Recent Papers
- The role of a green factor in stock prices: when Fama and French go green
- Quantifying dimensional change in stochastic portfolio theory
- Simulation of Arbitrage-Free Implied Volatility Surfaces
- Predictable Losses of Liquidity Provision in Constant Function Markets and Concentrated Liquidity Markets
- A càdlàg rough path foundation for robust finance
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
- Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
- Optimal trend-following portfolios
- Effective stochastic local volatility models
- Peak-to-valley drawdowns: insights into extreme path-dependent market risk
- Editorial: Special Issue for the 11th World Congress of the Bachelier Finance Society
- Credible value-at-risk
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- Optimal investment and consumption for financial markets with jumps under transaction costs
- Sig‐Wasserstein GANs for conditional time series generation
- Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay
- How does fintech affect the revenue and risk of commercial banks? Evidence from China
- Rule-based trading on an order-driven exchange: a reassessment
- A basket half full: sparse portfolios
- Mind the cap!—constrained portfolio optimisation in Heston's stochastic volatility model
- On the potential of arbitrage trading on the German intraday power market
- Cryptocurrency factor momentum
- Principled pasting: attaching tails to risk-neutral probability density functions recovered from option prices
- Realized quantity extended conditional autoregressive value-at-risk models
- Integrated stock–bond portfolio management
