Quantitative Finance Short Title: Quant. Finance Publisher: Taylor & Francis (Routledge), Abingdon, Oxfordshire ISSN: 1469-7688; 1469-7696/e Online: http://www.tandfonline.com/loi/rquf20 Documents Indexed: 1,699 Publications (since 2001) References Indexed: 1,598 Publications with 51,654 References. all top 5 Latest Issues 21, No. 3 (2021) 21, No. 2 (2021) 20, No. 12 (2020) 20, No. 11 (2020) 20, No. 10 (2020) 20, No. 9 (2020) 20, No. 8 (2020) 20, No. 7 (2020) 20, No. 6 (2020) 20, No. 5 (2020) 20, No. 4 (2020) 20, No. 3 (2020) 20, No. 2 (2020) 20, No. 1 (2020) 19, No. 12 (2019) 19, No. 11 (2019) 19, No. 10 (2019) 19, No. 9 (2019) 19, No. 8 (2019) 19, No. 7 (2019) 19, No. 6 (2019) 19, No. 5 (2019) 19, No. 4 (2019) 19, No. 3 (2019) 19, No. 2 (2019) 19, No. 1 (2019) 18, No. 12 (2018) 18, No. 11 (2018) 18, No. 10 (2018) 18, No. 8 (2018) 18, No. 7 (2018) 18, No. 6 (2018) 18, No. 5 (2018) 18, No. 4 (2018) 18, No. 3 (2018) 18, No. 2 (2018) 18, No. 1 (2018) 17, No. 12 (2017) 17, No. 11 (2017) 17, No. 10 (2017) 17, No. 9 (2017) 17, No. 8 (2017) 17, No. 7 (2017) 17, No. 6 (2017) 17, No. 5 (2017) 17, No. 4 (2017) 17, No. 3 (2017) 17, No. 2 (2017) 17, No. 1 (2017) 16, No. 12 (2016) 16, No. 11 (2016) 16, No. 10 (2016) 16, No. 9 (2016) 16, No. 8 (2016) 16, No. 7 (2016) 16, No. 6 (2016) 16, No. 5 (2016) 16, No. 4 (2016) 16, No. 3 (2016) 16, No. 2 (2016) 16, No. 1 (2016) 15, No. 12 (2015) 15, No. 11 (2015) 15, No. 10 (2015) 15, No. 9 (2015) 15, No. 8 (2015) 15, No. 7 (2015) 15, No. 6 (2015) 15, No. 5 (2015) 15, No. 4 (2015) 15, No. 3 (2015) 15, No. 2 (2015) 15, No. 1 (2015) 14, No. 12 (2014) 14, No. 11 (2014) 14, No. 10 (2014) 14, No. 9 (2014) 14, No. 8 (2014) 14, No. 7 (2014) 14, No. 6 (2014) 14, No. 5 (2014) 14, No. 4 (2014) 14, No. 3 (2014) 14, No. 2 (2014) 14, No. 1 (2014) 13, No. 12 (2013) 13, No. 11 (2013) 13, No. 10 (2013) 13, No. 9 (2013) 13, No. 8 (2013) 13, No. 7 (2013) 13, No. 6 (2013) 13, No. 5 (2013) 13, No. 4 (2013) 13, No. 3 (2013) 13, No. 2 (2013) 13, No. 1 (2013) 12, No. 12 (2012) 12, No. 11 (2012) 12, No. 10 (2012) ...and 87 more Volumes all top 5 Authors 23 Sornette, Didier 22 Bouchaud, Jean-Philippe 18 Madan, Dilip B. 17 Lillo, Fabrizio 14 Zumbach, Gilles O. 11 Elliott, Robert James 11 Farmer, James Doyne 10 Bormetti, Giacomo 10 Dempster, Michael A. H. 10 Fabozzi, Frank J. 10 Gatheral, Jim 10 Joshi, Mark S. 10 Platen, Eckhard 9 Kwok, Yue-Kuen 9 Rebonato, Riccardo 9 Schoutens, Wim 9 Siu, Tak Kuen 9 Stanley, H. Eugene 8 Bayer, Christian 8 Eberlein, Ernst W. 8 Härdle, Wolfgang Karl 7 Bacry, Emmanuel 7 Brigo, Damiano 7 Challet, Damien 7 Cont, Rama 7 Kijima, Masaaki 7 Malevergne, Yannick 7 Muzy, Jean-François 6 Abergel, Frédéric 6 Chiarella, Carl 6 Friz, Peter Karl 6 Gerlach, Richard H. 6 Hwang, Ruey-Ching 6 Jacquier, Antoine 6 Marsili, Matteo 6 Oosterlee, Cornelis Willebrordus 6 Tunaru, Radu S. 6 Večeř, Jan 6 Zhou, Weixing 5 Albanese, Claudio 5 Carr, Peter P. 5 Creamer, Germán G. 5 Crepey, Stephane 5 Fouque, Jean-Pierre 5 Grzelak, Lech A. 5 Levendorskiĭ, Sergeĭ Zakharovich 5 Mandelbrot, Benoit B. 5 Nadarajah, Saralees 5 Oomen, Roel C. A. 5 Potters, Marc 5 Stübinger, Johannes 5 Takahashi, Akihiko 5 Thurner, Stefan 5 Wong, Hoi Ying 5 Ziemba, William T. 4 Avellaneda, Marco 4 Baviera, Roberto 4 Bellini, Fabio 4 Cartea, Álvaro 4 Chu, Chih-Kang 4 Dai, Min 4 Davis, Mark H. A. 4 Escobar, Marcos 4 Ewald, Christian-Oliver 4 Feigenbaum, James A. 4 Fujii, Masaaki 4 Giacometti, Rosella 4 Glasserman, Paul 4 Grasselli, Martino 4 Guégan, Dominique 4 Guidolin, Massimo 4 Guillaume, Florence 4 He, Xuezhong 4 Heath, David C. 4 Hilliard, Jimmy E. 4 Jaimungal, Sebastian 4 Kim, Jeong-Hoon 4 Kim, Kyoung-Kuk 4 Lleo, Sébastien 4 Lorig, Matthew J. 4 Mantegna, Rosario Nunzio 4 Marazzina, Daniele 4 Medova, Elena A. 4 Mercurio, Fabio 4 Mitra, Gautam 4 Mulvey, John M. 4 Nagurney, Anna 4 Norton Kercheval, Alec 4 Pallavicini, Andrea 4 Plerou, Vasiliki 4 Poulsen, Rolf 4 Rosenbaum, Mathieu 4 Sircar, Ronnie 4 Taleb, Nassim Nicholas 4 Tempone, Raúl F. 4 Wang, Tai-Ho 4 Wang, Yongjin 4 Yang, Jinqiang 4 