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. all top 5 Latest Issues 22, No. 3 (2022) 22, No. 2 (2022) 22, No. 1 (2022) 21, No. 7 (2021) 21, No. 6 (2021) 21, No. 5 (2021) 21, No. 4 (2021) 21, No. 3 (2021) 21, No. 2 (2021) 21, No. 1 (2021) 20, No. 12 (2020) 20, No. 11 (2020) 20, No. 10 (2020) 20, No. 9 (2020) 20, No. 8 (2020) 20, No. 7 (2020) 20, No. 6 (2020) 20, No. 5 (2020) 20, No. 4 (2020) 20, No. 3 (2020) 20, No. 2 (2020) 20, No. 1 (2020) 19, No. 12 (2019) 19, No. 11 (2019) 19, No. 10 (2019) 19, No. 9 (2019) 19, No. 8 (2019) 19, No. 7 (2019) 19, No. 6 (2019) 19, No. 5 (2019) 19, No. 4 (2019) 19, No. 3 (2019) 19, No. 2 (2019) 19, No. 1 (2019) 18, No. 12 (2018) 18, No. 11 (2018) 18, No. 10 (2018) 18, No. 9 (2018) 18, No. 8 (2018) 18, No. 7 (2018) 18, No. 6 (2018) 18, No. 5 (2018) 18, No. 4 (2018) 18, No. 3 (2018) 18, No. 2 (2018) 18, No. 1 (2018) 17, No. 12 (2017) 17, No. 11 (2017) 17, No. 10 (2017) 17, No. 9 (2017) 17, No. 8 (2017) 17, No. 7 (2017) 17, No. 6 (2017) 17, No. 5 (2017) 17, No. 4 (2017) 17, No. 3 (2017) 17, No. 2 (2017) 17, No. 1 (2017) 16, No. 12 (2016) 16, No. 11 (2016) 16, No. 10 (2016) 16, No. 9 (2016) 16, No. 8 (2016) 16, No. 7 (2016) 16, No. 6 (2016) 16, No. 5 (2016) 16, No. 4 (2016) 16, No. 3 (2016) 16, No. 2 (2016) 16, No. 1 (2016) 15, No. 12 (2015) 15, No. 11 (2015) 15, No. 10 (2015) 15, No. 9 (2015) 15, No. 8 (2015) 15, No. 7 (2015) 15, No. 6 (2015) 15, No. 5 (2015) 15, No. 4 (2015) 15, No. 3 (2015) 15, No. 2 (2015) 15, No. 1 (2015) 14, No. 12 (2014) 14, No. 11 (2014) 14, No. 10 (2014) 14, No. 9 (2014) 14, No. 8 (2014) 14, No. 7 (2014) 14, No. 6 (2014) 14, No. 5 (2014) 14, No. 4 (2014) 14, No. 3 (2014) 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) ...and 96 more Volumes all top 5 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 1408.62174Cont, R. 160 2001 Volatility is rough. Zbl 1400.91590Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu 122 2018 An exact and explicit solution for the valuation of American put options. Zbl 1136.91468Zhu, Song-Ping 98 2006 Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191Cont, Rama; Deguest, Romain; Scandolo, Giacomo 81 2010 Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander 81 2010 Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F. 69 2013 A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240Lord, Roger; Koekkoek, Remmert; van Dijk, Dick 69 2010 High-frequency trading in a limit order book. Zbl 1152.91024Avellaneda, Marco; Stoikov, Sasha 66 2008 Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438Kraft, Holger 61 2005 A multifactor volatility Heston model. Zbl 1152.91500Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio 61 2008 Ambiguity in portfolio selection. Zbl 1190.91138Pflug, Georg; Wozabal, David 58 2007 No-dynamic-arbitrage and market impact. Zbl 1194.91208Gatheral, Jim 54 2010 A multivariate jump-driven financial asset model. Zbl 1134.91446Luciano, Elisa; Schoutens, Wim 51 2006 Information and option pricings. Zbl 1405.91619Guo, X. 49 2001 Statistical arbitrage in the US equities market. Zbl 1194.91196Avellaneda, Marco; Lee, Jeong-Hyun 47 2010 On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168Vigna, Elena 47 2014 Pairs trading. Zbl 1134.91415Elliott, Robert J.; van der Hoek, John; Malcolm, William P. 43 2005 Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425Hobson, David; Laurence, Peter; Wang, Tai-Ho 43 2005 Hierarchies of Archimedean copulas. Zbl 1270.91086Savu, Cornelia; Trede, Mark 43 2010 Optimal high-frequency trading with limit and market orders. Zbl 1280.91148Guilbaud, Fabien; Pham, Huyên 41 2013 Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph 41 2005 Valuation of energy storage: an optimal switching approach. Zbl 1203.91286Carmona, René; Ludkovski, Michael 39 2010 On elicitable risk measures. Zbl 1395.91506Bellini, Fabio; Bignozzi, Valeria 38 2015 Portfolio selection with higher moments. Zbl 1195.91181Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter 37 2010 Higher moment coherent risk measures. Zbl 1190.91074Krokhmal, Pavlo A. 37 2007 Robust risk measurement and model risk. Zbl 1294.91076Glasserman, Paul; Xu, Xingbo 36 2014 Longevity hedge effectiveness: a decomposition. Zbl 1294.91072Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. 