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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.
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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

Publications by Year

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 1408.62174
Cont, R.
126
2001
An exact and explicit solution for the valuation of American put options. Zbl 1136.91468
Zhu, Song-Ping
94
2006
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
86
2018
Optimal execution strategies in limit order books with general shape functions. Zbl 1185.91199
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander
75
2010
Robustness and sensitivity analysis of risk measurement procedures. Zbl 1192.91191
Cont, Rama; Deguest, Romain; Scandolo, Giacomo
73
2010
A comparison of biased simulation schemes for stochastic volatility models. Zbl 1198.91240
Lord, Roger; Koekkoek, Remmert; van Dijk, Dick
64
2010
Modelling microstructure noise with mutually exciting point processes. Zbl 1280.91073
Bacry, E.; Delattre, S.; Hoffmann, M.; Muzy, J. F.
60
2013
High-frequency trading in a limit order book. Zbl 1152.91024
Avellaneda, Marco; Stoikov, Sasha
57
2008
A multifactor volatility Heston model. Zbl 1152.91500
Da Fonseca, José; Grasselli, Martino; Tebaldi, Claudio
54
2008
Optimal portfolios and Heston’s stochastic volatility model: an explicit solution for power utility. Zbl 1134.91438
Kraft, Holger
52
2005
Ambiguity in portfolio selection. Zbl 1190.91138
Pflug, Georg; Wozabal, David
50
2007
No-dynamic-arbitrage and market impact. Zbl 1194.91208
Gatheral, Jim
48
2010
A multivariate jump-driven financial asset model. Zbl 1134.91446
Luciano, Elisa; Schoutens, Wim
46
2006
Information and option pricings. Zbl 1405.91619
Guo, X.
43
2001
Statistical arbitrage in the US equities market. Zbl 1194.91196
Avellaneda, Marco; Lee, Jeong-Hyun
42
2010
Pairs trading. Zbl 1134.91415
Elliott, Robert J.; van der Hoek, John; Malcolm, William P.
41
2005
Static-arbitrage upper bounds for the prices of basket options. Zbl 1134.91425
Hobson, David; Laurence, Peter; Wang, Tai-Ho
41
2005
On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. Zbl 1294.91168
Vigna, Elena
40
2014
Hierarchies of Archimedean copulas. Zbl 1270.91086
Savu, Cornelia; Trede, Mark
40
2010
Wavelet Galerkin pricing of American options on Lévy driven assets. Zbl 1134.91450
Matache, Ana-Maria; Nitsche, Pál-Andrej; Schwab, Christoph
40
2005
Optimal high-frequency trading with limit and market orders. Zbl 1280.91148
Guilbaud, Fabien; Pham, Huyên
38
2013
Valuation of energy storage: an optimal switching approach. Zbl 1203.91286
Carmona, René; Ludkovski, Michael
36
2010
Longevity hedge effectiveness: a decomposition. Zbl 1294.91072
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D.
35
2014
On elicitable risk measures. Zbl 1395.91506
Bellini, Fabio; Bignozzi, Valeria
35
2015
Higher moment coherent risk measures. Zbl 1190.91074
Krokhmal, Pavlo A.
34
2007
Thou shalt buy and hold. Zbl 1154.91478
Shiryaev, Albert; Xu, Zuoquan; Zhou, Xun Yu
34
2008
Esscher transforms and the minimal entropy martingale measure for exponential Lévy models. Zbl 1099.60033
Hubalek, Friedrich; Sgarra, Carlo
32
2006
Portfolio selection with higher moments. Zbl 1195.91181
Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.; Müller, Peter
31
2010
CDO pricing with nested Archimedean copulas. Zbl 1213.91074
Hofert, Marius; Scherer, Matthias
30
2011
A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes. Zbl 1192.91177
Jeannin, Marc; Pistorius, Martijn
30
2010
Hawkes model for price and trades high-frequency dynamics. Zbl 1402.91750
Bacry, Emmanuel; Muzy, Jean-François
29
2014
The volatility of temperature and pricing of weather derivatives. Zbl 1151.91481
Benth, Fred Espen; Benth, Jūratė Šaltytė
29
2007
Robust risk measurement and model risk. Zbl 1294.91076
Glasserman, Paul; Xu, Xingbo
28
2014
Portfolio choice under dynamic investment performance criteria. Zbl 1158.91387
Musiela, M.; Zariphopoulou, T.
