Quantitative Finance Finite difference scheme versus piecewise binomial lattice for interest rates under the skew CEV model. By Olivier Menoukeu-Pamen, 2 years ago
Quantitative Finance A theoretical generalization of the Markowitz model incorporating skewness and kurtosis. By Pierpaolo Uberti, 2 years ago
Quantitative Finance A First Course in Random Matrix Theory for Physicists, Engineers and Data Scientists. By Louis-Pierre Arguin, 2 years ago
Quantitative Finance Firefighting: The Financial Crisis and Its Lessons. By Jean-Philippe Bouchaud, 2 years ago
Quantitative Finance A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions. By Yuyang Cheng, 2 years ago
Quantitative Finance Kurtosis-based risk parity: methodology and portfolio effects. By M. D. Braga, 2 years ago
Quantitative Finance Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios. By Carol Alexander, 2 years ago
Quantitative Finance Metalearning of time series: an approximate dynamic programming approach. By Ricardo A. Collado, 2 years ago
Quantitative Finance The economics of time as it is embedded in the prices of options§. By Dilip B. Madan, 2 years ago