36 2014 Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033Hubalek, Friedrich; Sgarra, Carlo 34 2006 Thou shalt buy and hold. Zbl 1154.91478Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu 34 2008 Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750Bacry, Emmanuel; Muzy, Jean-François 33 2014 Functional Itô calculus. Zbl 1420.91458Dupire, Bruno 33 2019 Limit order books. Zbl 1284.91584Gould, Martin D.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Fenn, Daniel J.; Howison, Sam D. 33 2013 Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777Fukasawa, Masaaki 32 2017 Arbitrage-free SVI volatility surfaces. Zbl 1308.91187Gatheral, Jim; Jacquier, Antoine 32 2014 CDO pricing with nested Archimedean copulas. Zbl 1213.91074Hofert, Marius; Scherer, Matthias 31 2011 The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481Benth, Fred Espen; Benth, Jūratė Šaltytė 31 2007 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 Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387Musiela, M.; Zariphopoulou, T. 29 2009 A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130Zeng, Xudong; Taksar, Michael 29 2013 A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346Elliott, Robert J.; Siu, Tak Kuen 29 2011 Network topology of the interbank market. Zbl 1405.91729Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan 29 2004 A jump telegraph model for option pricing. Zbl 1151.91535Ratanov, Nikita 29 2007 Multi-scaling in finance. Zbl 1278.91118di Matteo, T. 29 2007 A multi-quality model of interest rates. Zbl 1158.91353Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony 28 2009 Order book approach to price impact. Zbl 1134.91379Weber, P.; Rosenow, B. 28 2005 Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701Anand, Kartik; Craig, Ben; von Peter, Goetz 27 2015 Estimating value-at-risk: a point process approach. Zbl 1118.91353Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J. 27 2005 Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes. Zbl 1405.91730Bouchaud, Jean-Philippe; Gefen, Yuval; Potters, Marc; Wyart, Matthieu 27 2004 Options on realized variance by transform methods: a non-affine stochastic volatility model. Zbl 1279.91156Drimus, Gabriel G. 26 2012 Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430Broadie, Mark; Cao, Menghui 26 2008 Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173Breymann, W.; Dias, A.; Embrechts, P. 26 2003 Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam 26 2007 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen 25 2012 The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien 25 2012 Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A. 25 2007 Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176Hambly, Ben; Howison, Sam; Kluge, Tino 25 2009 Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431Kahl, Christian; Jäckel, Peter 25 2006 Optimal portfolio for an insider in a market driven by Lévy processes. Zbl 1136.91426Di Nunno, Giulia; Meyer-Brandis, Thilo; Øksendal, Bernt; Proske, Frank 24 2006 Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181Moreni, N.; Pallavicini, A. 24 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 Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112Chronopoulou, Alexandra; Viens, Frederi G. 23 2012 Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217Bo, Lijun; Wang, Yongjin; Yang, Xuewei 23 2011 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. 