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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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Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos; Kschonnek, M.; Zagst, Rudi - In: Quantitative finance 23 (2023) 12, pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
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Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme
Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161
Persistent link: https://www.econbiz.de/10012588029
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Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network
Mulvey, John M.; Sun, Yifan; Wang, Mengdi; Ye, Jing - In: Quantitative finance 20 (2020) 8, pp. 1239-1261
Persistent link: https://www.econbiz.de/10012262660
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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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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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The implied Sharpe ratio
Agarwal, Ankush; Lorig, Matthew - In: Quantitative finance 20 (2020) 6, pp. 1009-1026
Persistent link: https://www.econbiz.de/10012262655
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Options on a traded account : symmetric treatment of the underlying assets
Večeř, Jan; Kampen, Joerg; Navratil, Robert - In: Quantitative finance 20 (2020) 1, pp. 37-47
Persistent link: https://www.econbiz.de/10012194853
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A variation of Merton's corporate bond valuation model for firms with illiquid but observable assets
Dong, Juan; Korobenko, Lyudmila; Sezer, A. Deniz - In: Quantitative finance 20 (2020) 3, pp. 483-497
Persistent link: https://www.econbiz.de/10012194903
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Adaptive online mean-variance portfolio selection with transaction costs
Guo, Sini; Gu, Jia-Wen; Ching, Wai Ki; Lyu, Benmeng - In: Quantitative finance 24 (2024) 1, pp. 59-82
Persistent link: https://www.econbiz.de/10014551906