Are Chinese warrants derivatives? Evidence from connections to their underlying stocks

JOURNAL ARTICLE published August 2013 in Quantitative Finance

Authors: Ke Tang | Changyun Wang

Calendar

JOURNAL ARTICLE published 3 June 2017 in Quantitative Finance

Special Issue ofQuantitative Financeon ‘Commodities’

JOURNAL ARTICLE published December 2012 in Quantitative Finance

Authors: M. A. H. Dempster | Ke Tang

Canonical sectors and evolution of firms in the US stock markets

JOURNAL ARTICLE published 3 October 2018 in Quantitative Finance

Research funded by NSF (DGE-1144153,IIS-1247696,DMR-1719490,DMR-1312160)

Authors: Lorien X. Hayden | Ricky Chachra | Alexander A. Alemi | Paul H. Ginsparg | James P. Sethna

Momentum and reversion in risk neutral martingale probabilities

JOURNAL ARTICLE published 4 May 2014 in Quantitative Finance

Authors: Dilip B. Madan

A perturbative approach to Bermudan options pricing with applications

JOURNAL ARTICLE published February 2013 in Quantitative Finance

Authors: Roberto Baviera | Lorenzo Giada

Erratum

JOURNAL ARTICLE published December 2016 in Quantitative Finance

Finance and the Good Society, by Robert J. Shiller

JOURNAL ARTICLE published November 2012 in Quantitative Finance

Authors: Con Keating

An open mind: memories of Ken Arrow

JOURNAL ARTICLE published 2 January 2019 in Quantitative Finance

Authors: J. Doyne Farmer

On an efficient multiple time step Monte Carlo simulation of the SABR model

JOURNAL ARTICLE published 3 October 2017 in Quantitative Finance

Research funded by Seventh Framework Programme (304617)

Authors: Álvaro Leitao | Lech A. Grzelak | Cornelis W. Oosterlee

Comparison of methods to estimate option implied risk-neutral densities

JOURNAL ARTICLE published October 2014 in Quantitative Finance

Authors: Wan-Ni Lai

A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures

JOURNAL ARTICLE published 2 September 2019 in Quantitative Finance

Authors: Germán G. Creamer | Chihoon Lee

Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)

JOURNAL ARTICLE published 3 July 2022 in Quantitative Finance

Authors: Dilip B. Madan | King Wang

Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints

JOURNAL ARTICLE published May 2001 in Quantitative Finance

Authors: N.J. Jobst | M.D. Horniman | C.A. Lucas | G. Mitra

Sell in May and go away: the evidence in the international equity index futures markets

JOURNAL ARTICLE published February 2018 in Quantitative Finance

Authors: Constantine Dzhabarov | Alexandre Ziegler | William T. Ziemba

Optimal portfolios with downside risk

JOURNAL ARTICLE published 4 March 2017 in Quantitative Finance

Authors: Fima Klebaner | Zinoviy Landsman | Udi Makov | Jing Yao

The endo–exo problem in high frequency financial price fluctuations and rejecting criticality

JOURNAL ARTICLE published 3 July 2019 in Quantitative Finance

Authors: Spencer Wheatley | Alexander Wehrli | Didier Sornette

Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data

JOURNAL ARTICLE published 3 August 2015 in Quantitative Finance

Authors: V. Filimonov | D. Sornette

Classification of flash crashes using the Hawkes(p,q)framework

JOURNAL ARTICLE published 1 February 2022 in Quantitative Finance

Authors: Alexander Wehrli | Didier Sornette

m-Double Poisson Lévy markets

JOURNAL ARTICLE published 2 October 2020 in Quantitative Finance

Authors: W. Buckley | H. Long | S. Perera