Quantitative Finance A default contagion model for pricing defaultable bonds from an information based perspective. By Hidetoshi Nakagawa, 2 years ago
Quantitative Finance Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing. By Christian Bayer, 2 years ago
Quantitative Finance Estimating time-varying risk aversion from option prices and realized returns. By Maria Kosolapova, 2 years ago
Quantitative Finance Do fundamentals shape the price response? A critical assessment of linear impact models. By Michele Vodret, 2 years ago
Quantitative Finance Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty. By Ruey-Ching Hwang, 2 years ago
Quantitative Finance AI-driven liquidity provision in OTC financial markets. By Álvaro Cartea, 2 years ago
Quantitative Finance A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics. By Danilo Vassallo, 2 years ago
Quantitative Finance Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks. By Johannes Jakubik, 2 years ago