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A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.; Siu, Tak Kuen - In: Quantitative finance 22 (2022) 4, pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
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Estimating a regime switching pairs trading model
Elliott, Robert J.; Bradrania, Reza - In: Quantitative finance 18 (2018) 5, pp. 877-883
Persistent link: https://www.econbiz.de/10011907956
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Optimal asset allocation under search frictions and stochastic interest rate
Wang, Ning; Zhu, Song-Ping; Elliott, Robert J. - In: Quantitative finance 23 (2023) 6, pp. 1019-1033
Persistent link: https://www.econbiz.de/10014304432
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Instantaneous portfolio theory
Madan, Dilip B. - In: Quantitative finance 18 (2018) 8, pp. 1345-1364
Persistent link: https://www.econbiz.de/10011911544
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Risk conscious investment
Madan, Dilip B.; Schoutens, Wim; Wang, King - In: Quantitative finance 24 (2024) 10, pp. 1401-1421
Persistent link: https://www.econbiz.de/10015196933
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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
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Errata : Instantaneous Portfolio Theory
Madan, Dilip B.; Reyners, Sofie; Schoutens, Wim - In: Quantitative finance 22 (2022) 4, pp. 633-634
Persistent link: https://www.econbiz.de/10013367841
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Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
Madan, Dilip B.; Wang, King - In: Quantitative finance 22 (2022) 7, pp. 1391-1404
Persistent link: https://www.econbiz.de/10013367909
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The economics of time as it is embedded in the prices of options§
Madan, Dilip B.; Wang, King - In: Quantitative finance 23 (2023) 4, pp. 579-593
Persistent link: https://www.econbiz.de/10014304273