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Calendar JOURNAL ARTICLE published 3 October 2017 in Quantitative Finance |
Capital market equilibrium with heterogeneous investors JOURNAL ARTICLE published September 2009 in Quantitative Finance |
Optimal static quadratic hedging JOURNAL ARTICLE published September 2016 in Quantitative Finance |
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) |
A set-valued Markov chain approach to credit default JOURNAL ARTICLE published 2 April 2020 in Quantitative Finance |
Pricing options on discrete realized variance with partially exact and bounded approximations JOURNAL ARTICLE published 2 December 2015 in Quantitative Finance |
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) |
Rebuilding the limit order book: sequential Bayesian inference on hidden states JOURNAL ARTICLE published November 2013 in Quantitative Finance |
Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group JOURNAL ARTICLE published May 2012 in Quantitative Finance |
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) |
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 |
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 |
Pricing defaultable bonds: a middle-way approach between structural and reduced-form models JOURNAL ARTICLE published June 2006 in Quantitative Finance |
Real options with a double continuation region JOURNAL ARTICLE published March 2012 in Quantitative Finance |
Trading profitability from learning and adaptation on the Tokyo Stock Exchange JOURNAL ARTICLE published 2 June 2016 in Quantitative Finance |
Consistent pricing and hedging for a modified constant elasticity of variance model JOURNAL ARTICLE published December 2002 in Quantitative Finance |
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics JOURNAL ARTICLE published 2 December 2022 in Quantitative Finance Research funded by European Union's Horizon 2020 research and innovation programme (871042) |
Bond pricing when the short-term interest rate follows a threshold process JOURNAL ARTICLE published December 2008 in Quantitative Finance |