23 2001 Extension of stochastic volatility equity models with the Hull-White interest rate process. Zbl 1241.91124Grzelak, Lech A.; Oosterlee, Cornelis W.; Van Weeren, Sacha 22 2012 Optimal positioning in derivative securities. Zbl 1405.91599Carr, P.; Madan, D. 22 2001 What good is a volatility model? Zbl 1405.91612Engle, R. F.; Patton, A. J. 22 2001 Statistical theory of the continuous double auction. Zbl 1405.91241Smith, Eric; Farmer, J. Doyne; Gillemot, László; Krishnamurthy, Supriya 22 2003 Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy. Zbl 1405.91558Højgaard, Bjarne; Taksar, Michael 22 2004 On refined volatility smile expansion in the Heston model. Zbl 1267.91068Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan 22 2011 Deep hedging. Zbl 1420.91450Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B. 21 2019 PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek 21 2005 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case. Zbl 1281.91160Elliott, Robert J.; Lian, Guang-Hua 21 2013 Dynamics of implied volatility surfaces. Zbl 1405.91603Cont, Rama; Da Fonseca, José 21 2002 An empirical analysis of multivariate copula models. Zbl 1180.91314Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian 21 2009 Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172Fengler, Matthias R. 21 2009 The multiplex structure of interbank networks. Zbl 1398.91703Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F. 20 2015 Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333Grabchak, Michael; Samorodnitsky, Gennady 20 2010 Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc 20 2006 Riding on the smiles. Zbl 1277.91176da Fonseca, José; Grasselli, Martino 19 2011 Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Zbl 1281.91150Ahlip, Rehez; Rutkowski, Marek 19 2013 Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162Feinstein, Zachary; Rudloff, Birgit 19 2013 Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417Friz, Peter; Gatheral, Jim 19 2005 Regression-based algorithms for life insurance contracts with surrender guarantees. Zbl 1210.91056Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro 19 2010 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 Sato processes and the valuation of structured products. Zbl 1171.91327Eberlein, Ernst; Madan, Dilip B. 19 2009 On VIX futures in the rough Bergomi model. Zbl 1400.91596Jacquier, Antoine; Martini, Claude; Muguruza, Aitor 18 2017 Short-time near-the-money skew in rough fractional volatility models. Zbl 1420.91445Bayer, C.; Friz, P. K.; Gulisashvili, A.; Horvath, B.; Stemper, B. 18 2019 Risk-sensitive benchmarked asset management. Zbl 1140.91383Davis, Mark; Lleo, Sébastien 18 2008 An improved convolution algorithm for discretely sampled Asian options. Zbl 1232.91653Černý, Aleš; Kyriakou, Ioannis 18 2011 Asymptotics and calibration of local volatility models. Zbl 1405.91586Berestycki, H.; Busca, J.; Florent, I. 18 2002 Semi-parametric modelling in finance: theoretical foundations. Zbl 1408.62171Bingham, N. H.; Kiesel, Rüdiger 18 2002 Portfolio diversification and value at risk under thick-tailedness. Zbl 1176.91146Ibragimov, Rustam 18 2009 Robust portfolio selection under downside risk measures. Zbl 1180.91280Zhu, Shushang; Li, Duan; Wang, Shouyang 18 2009 A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David 17 2015 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 Empirical distributions of stock returns: between the stretched exponential and the power law? Zbl 1134.91551Malevergne, Y.; Pisarenko, V.; Sornette, D. 17 2005 A simple approach for pricing equity options with Markov switching state variables. Zbl 1136.91410Aingworth, Donald