DUCKQUANT / THE QUANT & AI DIRECTORY
14,444 resources, ranked by in-directory PageRank
Showing 5,869–5,904 of 14,444 resources
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.
Publication: VOLatility Archive for Realized Estimates (VOLARE). Published Feb 23, 2026.
Publication: Option pricing under non-Markovian stochastic volatility models: A deep signature approach. Published Aug 21, 2025.
Publication: (In)Efficient Market States and Rough Volatility Detected via Grunwald-Letnikov Fractional Derivative. Published Jun 26, 2026.
Publication: Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields. Published May 14, 2026.
Publication: New general dependence measures: construction, estimation and application to high-frequency stock returns. Published Aug 31, 2023.
Publication: Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels. Published Oct 29, 2024.
Publication: Short-Rate Derivatives in a Higher-for-Longer Environment. Published Feb 28, 2025.
Publication: Exact Simulation of Variance Gamma related OU processes: Application to the Pricing of Energy Derivatives. Published Apr 14, 2020.
Publication: Estimating and backtesting risk under heavy tails. Published Oct 20, 2020.
Publication: Arbitrage-free neural-SDE market models. Published May 24, 2021.
American technology company (founded 2016).
Publication: Geometric Observables for Financial Regime Detection. Published May 16, 2026.
Publication: Short-maturity skew stickiness ratio under local volatility. Published Sep 10, 2026.
Publication: Signature-based models: theory and calibration. Published Jul 26, 2022.
Publication: Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage. Published Mar 22, 2023.
Publication: Fast and Stable Credit Gamma of CVA. Published Nov 20, 2023.
Publication: Primal and dual optimal stopping with signatures. Published Dec 6, 2023.
Publication: Statistical inference for rough volatility: Central limit theorems. Published Oct 3, 2022.
Publication: Joint SPX-VIX calibration with Gaussian polynomial volatility models: deep pricing with quantization hints. Published Dec 16, 2022.
Publication: SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces. Published Jan 16, 2026.
Publication: A rough SABR formula. Published May 11, 2021.
Publication: A Censored Transformed Model for Proportional Outcomes with Boundary Mass and an Application to Loss Given Default Modeling. Published Jun 19, 2026.
Publication: Statistical inference for rough volatility: Minimax Theory. Published Oct 3, 2022.
Publication: Short dated smile under Rough Volatility: asymptotics and numerics. Published Sep 18, 2020.
Publication: Modeling Volatility and Dependence of European Carbon and Energy Prices. Published Aug 30, 2022.
Publication: Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance. Published Jul 5, 2023.
Publication: To be or not to be: Roughness or long memory in volatility?. Published Mar 19, 2024.
Publication: Improved model-free bounds for multi-asset options using option-implied information and deep learning. Published Apr 2, 2024.
Publication: Term structure shapes and their consistent dynamics in the Svensson family. Published Oct 11, 2024.
Publication: Efficient Black-Box Importance Sampling for VaR and CVaR Estimation. Published Jun 16, 2021.