Yin, Libo 4 Yu, Philip Leung Ho ...and 2,540 more Authors all top 5 Fields 1,618 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 374 Statistics (62-XX) 327 Probability theory and stochastic processes (60-XX) 88 Numerical analysis (65-XX) 79 Operations research, mathematical programming (90-XX) 42 Systems theory; control (93-XX) 31 Computer science (68-XX) 29 General and overarching topics; collections (00-XX) 19 Partial differential equations (35-XX) 13 Measure and integration (28-XX) 11 History and biography (01-XX) 8 Calculus of variations and optimal control; optimization (49-XX) 7 Harmonic analysis on Euclidean spaces (42-XX) 6 Combinatorics (05-XX) 6 Integral transforms, operational calculus (44-XX) 5 Approximations and expansions (41-XX) 3 Information and communication theory, circuits (94-XX) 2 Nonassociative rings and algebras (17-XX) 2 Real functions (26-XX) 2 Abstract harmonic analysis (43-XX) 2 Integral equations (45-XX) 2 Global analysis, analysis on manifolds (58-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Number theory (11-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Operator theory (47-XX) 1 Fluid mechanics (76-XX) 1 Geophysics (86-XX) 1 Biology and other natural sciences (92-XX) 1 Mathematics education (97-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 999 Publications have been cited 6,458 times in 4,461 Documents Cited by ▼ Year ▼ Empirical properties of asset returns: stylized facts and statistical issues. Zbl 1408.62174Cont, R. 126 2001 An exact and explicit solution for the valuation of American put options. Zbl 1136.91468Zhu, Song-Ping 94 2006 Volatility is rough. Zbl 1400.91590Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu 86 2018 Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander 75 2010 Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191Cont, Rama; Deguest, Romain; Scandolo, Giacomo 73 2010 A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240Lord, Roger; Koekkoek, Remmert; van Dijk, Dick 64 2010 Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F. 60 2013 High-frequency trading in a limit order book. Zbl 1152.91024Avellaneda, Marco; Stoikov, Sasha 57 2008 A multifactor volatility Heston model. Zbl 1152.91500Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio 54 2008 Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438Kraft, Holger 52 2005 Ambiguity in portfolio selection. Zbl 1190.91138Pflug, Georg; Wozabal, David 50 2007 No-dynamic-arbitrage and market impact. Zbl 1194.91208Gatheral, Jim 48 2010 A multivariate jump-driven financial asset model. Zbl 1134.91446Luciano, Elisa; Schoutens, Wim 46 2006 Information and option pricings. Zbl 1405.91619Guo, X. 43 2001 Statistical arbitrage in the US equities market. Zbl 1194.91196Avellaneda, Marco; Lee, Jeong-Hyun 42 2010 Pairs trading. Zbl 1134.91415Elliott, Robert J.; van der Hoek, John; Malcolm, William P. 41 2005 Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425Hobson, David; Laurence, Peter; Wang, Tai-Ho 41 2005 On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168Vigna, Elena 40 2014 Hierarchies of Archimedean copulas. Zbl 1270.91086Savu, Cornelia; Trede, Mark 40 2010 Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph 40 2005 Optimal high-frequency trading with limit and market orders. Zbl 1280.91148Guilbaud, Fabien; Pham, Huyên 38 2013 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286Carmona, René; Ludkovski, Michael 36 2010 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 35 2014 On elicitable risk measures. Zbl 1395.91506Bellini, Fabio; Bignozzi, Valeria 35 2015 Higher moment coherent risk measures. Zbl 1190.91074Krokhmal, Pavlo A. 34 2007 Thou shalt buy and hold. Zbl 1154.91478Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 34 2008 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033Hubalek, Friedrich; Sgarra, Carlo 32 2006 Portfolio selection with higher moments. Zbl 1195.91181Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter 31 2010 CDO pricing with nested Archimedean copulas. Zbl 