D.; Das, Sanjiv R.; Motwani, Rajeev 17 2006 A two-factor model for the electricity forward market. Zbl 1169.91370Kiesel, Rüdiger; Schindlmayr, Gero; Börger, Reik H. 17 2009 Arbitrage pricing of defaultable game options with applications to convertible bonds. Zbl 1154.91426Bielecki, Tomasz R.; Crépey, Stéphane; Jeanblanc, Monique; Rutkowski, Marek 17 2008 Pricing of geometric Asian options under Heston’s stochastic volatility model. Zbl 1402.91792Kim, Bara; Wee, In-Suk 17 2014 \(G\)-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116Pun, Chi Seng 4 2021 Bayesian mean-variance analysis: optimal portfolio selection under parameter uncertainty. Zbl 1466.91277Bauder, David; Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang 2 2021 The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355Cordi, Marcus; Challet, Damien; Kassibrakis, Serge 2 2021 Volatility has to be rough. Zbl 07436772Fukasawa, Masaaki 2 2021 Algorithmic market making for options. Zbl 1479.91388Baldacci, Bastien; Bergault, Philippe; Guéant, Olivier 2 2021 Optimal multi-asset trading with linear costs: a mean-field approach. Zbl 1467.91171Emschwiller, Matt; Petit, Benjamin; Bouchaud, Jean-Philippe 1 2021 Martingale transport with homogeneous stock movements. Zbl 1466.91334Eckstein, Stephan; Kupper, Michael 1 2021 Static replication of barrier-type options via integral equations. Zbl 1466.91343Kim, Kyoung-Kuk; Lim, Dong-Young 1 2021 Robust statistical arbitrage strategies. Zbl 1466.91345Lütkebohmert, Eva; Sester, Julian 1 2021 Realized higher-order comoments. Zbl 1467.62171Bae, Kwangil; Lee, Soonhee 1 2021 A cost-effective approach to portfolio construction with range-based risk measures. Zbl 1466.91298Pun, Chi Seng; Wang, Lei 1 2021 Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. Zbl 1479.91400Horvath, Blanka; Muguruza, Aitor; Tomas, Mehdi 1 2021 Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions. Zbl 1479.91393Chen, Yangang; Wan, Justin W. L. 1 2021 Multivariate continuous-time modeling of wind indexes and hedging of wind risk. Zbl 1479.91390Benth, Fred E.; Christensen, Troels S.; Rohde, Victor 1 2021 Equal risk pricing of derivatives with deep hedging. Zbl 1476.91177Carbonneau, Alexandre; Godin, Frédéric 1 2021 Uncertainty shocks of Trump election in an interval model of stock market. Zbl 1479.91383Sun, Yuying; Qiao, Kenan; Wang, Shouyang 1 2021 Robust portfolios with commodities and stochastic interest rates. Zbl 1479.91355Chen, Junhe; Davison, Matt; Escobar-Anel, M.; Zafari, Golara 1 2021 Forward or backward simulation? A comparative study. Zbl 1454.91305Sabino, Piergiacomo 6 2020 Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino 6 2020 Quant GANs: deep generation of financial time series. Zbl 1454.91366Wiese, Magnus; Knobloch, Robert; Korn, Ralf; Kretschmer, Peter 4 2020 Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš 4 2020 Pricing American options by exercise rate optimization. Zbl 1471.91615Bayer, Christian; Tempone, Raúl; Wolfers, Sören 3 2020 Pricing exchange options with correlated jump diffusion processes. Zbl 1471.91583Petroni, Nicola Cufaro; Sabino, Piergiacomo 3 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. 2 2020 The Zumbach effect under rough Heston. Zbl 1448.91295El Euch, Omar; Gatheral, Jim; Radoičić, Radoš; Rosenbaum, Mathieu 2 2020 A closed-form formula characterization of the Epps effect. Zbl 1448.91278Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; Pollastri, Alessandro 2 2020 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 Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model. Zbl 1454.91359Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl 2 2020 Inversion of convex ordering in the VIX market. Zbl 1454.91288Guyon, Julien 2 2020 Forward-looking portfolio selection with