# Recent Papers

- Falling use of cash and population age structure
- Imbalanced data issues in machine learning classifiers: a case study
- Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
- Markovian approximations of stochastic Volterra equations with the fractional kernel
- Evidence of Crowding on Russell 3000 Reconstitution Events
- Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
- Martingale Schrödinger bridges and optimal semistatic portfolios
- Modeling very large losses. II
- Enhanced expected impact cost model under abnormally high volatility
- Dynamic initial margin estimation based on quantiles of Johnson distributions
- Deep empirical risk minimization in finance: Looking into the future
- Explainable artificial intelligence for credit scoring in banking
- Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
- Sovereign probabilities of default in the euro area
- Analytical conversion between implied volatilities based on different dividend models
- Deep Q-Learning for Nash Equilibria: Nash-DQN
- The EWMA Heston model
- The Compliance Index: a behavioral approach to compliance risk management in the (post-) Covid-19 era
- Nonparametric estimation of systemic risk via conditional value-at-risk
- Pricing commodity index options
- Energy trading efficiency in ERCOT’s day-ahead and real-time electricity markets
- Improving the asymmetric stochastic volatility model with ex-post volatility: the identification of the asymmetry
- A two-step framework for arbitrage-free prediction of the implied volatility surface
- A default contagion model for pricing defaultable bonds from an information based perspective
- Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices