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Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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Option hedging using LSTM-RNN : an empirical analysis
Zhang, Junhuan; Huang, Wenjun - In: Quantitative finance 21 (2021) 10, pp. 1753-1772
Persistent link: https://www.econbiz.de/10012653710
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Bond flotation with exotic commodity collateral
Dempster, Michael A. H. - In: Quantitative finance 20 (2020) 12, pp. 1903-1925
Persistent link: https://www.econbiz.de/10012313526
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Robust portfolios with commodities and stochastic interest rates
Chen, Junhe; Davison, Matt; Escobar, Marcos; Zafari, Golara - In: Quantitative finance 21 (2021) 6, pp. 991-1010
Persistent link: https://www.econbiz.de/10012515629
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Deep hedging
Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben - In: Quantitative finance 19 (2019) 8, pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788
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Hedging error as generalized timing risk
Akahori, J.; Barsotti, F.; Imamura, Y. - In: Quantitative finance 23 (2023) 4, pp. 693-703
Persistent link: https://www.econbiz.de/10014304316
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Hedging cryptos with Bitcoin futures
Liu, Francis; Packham, Natalie; Lu, Meng-Jou; Härdle, … - In: Quantitative finance 23 (2023) 5, pp. 819-841
Persistent link: https://www.econbiz.de/10014304363
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Return and volatility co-movement in commodity futures markets : the effects of liquidity risk
Zhang, Yongmin; Ding, Shusheng - In: Quantitative finance 18 (2018) 9, pp. 1471-1486
Persistent link: https://www.econbiz.de/10011913167
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Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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Learning minimum variance discrete hedging directly from the market
Nian Ke; Coleman, Thomas F.; Li, Yuying - In: Quantitative finance 18 (2018) 7, pp. 1115-1128
Persistent link: https://www.econbiz.de/10011911526