28
2009
Order book approach to price impact. Zbl 1134.91379
Weber, P.; Rosenow, B.
28
2005
Arbitrage-free SVI volatility surfaces. Zbl 1308.91187
Gatheral, Jim; Jacquier, Antoine
27
2014
A stochastic volatility model and optimal portfolio selection. Zbl 1286.91130
Zeng, Xudong; Taksar, Michael
26
2013
Limit order books. Zbl 1284.91584
Gould, 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 1279.91156
Drimus, Gabriel G.
26
2012
A stochastic differential game for optimal investment of an insurer with regime switching. Zbl 1232.91346
Elliott, Robert J.; Siu, Tak Kuen
26
2011
A multi-quality model of interest rates. Zbl 1158.91353
Kijima, Masaaki; Tanaka, Keiichi; Wong, Tony
26
2009
Network topology of the interbank market. Zbl 1405.91729
Boss, Michael; Elsinger, Helmut; Summer, Martin; Thurner, Stefan
25
2004
Filling in the blanks: network structure and interbank contagion. Zbl 1398.91701
Anand, Kartik; Craig, Ben; von Peter, Goetz
25
2015
Multi-scaling in finance. Zbl 1278.91118
di Matteo, T.
25
2007
Mean-risk models using two risk measures: a multi-objective approach. Zbl 1190.91139
Roman, Diana; Darby-Dowman, Kenneth; Mitra, Gautam
25
2007
A jump telegraph model for option pricing. Zbl 1151.91535
Ratanov, Nikita
25
2007
Estimating value-at-risk: a point process approach. Zbl 1118.91353
Chavez-Demoulin, V.; Davison, A. C.; McNeil, A. J.
24
2005
Short-time at-the-money skew and rough fractional volatility. Zbl 1402.91777
Fukasawa, Masaaki
24
2017
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
24
2004
Fast strong approximation Monte Carlo schemes for stochastic volatility models. Zbl 1134.91431
Kahl, Christian; Jäckel, Peter
24
2006
Pricing guaranteed minimum withdrawal benefits under stochastic interest rates. Zbl 1279.91165
Peng, Jingjiang; Leung, Kwai Sun; Kwok, Yue Kuen
23
2012
Parsimonious HJM modelling for multiple yield curve dynamics. Zbl 1294.91181
Moreni, N.; Pallavicini, A.
23
2014
On the conditional default probability in a regulated market: a structural approach. Zbl 1277.91181
Bo, Lijun; Tang, Dan; Wang, Yongjin; Yang, Xuewei
23
2011
Some integral functionals of reflected SDEs and their applications in finance. Zbl 1217.91217
Bo, Lijun; Wang, Yongjin; Yang, Xuewei
23
2011
Modelling spikes and pricing swing options in electricity markets. Zbl 1182.91176
Hambly, Ben; Howison, Sam; Kluge, Tino
23
2009
On refined volatility smile expansion in the Heston model. Zbl 1267.91068
Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan
22
2011
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
22
2006
The price impact of order book events: market orders, limit orders and cancellations. Zbl 1279.91072
Eisler, Zoltán; Bouchaud, Jean-Philippe; Kockelkoren, Julien
21
2012
Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. Zbl 1405.91559
Jobst, N. J.; Horniman, M. D.; Lucas, C. A.; Mitra, G.
21
2001
Dependence structures for multivariate high-frequency data in finance. Zbl 1408.62173
Breymann, W.; Dias, A.; Embrechts, P.
21
2003
Statistical theory of the continuous double auction. Zbl 1405.91241
Smith, 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 1405.91558
Højgaard, Bjarne; Taksar, Michael
21
2004
Stability analysis of portfolio management with conditional value-at-risk. Zbl 1190.91137
Kaut, Michal; Vladimirou, Hercules; Wallace, Stein W.; Zenios, Stavros A.
21
2007
Arbitrage-free smoothing of the implied volatility surface. Zbl 1182.91172
Fengler, Matthias R.
21
2009
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
21
2012
Improved lower and upper bound algorithms for pricing American options by simulation. Zbl 1154.91430
Broadie, Mark; Cao, Menghui
21
2008
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
21
2019
Random walks, liquidity molasses and critical response in financial markets. Zbl 1136.91415
Bouchaud, Jean-Philippe; Kockelkoren, Julien; Potters, Marc
20
2006
Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction. Zbl 1405.91251
Choulli, T.; Taksar, M.; Zhou, X. Y.
19
2001
An empirical analysis of multivariate copula models. Zbl 1180.91314
Fischer, Matthias; Köck, Christian; Schlüter, Stephan; Weigert, Florian
19
2009
Do financial returns have finite or infinite variance? A paradox and an explanation. Zbl 1202.91333
Grabchak, Michael; Samorodnitsky, Gennady
19
2010
PDE approach to valuation and hedging of credit derivatives. Zbl 1134.91398
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek
19
2005
Valuation of volatility derivatives as an inverse problem. Zbl 1134.91417
Friz, Peter; Gatheral, Jim
19
2005
Stochastic volatility and option pricing with long-memory in discrete and continuous time. Zbl 1278.91112
Chronopoulou, Alexandra; Viens, Frederi G.
18
2012
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
18
2013
Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates. Zbl 1281.91150
Ahlip, Rehez; Rutkowski, Marek
18
2013
Riding on the smiles. Zbl 1277.91176
da Fonseca, José; Grasselli, Martino
18
2011
Regression-based algorithms for life insurance contracts with surrender guarantees. Zbl 1210.91056
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro
18
2010
What good is a volatility model? Zbl 1405.91612
Engle, R. F.; Patton, A. J.
18
2001
The multiplex structure of interbank networks. Zbl 1398.91703
Bargigli, L.; Di Iasio, G.; Infante, L.; Lillo, F.; Pierobon, F.
18
2015
Sato processes and the valuation of structured products. Zbl 1171.91327
Eberlein, Ernst; Madan, Dilip B.
18
2009
Robust portfolio selection under downside risk measures. Zbl 1180.91280
Zhu, Shushang; Li, Duan; Wang, Shouyang
18
2009
An improved convolution algorithm for discretely sampled Asian options. Zbl 1232.91653
Černý, Aleš; Kyriakou, Ioannis
17
2011
Asymptotics and calibration of local volatility models. Zbl 1405.91586
Berestycki, H.; Busca, J.; Florent, I.
17
2002
A simple approach for pricing equity options with Markov switching state variables. Zbl 1136.91410
Aingworth, Donald D.; Das, Sanjiv R.; Motwani, Rajeev
17
2006
Portfolio diversification and value at risk under thick-tailedness. Zbl 1176.91146
Ibragimov, Rustam
17
2009
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options. Zbl 1229.91300
Carr, Peter; Crosby, John
17
2010
Risk-sensitive benchmarked asset management. Zbl 1140.91383
Davis, Mark; Lleo, Sébastien
17
2008
Leverage causes fat tails and clustered volatility. Zbl 1278.91154
Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John
16
2012
Time consistency of dynamic risk measures in markets with transaction costs. Zbl 1281.91162
Feinstein, Zachary; Rudloff, Birgit
16
2013
Portfolio optimization under model uncertainty and BSDE games. Zbl 1277.91159
Øksendal, Bernt; Sulem, Agnès
16
2011
Optimal positioning in derivative securities. Zbl 1405.91599
Carr, P.; Madan, D.
16
2001
Dynamics of implied volatility surfaces. Zbl 1405.91603
Cont, Rama; Da Fonseca, José
16
2002
Rank reduction of correlation matrices by majorization. Zbl 1405.91647
Pietersz, Raoul; Groenen, Patrick J. F.
