DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Computation of Robust Option Prices via Structured Multi-Marginal Martingale Optimal Transport. Published Jun 14, 2024.
Publication: Well-posedness of behavioral singular stochastic control problems. Published May 3, 2025.
Publication: Covariance matrix filtering with bootstrapped hierarchies. Published Mar 12, 2020.
Publication: A fully data-driven approach to minimizing CVaR for portfolio of assets via SGLD with discontinuous updating. Published Jul 2, 2020.
Publication: Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers. Published Mar 20, 2023.
Publication: Robust Bernoulli Mixture Models for Credit Portfolio Risk. Published Nov 18, 2024.
Publication: Rough kernel hedging. Published Jan 16, 2025.
Publication: Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities. Published Aug 9, 2025.
Publication: Non-standard analysis for coherent risk estimation: hyperfinite representations, discrete Kusuoka formulae, and plug-in asymptotics. Published Jan 31, 2026.
Publication: Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. Published Jan 18, 2023.
Publication: Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk. Published Aug 21, 2023.
Publication: On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio. Published Oct 31, 2024.
Publication: Making Good on LSTMs' Unfulfilled Promise. Published Nov 11, 2019.
Publication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints. Published Aug 6, 2020.
Publication: Online Self-Concordant and Relatively Smooth Minimization, With Applications to Online Portfolio Selection and Learning Quantum States. Published Oct 3, 2022.
Publication: Photonic Quantum Computing vs. Classical Solvers in Constrained Factor Portfolio Optimization. Published Aug 14, 2026.
Publication: Unified Asymptotics For Investment Under Illiquidity: Transaction Costs And Search Frictions. Published Jul 18, 2024.
Publication: Decision-Induced Ranking Explains Prediction Inflation and Excessive Turnover in SPO-Based Portfolio Optimization. Published May 2, 2026.
Publication: Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio. Published Jan 23, 2020.
Publication: Relative utility bounds for empirically optimal portfolios. Published Jun 9, 2020.
Publication: Optimal semi-static hedging in illiquid markets. Published Aug 4, 2020.
Publication: Cross-ownership as a structural explanation for rising correlations in crisis times. Published Dec 9, 2021.
Publication: Optimal exercise decision of American options under model uncertainty. Published Oct 23, 2023.
Publication: Pricing and Semi-static Hedging of Green Pay-as-produced Power Purchase Agreements. Published Jul 30, 2026.
Publication: Path-Space Robust Bayesian Portfolio Selection. Published Jun 23, 2026.
Publication: Deep Hedging under Rough Volatility. Published Feb 3, 2021.
Publication: Variance-Optimal Hedging in the Rough Hawkes--Heston Model. Published Sep 8, 2026.
Publication: Two Stochastic Control Problems In Capital Structure and Portfolio Choice. Published Jul 5, 2021.
Publication: From Semi-Infinite Constraints to Structured Robust Policies: Optimal Gain Selection for Financial Systems. Published Feb 4, 2022.
Publication: Risk budget portfolios with convex Non-negative Matrix Factorization. Published Apr 6, 2022.
Publication: Distributionally Robust End-to-End Portfolio Construction. Published Jun 10, 2022.
Publication: Cost-efficient Payoffs under Model Ambiguity. Published Jul 6, 2022.
Publication: Robust Hedging GANs. Published Jul 5, 2023.
Publication: A Distributed Method for Cooperative Transaction Cost Mitigation. Published Mar 9, 2026.
Publication: Adaptive Multilevel Stochastic Approximation of the Value-at-Risk. Published Aug 12, 2024.
Publication: Simplicial persistence of financial markets: filtering, generative processes and portfolio risk. Published Sep 16, 2020.
