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Risk factor aggregation and stress testing
Quantitative Finance 2 days ago By Natalie Packham Berlin School of Economics and Law, D-10825, Berlin, Germany
Pricing airbag option via first passage time approach
Quantitative Finance 2 days ago By Zheng Liu Xiaosong Qian Jing Yao Yinghui Dong † Center for Financial Engineering and Department of Mathematics, Soochow University, Suzhou, People's Republic of China‡ Department of Mathematics and Physics, Suzhou University of Science and Technology, Suzhou, People's Republic of China
Regulating stochastic clocks§
Quantitative Finance 2 days ago By Zhe Fei Weixuan Xia † Department of Finance, Boston University Questrom School of Business, 595 Commonwealth Ave, Boston, MA, 02215, USA‡ Department of Mathematics, University of Southern California, 3620 S. Vermont Ave, Los Angeles, CA, 90089, USA
Short Option Maturity Term Structures of Skewness and Excess Kurtosis*
Applied Mathematical Finance 3 days ago By Dilip B. Madan King Wang a Robert H. Smith School of Business, University of Maryland, College Park, MD, USAb Derivative Product Strats, Morgan Stanley, New York, NY, USA
An entropy-based class of moving averages
Risk.net Journals 7 days ago

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