16
2004
A Lévy HJM multiple-curve model with application to CVA computation. Zbl 1398.91573
Crépey, Stéphane; Grbac, Zorana; Ngor, Nathalie; Skovmand, David
16
2015
Risk minimization in stochastic volatility models: model risk and empirical performance. Zbl 1188.91220
Poulsen, Rolf; Schenk-Hoppé, Klaus Reiner; Ewald, Christian-Oliver
16
2009
An enhanced model for portfolio choice with SSD criteria: a constructive approach. Zbl 1258.91195
Fábián, Csaba I.; Mitra, Gautam; Roman, Diana; Zverovich, Victor
16
2011
Pricing of geometric Asian options under Heston’s stochastic volatility model. Zbl 1402.91792
Kim, Bara; Wee, In-Suk
16
2014
Moment swaps. Zbl 1134.91461
Schoutens, Wim
16
2005
On VIX futures in the rough Bergomi model. Zbl 1400.91596
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor
15
2017
\(G\)-expected utility maximization with ambiguous equicorrelation. Zbl 1466.91116
Pun, Chi Seng
2
2021
The market nanostructure origin of asset price time reversal asymmetry. Zbl 1466.91355
Cordi, Marcus; Challet, Damien; Kassibrakis, Serge
1
2021
Robust statistical arbitrage strategies. Zbl 1466.91345
Lütkebohmert, Eva; Sester, Julian
1
2021
Pricing methods for \(\alpha \)-quantile and perpetual early exercise options based on Spitzer identities. Zbl 1454.91304
Phelan, C. E.; Marazzina, D.; Germano, G.
2
2020
Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Zbl 1466.91339
Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino
2
2020
Exponentiation of conditional expectations under stochastic volatility. Zbl 1431.91387
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš
1
2020
Quasi-Monte Carlo-based conditional pathwise method for option Greeks. Zbl 1431.91437
Zhang, Chaojun; Wang, Xiaoqun
1
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.
1
2020
The Zumbach effect under rough Heston. Zbl 1448.91295
El Euch, Omar; Gatheral, Jim; Radoičić, Radoš; Rosenbaum, Mathieu
1
2020
A closed-form formula characterization of the Epps effect. Zbl 1448.91278
Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; Pollastri, Alessandro
1
2020
Slow-moving capital and stock returns. Zbl 1454.91315
Isaenko, Sergey
1
2020
Forward or backward simulation? A comparative study. Zbl 1454.91305
Sabino, Piergiacomo
1
2020
An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes. Zbl 1454.91278
Chan, Tat Lung (Ron)
1
2020
A neural network approach to understanding implied volatility movements. Zbl 1454.91275
Cao, Jay; Chen, Jacky; Hull, John
1
2020
Quant GANs: deep generation of financial time series. Zbl 1454.91366
Wiese, Magnus; Knobloch, Robert; Korn, Ralf; Kretschmer, Peter
1
2020
An options-pricing approach to election prediction. Zbl 1465.91047
Fry, John; Burke, Matt
1
2020
Buy rough, sell smooth. Zbl 1466.91336
Glasserman, Paul; He, Pu
1
2020
Calibrating rough volatility models: a convolutional neural network approach. Zbl 1466.91318
Stone, Henry
1
2020
Functional Itô calculus. Zbl 1420.91458
Dupire, Bruno
21
2019
Deep hedging. Zbl 1420.91450
Buehler, H.; Gonon, L.; Teichmann, J.; Wood, B.
13
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.
10
2019
Lifting the Heston model. Zbl 1441.91093
Jaber, 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 1420.91130
Gudkov, Nikolay; Ignatieva, Katja; Ziveyi, Jonathan
5
2019
Tightening robust price bounds for exotic derivatives. Zbl 1429.91324
Lütkebohmert, Eva; Sester, Julian
5
2019
Cross-impact and no-dynamic-arbitrage. Zbl 1407.91235
Schneider, M.; Lillo, F.
4
2019
Universal features of price formation in financial markets: perspectives from deep learning. Zbl 1420.91433
Sirignano, Justin; Cont, Rama
4
2019
Stock performance by utility indifference pricing and the Sharpe ratio. Zbl 1420.91547
Hodoshima, Jiro
3
2019
Optimal investment and consumption under a continuous-time cointegration model with exponential utility. Zbl 1420.91427
Ma, Guiyuan; Zhu, Song-Ping
3
2019
Variance swaps valuation under non-affine GARCH models and their diffusion limits. Zbl 1420.91443
Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu
2
2019
Collective mental accounting: an integrated behavioural portfolio selection model for multiple mental accounts. Zbl 1420.91428
Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas
2
2019
The impact of a partial borrowing limit on financial decisions. Zbl 1420.91138
Lim, Byung Hwa; Kwak, Minsuk
2
2019
Estimation of risk contributions with MCMC. Zbl 1420.91528
Koike, Takaaki; Minami, Mihoko
2
2019
Simulation-based value-at-risk for nonlinear portfolios. Zbl 1422.91780
Chen, Junyao; Sit, Tony; Wong, Hoi Ying
2
2019
Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model. Zbl 1435.62420
Borup, Daniel; Jakobsen, Johan S.
