DUCKQUANT / THE QUANT & AI DIRECTORY
1,058 resources, ranked by in-directory PageRank
Publication: Short-time asymptotics for non self-similar stochastic volatility models. Published Apr 21, 2022.
Publication: Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations. Published Sep 21, 2022.
Publication: Generalized FGM dependence: Geometrical representation and convex bounds on sums. Published Jun 15, 2024.
Publication: When Alpha Disappears: A One-Switch Benchmark for Decision-Time Leakage in Financial Backtests. Published May 12, 2026.
Publication: Stealing profits: Spread-based temporal hierarchy forecasting for day-ahead electricity markets. Published Sep 19, 2026.
Publication: An arbitrage-free interpolation of class $C^2$ for option prices. Published Apr 18, 2020.
Publication: Short-time implied volatility of additive normal tempered stable processes. Published Aug 5, 2021.
Publication: The roughness exponent and its model-free estimation. Published Nov 19, 2021.
Publication: Dynamically Consistent Analysis of Realized Covariations in Term Structure Models. Published Jun 17, 2024.
Publication: From Exponential to Polynomial: An Exact Filter for High-Dimensional MSM Models. Published Aug 24, 2026.
Publication: Volatility models in practice: Rough, Path-dependent or Markovian?. Published Jan 7, 2024.
Publication: Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models. Published Aug 3, 2022.
Publication: Measuring distribution risk in discrete models. Published Feb 17, 2023.
Publication: Probabilistic Predictions of Option Prices with Modular Approximate Bayesian Inference. Published Dec 1, 2024.
Publication: Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk. Published Sep 23, 2025.
Publication: The Econometrics of Financial Duration Modeling. Published Aug 3, 2022.
Publication: Path-Space Model Risk via Signature-Induced Optimal Transport. Published Jul 22, 2026.
Publication: Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration. Published Jan 10, 2025.
Publication: Strikingly Suspicious Overnight and Intraday Returns. Published Oct 5, 2020.
Publication: Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness. Published Feb 12, 2020.
Publication: Fat Tails and Black Swans: Exact Results for Multiplicative Processes with Resets. Published May 25, 2021.
Publication: DMS, AE, DAA: methods and applications of adaptive time series model selection, ensemble, and financial evaluation. Published Oct 21, 2021.
Publication: Efficient Pricing and Calibration of High-Dimensional Basket Options. Published Jun 20, 2022.
Publication: Reconciling rough volatility with jumps. Published Mar 13, 2023.
Publication: Rough PDEs for local stochastic volatility models. Published Jul 18, 2023.
Publication: Pricing options on illiquid assets using liquid market benchmarks: an application to energy markets. Published Jul 21, 2026.
Publication: Clustered Network Connectedness: A New Measurement Framework with Application to Global Equity Markets. Published Feb 21, 2025.
Publication: Dependent Default Modeling through Multivariate Generalized Cox Processes. Published Aug 7, 2025.
Publication: Call Option Price using Pearson Diffusion Processes. Published Aug 20, 2025.
Publication: Advanced Calibration Analysis and Tools: Identifying Influential Observations in Stochastic Interest Rate Model Calibration. Published Jun 18, 2026.
Publication: American options in the Volterra Heston model. Published Mar 22, 2021.
Publication: Eigenvalue tests for the number of latent factors in short panels. Published Oct 28, 2022.
Publication: Statistical Validation of Contagion Centrality in Financial Networks. Published Apr 22, 2024.
Publication: The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets. Published Feb 18, 2020.
Publication: Markov-Modulated Affine Processes. Published Jun 30, 2021.
Publication: High-Frequency-Based Volatility Model with Network Structure. Published Apr 14, 2022.
