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Advanced Search Results For "finance"

1 - 10 of 2,477 results for
 "finance"
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Robust deep hedging.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Aug2022, Vol. 22 Issue 8, p1465-1480. 16p.

Abstract:We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black–Scholes model as well as the constant elasticity of variance (CEV) model as special cases. ...

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Transaction cost analytics for corporate bonds.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Jul2022, Vol. 22 Issue 7, p1295-1319. 25p.

Abstract:Electronic platforms have been increasingly popular for executing large corporate bond orders by asset managers, who in turn have to assess the quality of their executions via Transaction Cost Analysis (TCA). One of the challenges in TCA is to build a ...

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An adaptive dynamical model of default contagion.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Jul2022, Vol. 22 Issue 7, p1217-1227. 11p.

Abstract:The dynamics of default contagion is modeled in terms of adaptively coupled stochastic measures of financial health [ABSTRACT FROM AUTHOR]

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Effective Markovian projection: application to CMS spread options and mid-curve swaptions.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Jun2022, Vol. 22 Issue 6, p1169-1192. 24p.

Abstract:Pricing of interest rate derivatives, such as CMS spread or mid-curve options, depends on the modelling of the underlying single rates. For flexibility and realism, these rates are often described in the framework of stochastic volatility models. In th...

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Pricing electricity day-ahead cap futures with multifactor skew-t densities.

Publication Type:Academic Journal

Source(s):Quantitative Finance. May2022, Vol. 22 Issue 5, p835-860. 26p.

Abstract:Short-term risk management is becoming increasingly significant in power trading as the intermittent renewable generators introduce more weather risk into the price formation dynamics. There is a vacuum in hedging instruments at the day-ahead stage to ...

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The impact of CoCo bonds on systemic risk considering liquidity risk.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Feb2022, Vol. 22 Issue 2, p385-406. 22p.

Abstract:This paper investigates the impact of Contingent Convertible (CoCo) bonds on systemic risk in terms of liquidity risk. We compare the differences in default contagion and clearing payments for financial systems with and without CoCo bonds regarding the...

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Quantification of risk in classical models of finance.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Jan 2022, Vol. 22 Issue 1, p31-45. 15p.

Abstract:This paper treats optimal control problems and derivative pricing with regard to fixed levels of risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical models in finance and...

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Price impact on term structure.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Jan 2022, Vol. 22 Issue 1, p171-195. 25p.

Abstract:We introduce a first theory of price impact in the presence of an interest rate term structure. We explain how one can formulate instantaneous and transient price impact on zero-coupon bonds with different maturities, including a cross price impact tha...

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A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Dec 2021, Vol. 21 Issue 12, p2025-2054. 30p.

Abstract:We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modeled with stochastic volatility and jump-diffusion dynamics. As with any other numerical scheme for partial d...

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Antinoise in U.S. equity markets.

Publication Type:Academic Journal

Source(s):Quantitative Finance. Dec 2021, Vol. 21 Issue 12, p2069-2087. 19p.

Abstract:There are many well documented behavioral biases in financial markets. Yet, analyzing U.S. equities reveals that less than 1% of returns are predictable in recent years. Given the high number of biases, why are returns not more predictable? We provide ...

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