multivariate non-Gaussian models. Zbl 1454.91212Bianchi, Michele Leonardo; Tassinari, Gian Luca 2 2020 Quasi-Monte Carlo-based conditional pathwise method for option Greeks. Zbl 1431.91437Zhang, Chaojun; Wang, Xiaoqun 2 2020 Analyzing order flows in limit order books with ratios of Cox-type intensities. Zbl 1431.91383Toke, Ioane Muni; Yoshida, Nakahiro 2 2020 Buy rough, sell smooth. Zbl 1466.91336Glasserman, Paul; He, Pu 2 2020 Calibrating rough volatility models: a convolutional neural network approach. Zbl 1466.91318Stone, Henry 2 2020 Variable annuities in a Lévy-based hybrid model with surrender risk. Zbl 1466.91248Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; Zeineddine, Raghid 2 2020 Unveiling the relation between herding and liquidity with trader lead-lag networks. Zbl 1471.91605Campajola, Carlo; Lillo, Fabrizio; Tantari, Daniele 1 2020 A revised option pricing formula with the underlying being banned from short selling. Zbl 1454.91289He, Xin-Jiang; Zhu, Song-Ping 1 2020 Slow-moving capital and stock returns. Zbl 1454.91315Isaenko, Sergey 1 2020 Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations. Zbl 1453.91102dos Reis, G.; Pfeuffer, M.; Smith, G. 1 2020 Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network. Zbl 1454.91231Mulvey, John M.; Sun, Yifan; Wang, Mengdi; Ye, Jing 1 2020 Algorithmic trading in a microstructural limit order book model. Zbl 1454.91238Abergel, Frédéric; Huré, Côme; Pham, Huyên 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 Clearing price distributions in call auctions. Zbl 1454.91285Derksen, M.; Kleijn, B.; de Vilder, R. 1 2020 Optimal market making in the presence of latency. Zbl 1454.91247Gao, Xuefeng; Wang, Yunhan 1 2020 An options-pricing approach to election prediction. Zbl 1465.91047Fry, John; Burke, Matt 1 2020 Optimal and equilibrium execution strategies with generalized price impact. Zbl 1454.91260Ohnishi, Masamitsu; Shimoshimizu, Makoto 1 2020 On the interplay between multiscaling and stock dependence. Zbl 1431.91376Buonocore, R. J.; Brandi, G.; Mantegna, R. N.; Di Matteo, T. 1 2020 A structural heath-Jarrow-Morton framework for consistent intraday spot and futures electricity prices. Zbl 1467.91187Hinderks, W. J.; Korn, R.; Wagner, A. 1 2020 Market or limit orders? Zbl 1466.91313Mitchell, Daniel; Chen, Jingnan 1 2020 Personalized goal-based investing via multi-stage stochastic goal programming. Zbl 1466.91293Kim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Lin, Changle 1 2020 On the first hitting time density for a reducible diffusion process. Zbl 1466.91344Lipton, Alexander; Kaushansky, Vadim 1 2020 Dynamic principal component CAW models for high-dimensional realized covariance matrices. Zbl 1467.62174Gribisch, Bastian; Stollenwerk, Michael 1 2020 Functional Itô calculus. Zbl 1420.91458Dupire, Bruno 33 2019 Deep hedging. Zbl 1420.91450Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B. 21 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. 18 2019 Lifting the Heston model. Zbl 1441.91093Jaber, Eduardo Abi 12 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 8 2019 Universal features of price formation in financial markets: perspectives from deep learning. Zbl 1420.91433Sirignano, Justin; Cont, Rama 8 2019 Tightening robust price bounds for exotic derivatives. Zbl 1429.91324Lütkebohmert, Eva; Sester, Julian 6 2019 Optimal investment and consumption under a continuous-time cointegration model with exponential utility. Zbl 1420.91427Ma, Guiyuan; Zhu, Song-Ping 5 2019 Estimation of risk contributions with MCMC. Zbl 1420.91528Koike, Takaaki; Minami, Mihoko 5 2019 Deep learning for limit order books. Zbl 1420.91555Sirignano, Justin A. 4 2019 Cross-impact and no-dynamic-arbitrage. Zbl 1407.91235Schneider, M.; Lillo, F. 4 2019 American option pricing under the double Heston model based on asymptotic expansion. Zbl 1420.91363Zhang, S. M.; Feng, Y. 3 2019 Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu 3 2019 Bubble detection and sector trading in real time. Zbl 1420.91551Milunovich, George; Shi, Shuping; Tan, David 3 2019 Stock performance by utility indifference pricing and the Sharpe ratio. Zbl 1420.91547Hodoshima, Jiro 3 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. 