Quantitative Finance Letters

Title Publication Date Language Citations
Black–Litterman in continuous time: the case for filtering2013/12/01English23
Trading networks, abnormal motifs and stock manipulation2013/12/01English18
Index-tracking optimal portfolio selection2013/12/01English15
Credit valuation adjustment and wrong way risk2013/12/01English15
Testing for asset price bubbles: three new approaches2016/01/01English13
Practical algorithms for value-at-risk portfolio optimization problems2015/01/01English13
Convergence of the discrete variance swap in time-homogeneous diffusion models2014/05/27English9
Approximation behoves calibration2013/12/01English8
Modelling the efficiency of universal banks in Ghana2016/01/01English7
Asset allocation with risk factors2013/12/01English7
The bond-stock earnings yield differential model: additional applications and other models for stock market crash prediction2016/01/01English6
Applying stochastic programming to insurance portfolios stress-testing2014/06/12English5
Mathematical models of bubbles2016/01/01English4
Exit strategies in bubble-like markets using a changepoint model2016/01/01English4
An empirical study of the dynamics of implied volatility indices: international evidence2016/01/01English3
The case for convex risk measures and scenario-dependent correlation matrices to replace VaR, C-VaR and covariance simulations for safer risk control of portfolios2013/12/01English3
Estimating animal spirits: conservative risk calculation2014/09/10English2
Interest-rate simulation under the real-world measure within a Gaussian HJM framework2015/01/01English2
Acquirers gain twice as much as targets in M&As: a different perspective on a longstanding perception2016/01/01English2
Hedging without sweat: a genetic programming approach2013/12/01English2
A simple procedure to incorporate predictive models in a continuous time asset allocation2016/01/01English2
The bond-stock earnings yield model for stock market crash prediction: the basic idea and early applications2016/01/01English1
Non-predictable stock market declines2016/01/01English1
Maimonides risk parity2013/12/01English1
Characteristics of robust portfolios in a varied asset universe2013/12/01English
Credit market bubble building? A forming credit bubble could burst by 20172016/01/01English
Introduction2016/01/01English
Using Zweig’s monetary and momentum models in the modern era2016/01/01English