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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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The SINC way : a fast and accurate approach to Fourier pricing
Baschetti, Fabio; Bormetti, Giacomo; Romagnoli, Silvia; … - In: Quantitative finance 22 (2022) 3, pp. 427-446
Persistent link: https://www.econbiz.de/10013167768
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A fast algorithm for simulation of rough volatility models
Ma, Jingtang; Wu, Haofei - In: Quantitative finance 22 (2022) 3, pp. 447-462
Persistent link: https://www.econbiz.de/10013167769
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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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Robust control in a rough environment
Han, Bingyan; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 3, pp. 481-500
Persistent link: https://www.econbiz.de/10013167772
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Additive normal tempered stable processes for equity derivatives and power-law scaling
Azzone, Michele; Baviera, Roberto - In: Quantitative finance 22 (2022) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10013167773
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Performance measurement for option portfolios in a stochastic volatility framework
Baule, Rainer; Entrop, Oliver; Wessels, Sebastian - In: Quantitative finance 22 (2022) 3, pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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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