Quantitative Finance GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series. By H. Kaibuchi, 3 years ago
Quantitative Finance Some analytical results on bivariate stable distributions with an application in operational risk. By L. Tafakori, 3 years ago
Quantitative Finance Optimal solution of the liquidation problem under execution and price impact risks. By Francesca Mariani, 3 years ago
Quantitative Finance Static replication of European standard dispersion options. By Sébastien Bossu, 3 years ago
Quantitative Finance Effective Markovian projection: application to CMS spread options and mid-curve swaptions. By M. Felpel, 3 years ago
Quantitative Finance Stock market prediction based on adaptive training algorithm in machine learning. By Hongjoong Kim, 3 years ago
Quantitative Finance Portfolios of value and momentum: disappointment aversion and non-normalities. By Simon Lalancette, 3 years ago
Quantitative Finance A reinforcement learning approach to optimal execution. By Ciamac C. Moallemi, 3 years ago