2
2019
Internalisation by electronic FX spot dealers. Zbl 1407.91292
Butz, M.; Oomen, R.
1
2019
An extended likelihood framework for modelling discretely observed credit rating transitions. Zbl 1407.91265
Pfeuffer, M.; Möstel, L.; Fischer, M.
1
2019
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity. Zbl 1407.91225
Kang, Zhilin; Li, Xun; Li, Zhongfei; Zhu, Shushang
1
2019
American option pricing under the double Heston model based on asymptotic expansion. Zbl 1420.91363
Zhang, S. M.; Feng, Y.
1
2019
Bubble detection and sector trading in real time. Zbl 1420.91551
Milunovich, George; Shi, Shuping; Tan, David
1
2019
Dynamic portfolio choice without cash. Zbl 1420.91423
Lam, Chi Kin; Xu, Yuhong; Yin, Guosheng
1
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.
1
2019
Implied stopping rules for American basket options from Markovian projection. Zbl 1420.91446
Bayer, Christian; Häppölä, Juho; Tempone, Raúl
1
2019
A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462
Hainaut, Donatien; Deelstra, Griselda
1
2019
The principle of not feeling the boundary for the SABR model. Zbl 1420.91452
Chen, Nan; Yang, Nian
1
2019
Risk parity portfolio optimization under a Markov regime-switching framework. Zbl 1420.91410
Costa, Giorgio; Kwon, Roy H.
1
2019
On pricing barrier control in a regime-switching regulated market. Zbl 1420.91105
Han, Zheng; Hu, Yaozhong; Lee, Chihoon
1
2019
Deep learning for limit order books. Zbl 1420.91555
Sirignano, Justin A.
1
2019
Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S&P 500. Zbl 1420.91548
Knoll, Julian; Stübinger, Johannes; Grottke, Michael
1
2019
Asian option pricing with orthogonal polynomials. Zbl 1420.91481
Willems, Sander
1
2019
A recursive method for static replication of autocallable structured products. Zbl 1420.91470
Kim, Kyoung-Kuk; Lim, Dong-Young
1
2019
Gold price dynamics and the role of uncertainty. Zbl 1420.91102
Beckmann, Joscha; Berger, Theo; Czudaj, Robert
1
2019
A simple mechanism for financial bubbles: time-varying momentum horizon. Zbl 1420.91549
Lin, L.; Schatz, M.; Sornette, D.
1
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
1
2019
Leveraging a call-put ratio as a trading signal. Zbl 1420.91417
Houlihan, Patrick; Creamer, Germán G.
1
2019
A financially justifiable and practically implementable approach to coherent stress testing. Zbl 1420.91554
Rebonato, Riccardo
1
2019
Enhancing the momentum strategy through deep regression. Zbl 1420.91420
Kim, Saejoon
1
2019
The influence of intraday seasonality on volatility transmission pattern. Zbl 1420.91537
Alemany, N.; Aragó, V.; Salvador, E.
1
2019
On the seasonality in the implied volatility of electricity options. Zbl 1420.91459
Fanelli, Viviana; Schmeck, Maren Diane
1
2019
Target volatility option pricing in the lognormal fractional SABR model. Zbl 1420.91441
Alòs, Elisa; Chatterjee, Rupak; Tudor, Sebastian F.; Wang, Tai-Ho
1
2019
Forecasting limit order book liquidity supply-demand curves with functional autoregressive dynamics. Zbl 1420.91409
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang Karl
1
2019
Exploring the attention mechanism in LSTM-based Hong Kong stock price movement prediction. Zbl 1420.91543
Chen, Shun; Ge, Lei
1
2019
Can machine learning approaches predict corporate bankruptcy? Evidence from a qualitative experimental design. Zbl 1420.91492
Lahmiri, Salim; Bekiros, Stelios
1
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
1
2019
Volatility is rough. Zbl 1400.91590
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu
86
2018
Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. Zbl 1400.91648
Alonso-García, Jennifer; Wood, Oliver; Ziveyi, Jonathan
7
2018
Smoothing the payoff for efficient computation of basket option prices. Zbl 1400.91649
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul
6
2018
Turbocharging Monte Carlo pricing for the rough Bergomi model. Zbl 1406.91486
McCrickerd, Ryan; Pakkanen, Mikko S.
