Calibrating a market model with stochastic volatility to commodity and interest rate risk

JOURNAL ARTICLE published 3 June 2017 in Quantitative Finance

Authors: P. Karlsson | K. F. Pilz | E. Schlögl

Equity issues and aggregate market returns under information asymmetry

JOURNAL ARTICLE published February 2013 in Quantitative Finance

Authors: Xiaoquan Jiang | Bong-Soo Lee

Learning from Data

JOURNAL ARTICLE published 2 October 2016 in Quantitative Finance

Authors: Riccardo Rebonato

Research on alternative investments at Princeton

JOURNAL ARTICLE published June 2002 in Quantitative Finance

Authors: John M Mulvey

Financial risk as a challenge for stochastic analysis

JOURNAL ARTICLE published 1 October 2002 in Quantitative Finance

Authors: Hans Föllmer

On the accuracy of the local linear approximation for the term structure of interest rates

JOURNAL ARTICLE published April 2004 in Quantitative Finance

Authors: Hideyuki Takamizawa | Isao Shoji

Calendar

JOURNAL ARTICLE published August 2013 in Quantitative Finance

Active momentum trading versus passive ‘ naive diversification’

JOURNAL ARTICLE published May 2013 in Quantitative Finance

Authors: ANURAG N. BANERJEE | CHI-HSIOU D. HUNG

Profiling high-frequency equity price movements in directional changes

JOURNAL ARTICLE published February 2017 in Quantitative Finance

Research funded by Royal Academy of Engineering (ISS1415\7\65 (A. Serguieva))

Authors: Edward P. K. Tsang | Ran Tao | Antoaneta Serguieva | Shuai Ma

On an irreversible investment problem with two-factor uncertainty

JOURNAL ARTICLE published 4 May 2022 in Quantitative Finance

Research funded by Deutsche Forschungsgemeinschaft (SFB 1283/2 2021-317210226)

Authors: F. Dammann | G. Ferrari

Automatic one two three

JOURNAL ARTICLE published 1 February 2015 in Quantitative Finance

Authors: Stanislaus Maier-Paape

Modelling high-frequency limit order book dynamics with support vector machines

JOURNAL ARTICLE published 3 August 2015 in Quantitative Finance

Authors: Alec N. Kercheval | Yuan Zhang

Predicting credit default swap prices with financial and pure data-driven approaches

JOURNAL ARTICLE published December 2011 in Quantitative Finance

Authors: Yalin Gündüz | Marliese Uhrig-Homburg

Functional Itô calculus

JOURNAL ARTICLE published 4 May 2019 in Quantitative Finance

Authors: Bruno Dupire

Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes

JOURNAL ARTICLE published September 2016 in Quantitative Finance

Authors: Pingping Zeng | Yue Kuen Kwok

Leverage causes fat tails and clustered volatility

JOURNAL ARTICLE published May 2012 in Quantitative Finance

Authors: Stefan Thurner | J. Doyne Farmer | John Geanakoplos

A spot market model for pricing derivatives in electricity markets

JOURNAL ARTICLE published February 2004 in Quantitative Finance

Authors: Markus Burger | Bernhard Klar | Alfred Müller | Gero Schindlmayr

Variance reduction for Monte Carlo methods to evaluate option prices under multi-factor stochastic volatility models

JOURNAL ARTICLE published October 2004 in Quantitative Finance

Authors: Jean-Pierre Fouque | Chuan-Hsiang Han

Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication

JOURNAL ARTICLE published October 2013 in Quantitative Finance

Authors: Akihiko Takahashi | Kyo Yamamoto

On the modelling of option prices

JOURNAL ARTICLE published May 2001 in Quantitative Finance

Authors: D.B. Madan