1213.91074Hofert, Marius; Scherer, Matthias 30 2011 A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Zbl 1192.91177Jeannin, Marc; Pistorius, Martijn 30 2010 Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750Bacry, Emmanuel; Muzy, Jean-François 29 2014 The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481Benth, Fred Espen; Benth, Jūratė Šaltytė 29 2007 Robust risk measurement and model risk. Zbl 1294.91076Glasserman, Paul; Xu, Xingbo 28 2014 Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387Musiela, M.; Zariphopoulou, T. 28 2009 Order book approach to price impact. Zbl 1134.91379Weber, P.; Rosenow, B. 28 2005 Arbitrage-free SVI volatility surfaces. Zbl 1308.91187Gatheral, Jim; Jacquier, Antoine 27 2014 A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130Zeng, Xudong; Taksar, Michael 26 2013 Limit order books. Zbl 1284.91584Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D. 26 2013 Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156Drimus, Gabriel G. 26 2012 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 26 2011 A multi-quality model of interest rates. Zbl 1158.91353Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony 26 2009 Network topology of the interbank market. Zbl 1405.91729Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan 25 2004 Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701Anand, Kartik; Craig, Ben; von Peter, Goetz 25 2015 Multi-scaling in finance. Zbl 1278.91118di Matteo, T. 25 2007 Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam 25 2007 A jump telegraph model for option pricing. Zbl 1151.91535Ratanov, Nikita 25 2007 Estimating value-at-risk: a point process approach. Zbl 1118.91353Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J. 24 2005 Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777Fukasawa, Masaaki 24 2017 Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes. Zbl 1405.91730Bouchaud, Jean-Philippe; Gefen, Yuval; Potters, Marc; Wyart, Matthieu 24 2004 Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431Kahl, Christian; Jäckel, Peter 24 2006 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen 23 2012 Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181Moreni, N.; Pallavicini, A. 23 2014 On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei 23 2011 Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217Bo, Lijun; Wang, Yongjin; Yang, Xuewei 23 2011 Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176Hambly, Ben; Howison, Sam; Kluge, Tino 23 2009 On refined volatility smile expansion in the Heston model. Zbl 1267.91068Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan 22 2011 Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 22 2006 The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien 21 2012 Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. Zbl 1405.91559Jobst, N. J.; Horniman, M. D.; Lucas, C. A.; Mitra, G. 21 2001 Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173Breymann, W.; Dias, A.; Embrechts, P. 21 2003 Statistical theory of the continuous double auction. Zbl 1405.91241Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya 21 2003 Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558Højgaard, Bjarne; Taksar, Michael 21 2004 Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A. 21 2007 Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172Fengler, Matthias R. 21 2009 Extension of stochastic volatility equity models with the Hull-White interest rate process. Zbl 1241.91124Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha 21 2012 Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430Broadie, Mark; Cao, Menghui 21 2008 Functional Itô calculus. Zbl 1420.91458Dupire, Bruno 21 2019 Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc 20 2006 Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction. Zbl 1405.91251Choulli, T.; Taksar, M.; Zhou, X. Y. 19 2001 An empirical analysis of multivariate copula models. Zbl 1180.91314Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian 19 2009 Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333Grabchak, Michael; Samorodnitsky, Gennady 19 2010 PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek 19 2005 Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417Friz, Peter; Gatheral, Jim 19 2005 Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112Chronopoulou, Alexandra; Viens, Frederi G. 18 2012 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160Elliott, Robert J.; Lian, Guang-Hua 18 2013 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Zbl 1281.91150Ahlip, Rehez; Rutkowski, Marek 18 2013 Riding on the smiles. Zbl 1277.91176da Fonseca, José; Grasselli, Martino 18 2011 Regression-based algorithms for life insurance contracts with surrender guarantees. Zbl 1210.91056Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro 18 2010 What good is a volatility model? Zbl 1405.91612Engle, R. F.; Patton, A. J. 18 2001 The multiplex structure of interbank networks. Zbl 1398.91703Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F. 18 2015 Sato processes and the valuation of structured products. Zbl 1171.91327Eberlein, Ernst; Madan, Dilip B. 18 2009 Robust portfolio selection under downside risk measures. Zbl 1180.91280Zhu, Shushang; Li, Duan; Wang, Shouyang 18 2009 An improved convolution algorithm for discretely sampled Asian options. Zbl 1232.91653Černý, Aleš; Kyriakou, Ioannis 17 2011 Asymptotics and calibration of local volatility models. Zbl 1405.91586Berestycki, H.; Busca, J.; Florent, I. 17 2002 A simple approach for pricing equity options with Markov switching state variables. Zbl 1136.91410Aingworth, Donald D.; Das, Sanjiv R.; Motwani, Rajeev 17 2006 Portfolio diversification and value at risk under thick-tailedness. Zbl 1176.91146Ibragimov, Rustam 17 2009 A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options. Zbl 1229.91300Carr, Peter; Crosby, John 17 2010 Risk-sensitive benchmarked asset management. Zbl 1140.91383Davis, Mark; Lleo, Sébastien 17 2008 Leverage causes fat tails and clustered volatility. Zbl 1278.91154Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John 16 2012 Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162Feinstein, Zachary; Rudloff, Birgit 16 2013 Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159Øksendal, Bernt; Sulem, Agnès 16 2011 Optimal positioning in derivative securities. Zbl 1405.91599Carr, P.; Madan, D. 16 2001 Dynamics of implied volatility surfaces. Zbl 1405.91603Cont, Rama; Da Fonseca, José 16 2002 Rank reduction of correlation matrices by majorization. Zbl 1405.91647Pietersz, Raoul; Groenen, Patrick J. F. 16 2004 A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David 16 2015 Risk minimization in stochastic volatility models: model risk and empirical performance. Zbl 1188.91220Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, Christian-Oliver 16 2009 An enhanced model for portfolio choice with SSD criteria: a constructive approach. Zbl 1258.91195Fábián, Csaba I.; Mitra, Gautam; Roman, Diana; Zverovich, Victor 16 2011 Pricing of geometric Asian options under Heston’s stochastic volatility model. Zbl 1402.91792Kim, Bara; Wee, In-Suk 16 2014 Moment swaps. Zbl 1134.91461Schoutens, Wim 16 2005 On VIX futures in the rough Bergomi model. Zbl 1400.91596Jacquier, Antoine; Martini, Claude; Muguruza, Aitor 15 2017 \(G\)-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116Pun, Chi Seng 2 2021 The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355Cordi, Marcus; Challet, Damien; Kassibrakis, Serge 1 2021 Robust statistical arbitrage strategies. Zbl 1466.91345Lütkebohmert, Eva; Sester, Julian 1 2021 Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities. Zbl 1454.91304Phelan, C. E.; Marazzina, D.; Germano, G. 2 2020 Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino 2 2020 Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš 1 2020 Quasi-Monte Carlo-based conditional pathwise method for option Greeks. Zbl 1431.91437Zhang, Chaojun; Wang, Xiaoqun 1 2020 Co-impact: crowding effects in institutional trading activity. Zbl 1448.91279Bucci, F.; Mastromatteo, I.; Eisler, Z.; Lillo, F.; Bouchaud, J.