DUCKQUANT / THE QUANT & AI DIRECTORY
14,444 resources, ranked by in-directory PageRank
Showing 5,725–5,760 of 14,444 resources
Publication: Mod-Poisson approximation schemes: Applications to credit risk. Published Oct 26, 2022.
Publication: Construction and Hedging of Equity Index Options Portfolios. Published Jul 18, 2024.
Publication: Unified Approach for Hedging Impermanent Loss of Liquidity Provision. Published Jul 6, 2024.
Publication: Rethinking Synthetic Scenario Realism: Compatibility, Not Fidelity, Drives Hedging Performance. Published Aug 21, 2026.
Publication: A pure dual approach for hedging Bermudan options. Published Apr 29, 2024.
Publication: Worst-case values of target semi-variances with applications to robust portfolio selection. Published Oct 2, 2024.
Publication: Proof-Carrying No-Arbitrage Surfaces: Constructive PCA-Smolyak Meets Chain-Consistent Diffusion with c-EMOT Certificates. Published Nov 12, 2025.
Publication: Sparse High-Order Portfolios via Proximal DCA and SCA. Published Aug 29, 2020.
Publication: Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process. Published Jan 11, 2021.
Publication: Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. Published Apr 6, 2020.
Publication: Model-free Portfolio Theory: A Rough Path Approach. Published Sep 4, 2021.
Publication: Calibration of Local Volatility Models with Stochastic Interest Rates using Optimal Transport. Published Apr 29, 2023.
Publication: Portfolio risk allocation through Shapley value. Published Mar 9, 2021.
Publication: The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics. Published Apr 11, 2026.
Publication: Equilibrium stochastic control with implicitly defined objective functions. Published Dec 23, 2023.
Publication: Conditional Correlations and Principal Regression Analysis for Futures. Published Dec 27, 2019.
Publication: High-dimensional Portfolio Optimization using Joint Shrinkage. Published Sep 24, 2021.
Publication: Mesoscopic Structure of the Stock Market and Portfolio Optimization. Published Dec 13, 2021.
Publication: Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization. Published Sep 7, 2022.
Publication: Portfolio Construction as Linearly Constrained Separable Optimization. Published Mar 9, 2021.
Publication: Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context. Published Oct 14, 2024.
Publication: Hedging option books using neural-SDE market models. Published May 31, 2022.
Publication: On data-driven robust distortion risk measures for non-negative risks with partial information. Published Aug 14, 2025.
Publication: SPX-VIX Risk Computations Via Perturbed Optimal Transport. Published Mar 11, 2026.
Publication: Robust Arbitrage Conditions for Financial Markets. Published Apr 20, 2020.
Publication: Numerical Smoothing with Hierarchical Adaptive Sparse Grids and Quasi-Monte Carlo Methods for Efficient Option Pricing. Published Nov 2, 2021.
Abstract page for arXiv paper 2311.15333: Asymptotic Error Analysis of Multilevel Stochastic Approximations for the Value-at-Risk and Expected Shortfall
Publication: Calibrated rank volatility stabilized models for large equity markets. Published Mar 7, 2024.
Publication: Breaking the Dimensional Barrier for Constrained Dynamic Portfolio Choice. Published Jan 22, 2025.
Publication: Solving High-Order Portfolios via Successive Convex Approximation Algorithms. Published Aug 3, 2020.
Publication: Numeraire-invariant quadratic hedging and mean--variance portfolio allocation. Published Oct 18, 2021.
Publication: Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model. Published Jul 14, 2025.
Publication: Goal-based portfolio selection with fixed transaction costs. Published Oct 24, 2025.
Publication: Entropy-Guided Multiplicative Updates: KL Projections for Multi-Factor Target Exposures. Published Oct 28, 2025.
Publication: Non-asymptotic estimation of risk measures using stochastic gradient Langevin dynamics. Published Nov 24, 2021.
Publication: Multilevel Richardson-Romberg and Importance Sampling in Derivative Pricing. Published Sep 2, 2022.
