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Bond market completeness under stochastic strings with distribution-valued strategies
Bueno-Guerrero, Alberto; Moreno, Manuel; Navas, Javier F. - In: Quantitative finance 22 (2022) 2, pp. 197-211
Persistent link: https://www.econbiz.de/10013167731
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Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun; Shao, Chenjie - In: Quantitative finance 22 (2022) 2, pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
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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
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Introduction to the Proceedings of the 15th International Conference on Stochastic Programming 2019 (ICSP 2019) : discrete stochastic optimization in finance : editorial
Consigli, Giorgio; Kopa, Miloš; Pichler, Alois - In: Quantitative finance 22 (2022) 1, pp. 28-30
Persistent link: https://www.econbiz.de/10012872492
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The value and cost of more stages in stochastic programing : a statistical analysis on a set of portfolio choice problems
Birge, John R.; Blomvall, Jörgen; Ekblom, Jonas - In: Quantitative finance 22 (2022) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10012872523
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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang; Escobar, Marcos - In: Quantitative finance 21 (2021) 10, pp. 1723-1751
Persistent link: https://www.econbiz.de/10012653709
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Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno; Reghai, Adil; Virrion, Benjamin - In: Quantitative finance 21 (2021) 7, pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
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Backtesting expected shortfall and beyond
Deng, Kaihua; Qiu, Jie - In: Quantitative finance 21 (2021) 7, pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022