| nr |
titel |
auteur |
tijdschrift |
jaar |
jaarg. |
afl. |
pagina('s) |
type |
| 1 |
A general framework for a joint calibration of VIX and VXX options
|
Grasselli, Martino
|
|
|
336 |
1-2 |
p. 3-26
|
artikel
|
| 2 |
A multi-criteria approach to evolve sparse neural architectures for stock market forecasting
|
Hafiz, Faizal
|
|
|
336 |
1-2 |
p. 1219-1263
|
artikel
|
| 3 |
An efficient unified approach for spread option pricing in a copula market model
|
Berton, Edoardo
|
|
|
336 |
1-2 |
p. 307-329
|
artikel
|
| 4 |
Anticipative information in a Brownian−Poisson market
|
D’Auria, Bernardo
|
|
|
336 |
1-2 |
p. 1289-1314
|
artikel
|
| 5 |
A Stackelberg order execution game
|
Dong, Yinhong
|
|
|
336 |
1-2 |
p. 571-604
|
artikel
|
| 6 |
A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
|
Biancardi, Marta
|
|
|
336 |
1-2 |
p. 1063-1087
|
artikel
|
| 7 |
Bridging socioeconomic pathways of CO2 emission and credit risk
|
Bourgey, Florian
|
|
|
336 |
1-2 |
p. 1197-1218
|
artikel
|
| 8 |
CBI-time-changed Lévy processes for multi-currency modeling
|
Fontana, Claudio
|
|
|
336 |
1-2 |
p. 127-152
|
artikel
|
| 9 |
Commodity Asian option pricing and simulation in a 4-factor model with jump clusters
|
Brignone, Riccardo
|
|
|
336 |
1-2 |
p. 275-306
|
artikel
|
| 10 |
Co-movements, option pricing and risk management: an application to WTI versus Brent spread options
|
De Giovanni, Domenico
|
|
|
336 |
1-2 |
p. 1039-1061
|
artikel
|
| 11 |
Computing the probability of a financial market failure: a new measure of systemic risk
|
Jarrow, Robert
|
|
|
336 |
1-2 |
p. 481-503
|
artikel
|
| 12 |
Convex duality in continuous option pricing models
|
Carr, Peter
|
|
|
336 |
1-2 |
p. 1013-1037
|
artikel
|
| 13 |
Dynamic capital allocation rules via BSDEs: an axiomatic approach
|
Mastrogiacomo, Elisa
|
|
|
336 |
1-2 |
p. 749-772
|
artikel
|
| 14 |
Effect of labour income on the optimal bankruptcy problem
|
Ding, Guodong
|
|
|
336 |
1-2 |
p. 773-795
|
artikel
|
| 15 |
Ergodic aspects of trading with threshold strategies
|
Lovas, Attila
|
|
|
336 |
1-2 |
p. 691-709
|
artikel
|
| 16 |
Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries
|
Zormpas, Dimitrios
|
|
|
336 |
1-2 |
p. 1133-1160
|
artikel
|
| 17 |
From regression models to machine learning approaches for long term Bitcoin price forecast
|
Caliciotti, Andrea
|
|
|
336 |
1-2 |
p. 359-381
|
artikel
|
| 18 |
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data
|
Raffaelli, Iacopo
|
|
|
336 |
1-2 |
p. 27-45
|
artikel
|
| 19 |
Inf-convolution and optimal risk sharing with countable sets of risk measures
|
Righi, Marcelo Brutti
|
|
|
336 |
1-2 |
p. 829-860
|
artikel
|
| 20 |
Instabilities in multi-asset and multi-agent market impact games
|
Cordoni, Francesco
|
|
|
336 |
1-2 |
p. 505-539
|
artikel
|
| 21 |
Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
|
Davis, Mark
|
|
|
336 |
1-2 |
p. 661-689
|
artikel
|
| 22 |
Large and moderate deviations for importance sampling in the Heston model
|
Geha, Marc
|
|
|
336 |
1-2 |
p. 47-92
|
artikel
|
| 23 |
MAD risk parity portfolios
|
Ararat, Çağın
|
|
|
336 |
1-2 |
p. 899-924
|
artikel
|
| 24 |
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
|
Alasseur, Clémence
|
|
|
336 |
1-2 |
p. 541-569
|
artikel
|
| 25 |
Multivariate systemic optimal risk transfer equilibrium
|
Doldi, Alessandro
|
|
|
336 |
1-2 |
p. 435-480
|
artikel
|
| 26 |
Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk
|
Glau, Kathrin
|
|
|
336 |
1-2 |
p. 331-357
|
artikel
|
| 27 |
On horizon-consistent mean-variance portfolio allocation
|
Cerreia-Vioglio, Simone
|
|
|
336 |
1-2 |
p. 797-828
|
artikel
|
| 28 |
Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge–Kantorovich formulation
|
Gobet, Emmanuel
|
|
|
336 |
1-2 |
p. 1161-1195
|
artikel
|
| 29 |
Optimal order execution under price impact: a hybrid model
|
Di Giacinto, Marina
|
|
|
336 |
1-2 |
p. 605-636
|
artikel
|
| 30 |
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models
|
Abudurexiti, Nuerxiati
|
|
|
336 |
1-2 |
p. 945-966
|
artikel
|
| 31 |
Pricing interest rate derivatives under volatility uncertainty
|
Hölzermann, Julian
|
|
|
336 |
1-2 |
p. 153-182
|
artikel
|
| 32 |
Proxying credit curves via Wasserstein distances
|
Michielon, Matteo
|
|
|
336 |
1-2 |
p. 1351-1367
|
artikel
|
| 33 |
Qualitative robustness of utility-based risk measures
|
Koch-Medina, Pablo
|
|
|
336 |
1-2 |
p. 967-980
|
artikel
|
| 34 |
Recent advances in mathematical methods for finance
|
Callegaro, Giorgia
|
|
|
336 |
1-2 |
p. 1-2
|
artikel
|
| 35 |
Robust reinsurance and investment strategies under principal–agent framework
|
Wang, Ning
|
|
|
336 |
1-2 |
p. 981-1011
|
artikel
|
| 36 |
Seasonality in commodity prices: new approaches for pricing plain vanilla options
|
Frau, Carme
|
|
|
336 |
1-2 |
p. 1089-1131
|
artikel
|
| 37 |
Self-exciting price impact via negative resilience in stochastic order books
|
Ackermann, Julia
|
|
|
336 |
1-2 |
p. 637-659
|
artikel
|
| 38 |
Short-time implied volatility of additive normal tempered stable processes
|
Azzone, Michele
|
|
|
336 |
1-2 |
p. 93-126
|
artikel
|
| 39 |
Stochastic optimization with dynamic probabilistic forecasts
|
Tankov, Peter
|
|
|
336 |
1-2 |
p. 711-747
|
artikel
|
| 40 |
Stochastic Volterra equations with time-changed Lévy noise and maximum principles
|
di Nunno, Giulia
|
|
|
336 |
1-2 |
p. 1265-1287
|
artikel
|
| 41 |
The importance of dynamic risk constraints for limited liability operators
|
Armstrong, John
|
|
|
336 |
1-2 |
p. 861-898
|
artikel
|
| 42 |
XVA modelling: validation, performance and model risk management
|
Silotto, Lorenzo
|
|
|
336 |
1-2 |
p. 183-274
|
artikel
|
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