-P.; Lehalle, C.-A. 1 2020 The Zumbach effect under rough Heston. Zbl 1448.91295El Euch, Omar; Gatheral, Jim; Radoičić, Radoš; Rosenbaum, Mathieu 1 2020 A closed-form formula characterization of the Epps effect. Zbl 1448.91278Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; Pollastri, Alessandro 1 2020 Slow-moving capital and stock returns. Zbl 1454.91315Isaenko, Sergey 1 2020 Forward or backward simulation? A comparative study. Zbl 1454.91305Sabino, Piergiacomo 1 2020 An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes. Zbl 1454.91278Chan, Tat Lung (Ron) 1 2020 A neural network approach to understanding implied volatility movements. Zbl 1454.91275Cao, Jay; Chen, Jacky; Hull, John 1 2020 Quant GANs: deep generation of financial time series. Zbl 1454.91366Wiese, Magnus; Knobloch, Robert; Korn, Ralf; Kretschmer, Peter 1 2020 An options-pricing approach to election prediction. Zbl 1465.91047Fry, John; Burke, Matt 1 2020 Buy rough, sell smooth. Zbl 1466.91336Glasserman, Paul; He, Pu 1 2020 Calibrating rough volatility models: a convolutional neural network approach. Zbl 1466.91318Stone, Henry 1 2020 Functional Itô calculus. Zbl 1420.91458Dupire, Bruno 21 2019 Deep hedging. Zbl 1420.91450Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B. 13 2019 Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B. 10 2019 Lifting the Heston model. Zbl 1441.91093Jaber, Eduardo Abi 6 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 1420.91130Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan 5 2019 Tightening robust price bounds for exotic derivatives. Zbl 1429.91324Lütkebohmert, Eva; Sester, Julian 5 2019 Cross-impact and no-dynamic-arbitrage. Zbl 1407.91235Schneider, M.; Lillo, F. 4 2019 Universal features of price formation in financial markets: perspectives from deep learning. Zbl 1420.91433Sirignano, Justin; Cont, Rama 4 2019 Stock performance by utility indifference pricing and the Sharpe ratio. Zbl 1420.91547Hodoshima, Jiro 3 2019 Optimal investment and consumption under a continuous-time cointegration model with exponential utility. Zbl 1420.91427Ma, Guiyuan; Zhu, Song-Ping 3 2019 Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu 2 2019 Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts. Zbl 1420.91428Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas 2 2019 The impact of a partial borrowing limit on financial decisions. Zbl 1420.91138Lim, Byung Hwa; Kwak, Minsuk 2 2019 Estimation of risk contributions with MCMC. Zbl 1420.91528Koike, Takaaki; Minami, Mihoko 2 2019 Simulation-based value-at-risk for nonlinear portfolios. Zbl 1422.91780Chen, Junyao; Sit, Tony; Wong, Hoi Ying 2 2019 Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model. Zbl 1435.62420Borup, Daniel; Jakobsen, Johan S. 2 2019 Internalisation by electronic FX spot dealers. Zbl 1407.91292Butz, M.; Oomen, R. 1 2019 An extended likelihood framework for modelling discretely observed credit rating transitions. Zbl 1407.91265Pfeuffer, M.; Möstel, L.; Fischer, M. 1 2019 Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang 1 2019 American option pricing under the double Heston model based on asymptotic expansion. Zbl 1420.91363Zhang, S. M.; Feng, Y. 1 2019 Bubble detection and sector trading in real time. Zbl 1420.91551Milunovich, George; Shi, Shuping; Tan, David 1 2019 Dynamic portfolio choice without cash. Zbl 1420.91423Lam, Chi Kin; Xu, Yuhong; Yin, Guosheng 1 2019 The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions. Zbl 1428.62048Grzelak, L. A.; Witteveen, J. A. S.; Suárez-Taboada, M.; Oosterlee, C. W. 1 2019 Implied stopping rules for American basket options from Markovian projection. Zbl 1420.91446Bayer, Christian; Häppölä, Juho; Tempone, Raúl 1 2019 A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462Hainaut, Donatien; Deelstra, Griselda 1 2019 The principle of not feeling the boundary for the SABR model. Zbl 1420.91452Chen, Nan; Yang, Nian 1 2019 Risk parity portfolio optimization