Variance swaps valuation under non-affine GARCH models and their diffusion limits

JOURNAL ARTICLE published February 2019 in Quantitative Finance

Research funded by Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-04746)

Authors: Alexandru Badescu | Yuyu Chen | Matthew Couch | Zhenyu Cui

Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps

JOURNAL ARTICLE published July 2013 in Quantitative Finance

Authors: SVEN BALDER | ANTJE MAHAYNI | JOHN SCHOENMAKERS

Calendar

JOURNAL ARTICLE published 3 October 2017 in Quantitative Finance

Capital market equilibrium with heterogeneous investors

JOURNAL ARTICLE published September 2009 in Quantitative Finance

Authors: Haim Shalit | Shlomo Yitzhaki

Optimal static quadratic hedging

JOURNAL ARTICLE published September 2016 in Quantitative Finance

Authors: Tim Leung | Matthew Lorig

Optimal asset allocation for outperforming a stochastic benchmark target

JOURNAL ARTICLE published 2 September 2022 in Quantitative Finance

Research funded by Natural Sciences and Research Council of Canada NSERC (CRDPJ 530985 - 18)

Authors: Chendi Ni | Yuying Li | Peter Forsyth | Ray Carroll

A multi-factor jump-diffusion model for commodities†

JOURNAL ARTICLE published March 2008 in Quantitative Finance

Authors: John Crosby

A set-valued Markov chain approach to credit default

JOURNAL ARTICLE published 2 April 2020 in Quantitative Finance

Authors: Dianfa Chen | Jun Deng | Jianfen Feng | Bin Zou

Pricing options on discrete realized variance with partially exact and bounded approximations

JOURNAL ARTICLE published 2 December 2015 in Quantitative Finance

Authors: Wendong Zheng | Yue Kuen Kwok

Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation

JOURNAL ARTICLE published February 2016 in Quantitative Finance

Research funded by Austrian National Bank (13377)

Authors: Georg Ch. Pflug | Philipp Thoma

Rebuilding the limit order book: sequential Bayesian inference on hidden states

JOURNAL ARTICLE published November 2013 in Quantitative Finance

Authors: Hugh L. Christensen | Richard E. Turner | Simon I. Hill | Simon J. Godsill

Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group

JOURNAL ARTICLE published May 2012 in Quantitative Finance

Authors: Emmanuel Bacry | Marc Hoffmann | Mathieu Rosenbaum

A clear reflection

JOURNAL ARTICLE published April 2005 in Quantitative Finance

Gods and Robots: Myths, Machines, and Ancient Dreams of Technology

JOURNAL ARTICLE published 3 April 2019 in Quantitative Finance

Research funded by National Research Foundation of Korea (2016R1A2B3014030,NRF-2016R1D1A1B03930772) | the Korean Government (2017R1A5A1015626) | FP7 Ideas: European Research Council (307465-POLYTE) | Bijzonder Onderzoeksfonds (41/FA070300/3/FFB150337)

Authors: Sébastien Lleo

Applications sought for book review editor from 2018

JOURNAL ARTICLE published 2 December 2017 in Quantitative Finance

Semi-static hedging for certain Margrabe-type options with barriers

JOURNAL ARTICLE published July 2011 in Quantitative Finance

Authors: Michael Schmutz

A quarterly time-series classifier based on a reduced-dimension generated rules method for identifying financial distress

JOURNAL ARTICLE published 2 December 2015 in Quantitative Finance

Authors: Ching-Hsue Cheng | Ssu-Hsiang Wang

Pricing defaultable bonds: a middle-way approach between structural and reduced-form models

JOURNAL ARTICLE published June 2006 in Quantitative Finance

Authors: Lara Cathcart | Lina El-Jahel

Real options with a double continuation region

JOURNAL ARTICLE published March 2012 in Quantitative Finance

Authors: Anna Battauz | Marzia De Donno | Alessandro Sbuelz

Trading profitability from learning and adaptation on the Tokyo Stock Exchange

JOURNAL ARTICLE published 2 June 2016 in Quantitative Finance

Authors: Ryuichi Yamamoto