Recent Papers
- Modeling systemic operational risk in the Covid-19 pandemic
- Pricing the correlation skew with normal mean–variance mixture copulas
- A novel state-transition forest: pricing corporate securities with intertemporal exercise policies and corresponding capital structure changes
- Jacobi stochastic volatility factor for the LIBOR market model
- Optimal dynamic regulation of carbon emissions market
- Creating factor clusters in the alternative Undertakings for Collective Investment in Transferable Securities (UCITS) universe
- The characteristic function of Gaussian stochastic volatility models: an analytic expression
- The Black–Scholes equation in the presence of arbitrage
- No arbitrage global parametrization for the eSSVI volatility surface
- Forecasting interval-valued crude oil prices using asymmetric interval models
- Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- Issue Information
- Bubbles in discrete-time models
- A concept of copula robustness and its applications in quantitative risk management
- Neural network approximation for superhedging prices
- Changes in operational risk and its determinants under Covid-19
- “Closing the gaps: moving forward on tail risks in central clearing”: a central bank of issue perspective
- Bitcoin: jumps, convenience yields, and option prices
- In memoriam Marco Avellaneda
- On ruin probabilities with investments in a risky asset with a regime-switching price
- Semimartingale price systems in models with transaction costs beyond efficient friction
- Distance to default based on the CEV–KMV model
- High-dimensional realized covariance estimation: a parametric approach
- Model risk quantification based on relative entropy