3 2019 The principle of not feeling the boundary for the SABR model. Zbl 1420.91452Chen, Nan; Yang, Nian 3 2019 Asian option pricing with orthogonal polynomials. Zbl 1420.91481Willems, Sander 3 2019 Calibration and advanced simulation schemes for the Wishart stochastic volatility model. Zbl 1420.91515La Bua, G.; Marazzina, D. 3 2019 Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang 3 2019 Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts. Zbl 1420.91428Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas 2 2019 Dynamic portfolio choice without cash. Zbl 1420.91423Lam, Chi Kin; Xu, Yuhong; Yin, Guosheng 2 2019 Implied stopping rules for American basket options from Markovian projection. Zbl 1420.91446Bayer, Christian; Häppölä, Juho; Tempone, Raúl 2 2019 Risk parity portfolio optimization under a Markov regime-switching framework. Zbl 1420.91410Costa, Giorgio; Kwon, Roy H. 2 2019 Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. Zbl 1420.91438Zhang, Rongju; Langrené, Nicolas; Tian, Yu; Zhu, Zili; Klebaner, Fima; Hamza, Kais 2 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 2 2019 Flexible distribution functions, higher-order preferences and optimal portfolio allocation. Zbl 1420.91429Ñíguez, Trino-Manuel; Paya, Ivan; Peel, David; Perote, Javier 2 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 2 2019 The impact of a partial borrowing limit on financial decisions. Zbl 1420.91138Lim, Byung Hwa; Kwak, Minsuk 2 2019 Simulation-based value-at-risk for nonlinear portfolios. Zbl 1422.91780Chen, Junyao; Sit, Tony; Wong, Hoi Ying 2 2019 Willow tree algorithms for pricing guaranteed minimum withdrawal benefits under jump-diffusion and CEV models. Zbl 1422.91339Dong, Bing; Xu, Wei; Kwok, Yue Kuen 2 2019 Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model. Zbl 1435.62420Borup, Daniel; Jakobsen, Johan S. 2 2019 Forecasting trade durations via ACD models with mixture distributions. Zbl 1441.62270Yatigammana, R. P.; Chan, J. S. K.; Gerlach, R. H. 1 2019 Asset management with endogenous withdrawals under a drawdown constraint. Zbl 1420.91432Roche, Hervé 1 2019 A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462Hainaut, Donatien; Deelstra, Griselda 1 2019 On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105Han, Zheng; Hu, Yaozhong; Lee, Chihoon 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 A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. Zbl 1428.62466Verma, A.; Buonocore, R. J.; Di Matteo, T. 1 2019 Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations. Zbl 1420.91507Fries, Christian P. 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 Stock market uncertainty and economic fundamentals: an entropy-based approach. Zbl 1420.91536Ahn, K.; Lee, D.; Sohn, S.; Yang, B. 1 2019 The endo-exo problem in high frequency financial price fluctuations and rejecting criticality. Zbl 1420.91558Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier 1 2019 The influence of intraday seasonality on volatility transmission pattern. Zbl 1420.91537Alemany, N.; Aragó, V.; Salvador, E. 1 2019 ...and 1008 more Documents all cited Publications top 5 cited Publications all top 5 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 all top 5 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 all top 5 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) Citations by Year