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~isPartOf:"Discussion Paper / Tilburg University, Center for Economic Research"
~isPartOf:"Tinbergen Institute Discussion Paper"
~isPartOf:"Quantitative finance"
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1
A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi
;
Takada, Hideyuki
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
Saved in:
2
Dynamic Partial Correlation Models
D'Innocenzo, Enzo
;
Lucas, André
-
2022
recurrence
equations
, we establish stationarity, ergodicity, and filter invertibility in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013427597
Saved in:
3
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
4
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.
;
Wan, Justin W. L.
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
Saved in:
5
A subdiffusive stochastic volatility jump model
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 979-1002
Persistent link: https://www.econbiz.de/10014304413
Saved in:
6
Static replication of barrier-type options via integral
equations
Kim, Kyoung-Kuk
;
Lim, Dong-Young
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 281-294
Persistent link: https://www.econbiz.de/10012424590
Saved in:
7
Deep neural network framework based on backward stochastic differential
equations
for pricing and hedging American options in high dimensions
Chen, Yangang
;
Wan, Justin W. L.
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
Saved in:
8
G-expected utility maximization with ambiguous equicorrelation
Pun, Chi Seng
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 403-419
Persistent link: https://www.econbiz.de/10012483830
Saved in:
9
A Stochastic Recurrence Equation Approach to Stationarity and phi-Mixing of a Class of Nonlinear ARCH Models
Blasques, Francisco
;
Nientker, Marc
-
2017
Persistent link: https://www.econbiz.de/10011819465
Saved in:
10
Random matrix models for datasets with fixed time horizons
Zitelli, G. L.
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
Saved in:
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