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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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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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Technical note: the elliptical potential lemma for general distributions with an application to linear thompson sampling
Hamidi, Nima; Bayati, Mohsen - In: Operations research 71 (2023) 4, pp. 1434-1439
Persistent link: https://www.econbiz.de/10014338245
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Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.; De Marco, Stefano; Gobet, Emmanuel - In: Quantitative finance 23 (2023) 9, pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
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A general approach for lookback option pricing under Markov models
Zhang, Gongqiu; Li, Lingfei - In: Quantitative finance 23 (2023) 9, pp. 1305-1324
Persistent link: https://www.econbiz.de/10014339927
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Stability and sample-based approximations of composite stochastic optimization problems
Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888
Persistent link: https://www.econbiz.de/10014393285
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Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
Guinea Juliá, Álvaro; Roux, Alet - In: Quantitative finance 24 (2024) 8, pp. 1057-1076
Persistent link: https://www.econbiz.de/10015196870
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Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
Huang, Yinzhong; Xiao, Weilin; Yu, Xiaojian - In: Quantitative finance 24 (2024) 10, pp. 1509-1527
Persistent link: https://www.econbiz.de/10015196938
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Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport
Joseph, Benjamin; Loeper, Grégoire; Obłój, Jan - In: Quantitative finance 24 (2024) 11, pp. 1597-1620
Persistent link: https://www.econbiz.de/10015196948
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On general semi-closed-form solutions for VIX derivative pricing
Bacon, Étienne; Bégin, Jean-François; Gauthier, … - In: Quantitative finance 24 (2024) 12, pp. 1875-1882
Persistent link: https://www.econbiz.de/10015196978