Applied Quantitative Finance presents solutions, theoretical developments and method proliferation for many practical problems in quantitative finance. The combination of practice and theory supported by computational tools is reflected in the selection of topics as well as in a finely tuned...

We develop a procedure for monitoring changes in the error distribution of autoregressive time series while controlling the overall size of the sequential test. The proposed procedure, unlike standard procedures which are also referred to, utilizes the empirical characteristic function of...

As the world struggled to come to grips with the Covid-19 pandemic, over twenty scholars, practitioners, and global leaders wrote brief essays for this curated chapter on the role of global leadership in this extreme example of a global crisis. Their thoughts span helpful theoretical...

Abstract Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called “dispersion strategy”. We study the performance of this strategy...

Abstract There is an increasing demand for models of multivariate time-series with time-varying and non-Gaussian dependencies. The available models suffer from the curse of dimensionality or from restrictive assumptions on the parameters and distributions. A promising class of models is that of...