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A path-integral approximation for non-linear diffusions
Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.; Ngo, Julie T. D. - In: Quantitative finance 22 (2022) 11, pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
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Learning a functional control for high-frequency finance
Leal, Laura; Lauriere, Mathieu; Lehalle, Charles-Albert - In: Quantitative finance 22 (2022) 11, pp. 1973-1987
Persistent link: https://www.econbiz.de/10013490928
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
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The EWMA Heston model
Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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Optimal reinsurance-investment with loss aversion under rough Heston model
Ma, Jingtang; Lu, Zhengyang; Chen, Dengsheng - In: Quantitative finance 23 (2023) 1, pp. 95-109
Persistent link: https://www.econbiz.de/10013490957
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Empirical deep hedging
Mikkilä, Oskari; Kanniainen, Juho - In: Quantitative finance 23 (2023) 1, pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
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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
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Stable dividends under linear-quadratic optimisation
Avanzi, B.; Falden, Debbie Kusch; Steffensen, Mogens - In: Quantitative finance 23 (2023) 9, pp. 1199-1215
Persistent link: https://www.econbiz.de/10014339901