6
2018
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns. Zbl 1406.62151
Varneskov, Rasmus T.; Perron, Pierre
5
2018
Analytic value function for optimal regime-switching pairs trading rules. Zbl 1400.91527
Bai, Yang; Wu, Lan
5
2018
Instantaneous portfolio theory. Zbl 1400.91557
Madan, Dilip B.
5
2018
Collective synchronization and high frequency systemic instabilities in financial markets. Zbl 1400.91695
Calcagnile, Lucio Maria; Bormetti, Giacomo; Treccani, Michele; Marmi, Stefano; Lillo, Fabrizio
4
2018
A multiple-curve Lévy forward rate model in a two-price economy. Zbl 1400.91586
Eberlein, Ernst; Gerhart, Christoph
4
2018
Recursive marginal quantization of higher-order schemes. Zbl 1400.91604
McWalter, T. A.; Rudd, R.; Kienitz, J.; Platen, E.
4
2018
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting. Zbl 1406.91439
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim
4
2018
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics. Zbl 1406.91463
Gulisashvili, Archil; Horvath, Blanka; Jacquier, Antoine
4
2018
Performance of information criteria for selection of Hawkes process models of financial data. Zbl 1405.62137
Chen, J.; Hawkes, A. G.; Scalas, E.; Trinh, M.
3
2018
High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration. Zbl 1400.91556
Lu, Xiaofei; Abergel, Frédéric
3
2018
Transform analysis for Hawkes processes with applications in dark pool trading. Zbl 1400.91542
Gao, Xuefeng; Zhou, Xiang; Zhu, Lingjiong
3
2018
COS method for option pricing under a regime-switching model with time-changed Lévy processes. Zbl 1400.91614
Tour, G.; Thakoor, N.; Khaliq, A. Q. M.; Tangman, D. Y.
3
2018
Linear models for the impact of order flow on prices. I: History dependent impact models. Zbl 1400.91564
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, Jean-Philippe; Lillo, Fabrizio; Tóth, Bence
3
2018
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options. Zbl 1400.91589
Fouque, J.-P.; Saporito, Y. F.
3
2018
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity. Zbl 1400.91529
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.
3
2018
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. Zbl 1406.91425
Stübinger, Johannes; Endres, Sylvia
3
2018
Implicit expectiles and measures of implied volatility. Zbl 1406.91433
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit
3
2018
Marginal consistent dependence modelling using weak subordination for Brownian motions. Zbl 1407.62390
Michaelsen, Markus; Szimayer, Alexander
3
2018
A supermartingale relation for multivariate risk measures. Zbl 1406.91410
Feinstein, Zachary; Rudloff, Birgit
3
2018
Relative robust portfolio optimization with benchmark regret. Zbl 1406.91424
Simões, Gonçalo; McDonald, Mark; Williams, Stacy; Fenn, Daniel; Hauser, Raphael
3
2018
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix. Zbl 1405.62135
Achab, M.; Bacry, E.; Muzy, J. F.; Rambaldi, M.
2
2018
A new integral equation formulation for American put options. Zbl 1400.91627
Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping
2
2018
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula. Zbl 1400.91628
de Marco, Stefano; Martini, Claude
2
2018
Forecasting and trading high frequency volatility on large indices. Zbl 1400.91555
Liu, Fei; Pantelous, Athanasios A.; von Mettenheim, Hans-Jörg
2
2018
The shifting dependence dynamics between the G7 stock markets. Zbl 1400.91528
Bensaïda, Ahmed; Boubaker, Sabri; Nguyen, Duc Khuong
2
2018
Estimating a regime switching pairs trading model. Zbl 1400.91539
Elliott, Robert J.; Bradrania, Reza
2
2018
Robust and consistent estimation of generators in credit risk. Zbl 1400.91635
Dos Reis, G.; Smith, G.