under a Markov regime-switching framework. Zbl 1420.91410Costa, Giorgio; Kwon, Roy H. 1 2019 On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105Han, Zheng; Hu, Yaozhong; Lee, Chihoon 1 2019 Deep learning for limit order books. Zbl 1420.91555Sirignano, Justin A. 1 2019 Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S&P 500. Zbl 1420.91548Knoll, Julian; Stübinger, Johannes; Grottke, Michael 1 2019 Asian option pricing with orthogonal polynomials. Zbl 1420.91481Willems, Sander 1 2019 A recursive method for static replication of autocallable structured products. Zbl 1420.91470Kim, Kyoung-Kuk; Lim, Dong-Young 1 2019 Gold price dynamics and the role of uncertainty. Zbl 1420.91102Beckmann, Joscha; Berger, Theo; Czudaj, Robert 1 2019 A simple mechanism for financial bubbles: time-varying momentum horizon. Zbl 1420.91549Lin, L.; Schatz, M.; Sornette, D. 1 2019 Real options under a double exponential jump-diffusion model with regime switching and partial information. Zbl 1420.91500Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun 1 2019 Leveraging a call-put ratio as a trading signal. Zbl 1420.91417Houlihan, Patrick; Creamer, Germán G. 1 2019 A financially justifiable and practically implementable approach to coherent stress testing. Zbl 1420.91554Rebonato, Riccardo 1 2019 Enhancing the momentum strategy through deep regression. Zbl 1420.91420Kim, Saejoon 1 2019 The influence of intraday seasonality on volatility transmission pattern. Zbl 1420.91537Alemany, N.; Aragó, V.; Salvador, E. 1 2019 On the seasonality in the implied volatility of electricity options. Zbl 1420.91459Fanelli, Viviana; Schmeck, Maren Diane 1 2019 Target volatility option pricing in the lognormal fractional SABR model. 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Zbl 1400.91648Alonso-García, Jennifer; Wood, Oliver; Ziveyi, Jonathan 7 2018 Smoothing the payoff for efficient computation of basket option prices. Zbl 1400.91649Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul 6 2018 Turbocharging Monte Carlo pricing for the rough Bergomi model. Zbl 1406.91486McCrickerd, Ryan; Pakkanen, Mikko S. 6 2018 Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Zbl 1406.62151Varneskov, Rasmus T.; Perron, Pierre 5 2018 Analytic value function for optimal regime-switching pairs trading rules. Zbl 1400.91527Bai, Yang; Wu, Lan 5 2018 Instantaneous portfolio theory. Zbl 1400.91557Madan, Dilip B. 5 2018 Collective synchronization and high frequency systemic instabilities in financial markets. Zbl 1400.91695Calcagnile, Lucio Maria; Bormetti, Giacomo; Treccani, Michele; Marmi, Stefano; Lillo, Fabrizio 4 2018 A multiple-curve Lévy forward rate model in a two-price economy. 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Zbl 1407.62178Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher 2 2018 ...and 899 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 5,856 Authors 38 Siu, Tak Kuen 32 Zhu, Songping 25 Madan, Dilip B. 25 Sornette, Didier 24 Bouchaud, Jean-Philippe 24 Schoutens, Wim 22 Lillo, Fabrizio 21 Elliott, Robert James 21 Jacquier, Antoine 21 Oosterlee, Cornelis Willebrordus 20 Schied, Alexander 19 Jaimungal, Sebastian 19 Wong, Hoi Ying 18 Cartea, Álvaro 18 Wang, Yongjin 17 Forsyth, Peter A. 17 Wang, Ruodu 16 Cui, Zhenyu 16 Hofert, Marius 16 Rutkowski, Marek 16 Zagst, Rudi 15 Bernard, Carole 15 Ching, Wai-Ki 15 Escobar, Marcos 15 Hayat, Tasawar 15 Kim, Jeong-Hoon 15 Leung, Tim 15 Li, Zhongfei 15 Ratanov, Nikita 15 Takahashi, Akihiko 14 Benth, Fred Espen 14 Bormetti, Giacomo 14 Crepey, Stephane 14 Dang, Duy Minh 14 Deelstra, Griselda 14 Eberlein, Ernst W. 14 Fabozzi, Frank J. 14 Pham, Huyên 14 Rosenbaum, Mathieu 14 Yang, Xuewei 13 Bielecki, Tomasz R. 13 Bo, Lijun 13 Yang, Hailiang 13 Yao, Haixiang 12 Bacry, Emmanuel 12 Chen, Wenting 12 Chen, Zhiping 12 Farmer, James Doyne 12 Friz, Peter Karl 12 Fusai, Gianluca 12 Gatheral, Jim 12 Grasselli, Martino 12 Hainaut, Donatien 12 He, Xinjiang 12 Papapantoleon, Antonis 12 Stanley, H. 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