statistics & Risk Modeling 11 Journal of Mathematical Economics 11 Econometric Reviews 11 Journal of Global Optimization 11 Communications in Statistics. Simulation and Computation 11 Statistical Papers 10 Journal of Statistical Planning and Inference 10 Chaos 9 Theory of Probability and its Applications 9 Applied Numerical Mathematics 9 Statistics 9 Computers & Operations Research 9 Applied Mathematics Letters 9 Electronic Communications in Probability 9 Probability in the Engineering and Informational Sciences 9 Econometric Theory 9 Discrete and Continuous Dynamical Systems. Series B 9 Journal of Applied Mathematics 9 Stochastic Models 9 OR Spectrum 9 Electronic Journal of Statistics 9 Modern Stochastics. Theory and Applications 8 Journal of Scientific Computing 8 Theory of Probability and Mathematical Statistics 8 Statistical Inference for Stochastic Processes 8 Optimization and Engineering 8 Brazilian Journal of Probability and Statistics 8 Nonlinear Analysis. Real World Applications 8 Mathematical Control and Related Fields ...and 312 more Journals
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### Cited in 55 Fields

 3,885 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1,786 Probability theory and stochastic processes (60-XX) 1,226 Statistics (62-XX) 541 Operations research, mathematical programming (90-XX) 533 Numerical analysis (65-XX) 405 Systems theory; control (93-XX) 231 Partial differential equations (35-XX) 179 Calculus of variations and optimal control; optimization (49-XX) 98 Computer science (68-XX) 77 Statistical mechanics, structure of matter (82-XX) 49 Ordinary differential equations (34-XX) 41 Dynamical systems and ergodic theory (37-XX) 40 Integral equations (45-XX) 35 Approximations and expansions (41-XX) 32 Harmonic analysis on Euclidean spaces (42-XX) 31 Fluid mechanics (76-XX) 30 Biology and other natural sciences (92-XX) 26 Real functions (26-XX) 25 Integral transforms, operational calculus (44-XX) 24 Combinatorics (05-XX) 23 Functional analysis (46-XX) 19 Information and communication theory, circuits (94-XX) 18 Geophysics (86-XX) 17 Linear and multilinear algebra; matrix theory (15-XX) 16 Measure and integration (28-XX) 15 Operator theory (47-XX) 12 General and overarching topics; collections (00-XX) 11 Global analysis, analysis on manifolds (58-XX) 10 Special functions (33-XX) 10 Quantum theory (81-XX) 8 Classical thermodynamics, heat transfer (80-XX) 6 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 Abstract harmonic analysis (43-XX) 2 Geometry (51-XX) 2 General topology (54-XX) 2 Optics, electromagnetic theory (78-XX) 2 Mathematics education (97-XX) 1 Number theory (11-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)