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Quantitative Finance

IF1.4
Papers77
Citations3747
Journal Papers 77
Publication Date
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Explicit local volatility formula for Cheyette-type interest rate models
deleteQuantitative Finance
IF1.4
delete2026-07-03
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PREAI
deleteGairat, Alexander; Gorovoy, Vyacheslav; Shcherbakov, Vadim
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Efficient upper bounds for American options: regression-based duals from backward primals
deleteQuantitative Finance
IF1.4
delete2026-07-03
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PREAI
deleteCline, Daniel A.
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The impact of green bonds on issuers' environmental performance
deleteQuantitative Finance
IF1.4
delete2026-06-03
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PREAI
deleteChen, Yiyang; Erlwein-Sayer, Christina; Mamon, Rogemar; Spagnolo, Fabio; Spagnolo, Nicola
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Classifying and clustering trading agents
deleteQuantitative Finance
IF1.4
delete2026-06-03
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PREAI
deleteWilinski, Mateusz; Goel, Anubha; Iosifidis, Alexandros; Kanniainen, Juho
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Exploring parsimonious principles that unify active portfolio selection (I): model
deleteQuantitative Finance
IF1.4
delete2026-05-04
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PREAI
deleteCheung, Wing
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Simulation-analytical approach for calculating VaR contributions in credit portfolios
deleteQuantitative Finance
IF1.4
delete2026-04-01
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PREAI
deleteWang, Jayden Zian; Huang, Zhenzhen; Kwok, Yue Kuen
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Analytical solution for Kelly's criterion for multiple outcomes
deleteQuantitative Finance
IF1.4
delete2026-04-01
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PREAI
deleteVecer, Jan
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The subtle interplay between square-root impact, order imbalance & volatility: a unifying framework
deleteQuantitative Finance
IF1.4
delete2026-04-01
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PREAI
deleteMaitrier, Guillaume; Bouchaud, Jean-Philippe
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A Bayesian approach to generating distribution-based signals in pairs trading
deleteQuantitative Finance
IF1.4
delete2026-04-01
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PREAI
deleteQuadros, A.; Higgins, M.; Silverstein, B.
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Expanding the risk horizon: an integrated framework for managing uncertainty and risk in portfolio selection
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteHuang, Xinyu; Newton, David P.; Platanakis, Emmanouil; Ye, Xiaoxia
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The implied volatility surface (also) is path-dependent
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteAndres, Herve; Boumezoued, Alexandre; Jourdain, Benjamin
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On the measurement of bank vulnerability
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteZhang, Yuliang
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Dimensionality reduction techniques to support insider trading detection
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteRavagnani, Adele; Lillo, Fabrizio; Deriu, Paola; Mazzarisi, Piero; Medda, Francesca; Russo, Antonio
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Distribution of price and volume in a call auction
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteSmid, Martin; Kubena, Ales Antonin
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Why is the estimation of metaorder impact with public market data so challenging?
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteNaviglio, M.; Bormetti, G.; Campigli, F.; Rodikov, G.; Lillo, F.
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Valuation and hedging efficiency of multifactor swing quanto options for price-volume risk in electricity markets
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteYamada, Yuji; Matsumoto, Takuji
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Analytical approximations for American option pricing under regime-switching models
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteZheng, Yawen; Pun, Chi Seng; Zhu, Song-Ping
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Filtering market signals: dynamic asset allocation with momentum and hidden mean reversion
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteAltay, Suhan; Colaneri, Katia; Eksi-Altay, Zehra; Flonner, Eva
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Multivariate rough volatility
deleteQuantitative Finance
IF1.4
delete2026-03-01
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PREAI
deleteDugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo
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An interpretable labeling model for reject inference based on multi-level sub-model migration in the credit risk assessment scenario
deleteQuantitative Finance
IF1.4
delete2026-02-01
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PREAI
deleteZhang, Runchi
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