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Quantitative Finance Stationary Heston model: calibration and pricing of exotics using product recursive quantization. By Vincent Lemaire, 3 years ago
Quantitative Finance Characterizing financial crises using high-frequency data. By Mardi Dungey, 3 years ago
Quantitative Finance Market making with inventory control and order book informationVolume 22, Issue 3, March 2022, Page 597-610. By E. Donatoni, 3 years ago
Quantitative Finance Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach. By Xiaodong Wang, 3 years ago
Quantitative Finance An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects. By Jimmy E Hilliard, 3 years ago
Quantitative Finance A simple robust asset pricing model under statistical ambiguity. By Luis García-Feijóo, 3 years ago
Quantitative Finance Size and power in tests of return predictability. By Stephen F. LeRoy, 3 years ago
Quantitative Finance International portfolio choice under multi-factor stochastic volatility. By Marcos Escobar-Anel, 3 years ago
Quantitative Finance Smooth ambiguity preferences and asset prices with a jump-diffusion process. By Masataka Suzuki, 3 years ago