DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint. Published Sep 26, 2025.
Publication: $N$-player and Mean-field Games in Itô-diffusion Markets with Competitive or Homophilous Interaction. Published Jun 1, 2021.
Publication: Fitted value iteration methods for bicausal optimal transport. Published Jun 22, 2023.
Publication: Data-Driven Merton's Strategies via Policy Randomization. Published Dec 19, 2023.
Publication: Sizing the bets in a focused portfolio. Published Feb 23, 2024.
Publication: Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. Published Sep 22, 2021.
Publication: Distributionally robust risk evaluation with a causality constraint and structural information. Published Mar 20, 2022.
Publication: The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem. Published Jan 6, 2020.
Publication: Continuous Hidden Markov Models for Equity Returns: Heavy-Tail Emission Families and Regime-Conditional Value-at-Risk. Published Jun 22, 2026.
Publication: Fast reliable pricing and calibration of the rough Heston model. Published Aug 20, 2025.
Publication: Volatility has to be rough. Published Feb 21, 2020.
Publication: Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark. Published Aug 18, 2020.
Publication: Reactive Global Minimum Variance Portfolios with $k-$BAHC covariance cleaning. Published May 18, 2020.
Publication: Markowitz portfolio selection for multivariate affine and quadratic Volterra models. Published Jun 24, 2020.
Publication: Asymptotic minimization of expected time to reach a large wealth level in an asset market game. Published Jul 9, 2020.
Publication: Hedging Goals. Published May 17, 2021.
Publication: Damped Online Newton Step for Portfolio Selection. Published Feb 15, 2022.
Publication: On Frequency-Based Optimal Portfolio with Transaction Costs. Published Jan 7, 2023.
Publication: Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks. Published Mar 31, 2026.
Publication: Almost Perfect Shadow Prices. Published Jan 1, 2024.
Publication: Pathwise Portfolio Theory and Market Viability. Published Jul 21, 2026.
Publication: Comparative Statics of Trading Boundary in Finite Horizon Portfolio Selection with Proportional Transaction Costs. Published Dec 18, 2024.
Publication: Multi-Hypothesis Prediction for Portfolio Optimization: A Structured Ensemble Learning Approach to Risk Diversification. Published Jan 7, 2025.
Publication: Multivariate Stochastic Volatility Models and Large Deviation Principles. Published Mar 17, 2022.
Publication: Implied Volatility Expansions for VIX Options in Forward Variance Models. Published Apr 28, 2026.
Publication: Optimal nonparametric estimation of the expected shortfall risk. Published May 1, 2024.
Publication: Path-dependent Affine Processes. Published Jun 22, 2026.
Publication: tsbootstrap: Distribution-Free Uncertainty Quantification and Conformal Prediction for Time Series. Published Jul 7, 2026.
Publication: Trends and Reversion in Financial Markets on Time Scales from Minutes to Decades. Published Jan 28, 2025.
Publication: Traveling Waves in Equity Markets with Rank-Based Entry and Exit. Published Aug 27, 2026.
Publication: Fear and Volatility in Digital Assets. Published Oct 29, 2020.
Publication: Rough multifactor volatility for SPX and VIX options. Published Dec 28, 2021.
Publication: lCARE -- localizing Conditional AutoRegressive Expectiles. Published Sep 28, 2020.
Publication: Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF). Published Aug 15, 2025.
Publication: No arbitrage SVI. Published May 7, 2020.
Publication: Markovian approximations of stochastic Volterra equations with the fractional kernel. Published Aug 11, 2021.