2
2018
Singular Fourier-Padé series expansion of European option prices. Zbl 1400.91583
Chan, Tat Lung (Ron)
2
2018
Modelling fundamental analysis in portfolio selection. Zbl 1400.91573
Zhang, Huazhu; Yan, Cheng
2
2018
Efficient exposure computation by risk factor decomposition. Zbl 1406.91489
de Graaf, C. S. L.; Kandhai, D.; Reisinger, C.
2
2018
A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models. Zbl 1406.91499
Hambuckers, J.; Kneib, T.; Langrock, R.; Silbersdorff, A.
2
2018
Market impact with multi-timescale liquidity. Zbl 1406.91400
Benzaquen, M.; Bouchaud, J.-P.
2
2018
Statistical arbitrage with vine copulas. Zbl 1407.62178
Stübinger, Johannes; Mangold, Benedikt; Krauss, Christopher
2
2018
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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. Eugene
11 Bayer, Christian
11 Kwok, Yue-Kuen
11 Levendorskiĭ, Sergeĭ Zakharovich
11 Liao, Shijun
11 Lorig, Matthew J.
11 Pistorius, Martijn R.
11 Shen, Yang
11 Vanduffel, Steven
11 Zariphopoulou, Thaleia
11 Zhu, Lingjiong
10 Grabchak, Michael
10 Gulisashvili, Archil
10 Jin, Zhuo
10 Muzy, Jean-François
10 Paterlini, Sandra
10 Platen, Eckhard
10 Rudloff, Birgit
10 Scherer, Matthias
10 Yuen, Kam Chuen
10 Zeng, Yan
9 Abergel, Frédéric
9 Biagini, Francesca
9 Chiarella, Carl
9 Cont, Rama
9 Embrechts, Paul
9 Filipović, Damir
9 Härdle, Wolfgang Karl
9 Hu, Yijun
9 Joshi, Mark S.
9 Kijima, Masaaki
9 Klüppelberg, Claudia
9 Li, Duan
9 Liang, Zongxia
9 Meyer-Brandis, Thilo
9 Nadarajah, Saralees
9 Pallavicini, Andrea
9 Pelsser, Antoon A. J.
9 Pichler, Alois
9 Reisinger, Christoph
9 Sajid, Muhammad
9 Sircar, Ronnie
9 Tankov, Peter
9 Teichmann, Josef
9 Todorov, Viktor
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Cited in 378 Journals

583 Quantitative Finance
224 Insurance Mathematics & Economics
214 International Journal of Theoretical and Applied Finance
194 European Journal of Operational Research
116 SIAM Journal on Financial Mathematics
115 Journal of Economic Dynamics & Control
107 Finance and Stochastics
99 Applied Mathematical Finance
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76 Physica A
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52 Journal of Econometrics
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43 Journal of Applied Probability
42 The Annals of Applied Probability
41 Asia-Pacific Financial Markets
40 Chaos, Solitons and Fractals
40 Applied Mathematics and Computation
40 Decisions in Economics and Finance
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36 Annals of Finance
33 Mathematics of Operations Research
31 Journal of Industrial and Management Optimization
30 Computers & Mathematics with Applications
30 Methodology and Computing in Applied Probability
29 Discrete Dynamics in Nature and Society
28 Journal of Multivariate Analysis
28 Operations Research Letters
28 Computational Statistics and Data Analysis
28 North American Actuarial Journal
27 Journal of Statistical Computation and Simulation
27 Mathematical Problems in Engineering
26 Scandinavian Actuarial Journal
25 ASTIN Bulletin
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10 Chaos
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9 Applied Numerical Mathematics
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9 Statistics & Risk Modeling
8 Theory of Probability and its Applications
8 Computers & Operations Research
8 Journal of Scientific Computing
8 Journal of Global Optimization
8 Nonlinear Analysis. Real World Applications
8 Discrete and Continuous Dynamical Systems. Series B
8 Stochastic Models
8 OR Spectrum
8 Mathematical Control and Related Fields
7 SIAM Journal on Numerical Analysis
7 Acta Mathematicae Applicatae Sinica. English Series
7 Statistics
7 SIAM Journal on Optimization
7 SIAM Journal on Scientific Computing
7 Theory of Probability and Mathematical Statistics
7 Nonlinear Dynamics
7 Statistical Inference for Stochastic Processes
7 CEJOR. Central European Journal of Operations Research
7 Econometric Theory
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Cited in 53 Fields

3,523 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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