| Optimal portfolios under a correlation constraint
|
2018 |
Bernard, Carole |
| Combining standard and behavioral portfolio theories : a practical and intuitive approach
|
2018 |
Alles Rodrigues, Alexandre |
| Pairs trading under transaction costs using model predictive control
|
2018 |
Primbs, James A. |
| Efficient exposure computation by risk factor decomposition
|
2018 |
Graaf, Cornelis S. L. de |
| A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
|
2018 |
Hambuckers, J. |
| On the price of risk in a mean-risk optimization model
|
2018 |
Dentcheva, Darinka |
| Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
|
2018 |
Stübinger, Johannes |
| Turbocharging Monte Carlo pricing for the rough Bergomi model
|
2018 |
McCrickerd, Ryan |
| Relative Robust Portfolio Optimization with benchmark regret
|
2018 |
Simões, Gonçalo |
| How good can heuristic-based forecasts be? : a comparative performance of econometric and heuristic models for UK and US asset returns
|
2018 |
Guidolin, Massimo |
| Transform analysis for Hawkes processes with applications in dark pool trading
|
2018 |
Gao, Xuefeng |
| Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
|
2018 |
Yang, Steve Y. |
| A logistic regression point of view toward loss given default distribution estimation
|
2018 |
Hwang, Ruey-Ching |
| A Bayesian encompassing test using combined value-at-risk estimates
|
2018 |
Tsiotas, Georgios |
| Liquidity risk in derivatives valuation : an improved credit proxy method
|
2018 |
Sourabh, Sumit |
| Smoothing the payoff for efficient computation of basket option prices
|
2018 |
Bayer, Christian |
| A multiple-curve Lévy forward rate model in a two-price economy
|
2018 |
Eberlein, Ernst |
| Multi-curve HJM modelling for risk management
|
2018 |
Sabelli, Chiara |
| An agent-based model of corporate bond trading
|
2018 |
Braun-Munzinger, K. |
| Analytic value function for optimal regime-switching pairs trading rules
|
2018 |
Bai, Yang |
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