Applied Mathematical Finance

Title Publication Date Language Citations
Short-Time Asymptotics for Non-Self-Similar Stochastic Volatility Models2023/05/04English
Deep Learning for Market by Order Data2021/01/02English
Heterogeneity and Competition in Fragmented Markets: Fees Vs Speed2021/03/04English
Closed-form Approximations in Multi-asset Market Making2021/03/04English
Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models2021/05/04English
Optimal Market Making under Partial Information with General Intensities2020/03/03English
Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection2020/09/02English
Numerical Ross Recovery for Diffusion Processes Using a PDE Approach2020/03/03English
Hedging Strategies in Commodity Markets – Rolling Intrinsic and Delta Hedging for Virtual Power Plants2020/11/01English
Spiking the Volatility Punch2020/11/01English
Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk2019/09/03English
Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures2019/11/02English
A Multiple Curve Lévy Swap Market Model2020/09/02English
On Carr and Lee’s Correlation Immunization Strategy2019/03/04English
Non-Linear Interactions and Exchange Rate Prediction: Empirical Evidence Using Support Vector Regression2019/01/02English
Extended Gini-Type Measures of Risk and Variability2018/05/04English
Short Maturity Forward Start Asian Options in Local Volatility Models2019/05/04English
Hedging the Risk of Delayed Data in Defaultable Markets2019/03/04English
Utility maximization under risk constraints and incomplete information for a market with a change point2017/09/03English
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps2017/11/02English
The Optimal Interaction between a Hedge Fund Manager and Investor2018/08/09English
Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model2018/07/04English
Third-order short-time expansions for close-to-the-money option prices under the CGMY model2017/11/02English
Optimal prediction of resistance and support levels2016/11/01English
A New Variance Reduction Technique for Estimating Value-at-Risk2014/09/30English
A Family of Maximum Entropy Densities Matching Call Option Prices2013/04/10English
Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing2013/06/09English
From Minority Game to Black&Scholes Pricing2013/05/14English
An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options2013/07/09English
Asymptotic Solutions for Australian Options with Low Volatility2014/09/01English