Recent Papers
- Enhancing organizational sustainability through human resource analytics: examining the moderating effect of organizational culture
- A framework of state-dependent utility optimisation with general benchmarks
- Fast and slow optimal trading with exogenous information
- OPTIMAL SELLING TIME OF A STOCK UNDER CAPITAL GAINS TAXES
- Pricing and calibration in the 4-factor path-dependent volatility model
- Issue Information
- Optimal bubble riding: a mean field game with varying entry times
- Ensemble learning for portfolio valuation and risk management
- Relative entropy-regularized robust optimal order execution
- A Pure Dual Approach for Hedging Bermudan Options
- Operational risk, capital regulation and model risk
- Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction
- VOLGAN:: A Generative Model for Arbitrage-Free Implied Volatility Surfaces
- A social media alert system for meme stocks
- Strategies with minimal norm are optimal for expected utility maximisation under high model ambiguity
- The robot-labeling phenomenon: robot-ready modern operational risk management
- Efficient evaluation of expectations of functions of a Lévy process and its extremum
- Back-testing credit risk parameters on low default portfolios: a simple Bayesian transfer learning approach with an application to sovereign risk‖
- Harnessing uncertainty: a new approach to real estate investment decision support
- α-threshold networks in credit risk models
- Approximate risk parity with return adjustment and bounds for risk diversification
- Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models
- Optimal liquidation under indirect price impact with propagator
- Navigating risk horizons: a comprehensive bibliometric analysis of corporate risk management
- The power of neural networks in stochastic volatility modeling
