DUCKQUANT / THE QUANT & AI DIRECTORY
14,444 resources, ranked by in-directory PageRank
Showing 5,905–5,940 of 14,444 resources
Publication: Transfer Learning (Il)liquidity. Published Dec 12, 2025.
Publication: Statistical Learning of Value-at-Risk and Expected Shortfall. Published Sep 14, 2022.
Publication: Exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model with the Karhunen-Loève expansions. Published Feb 14, 2024.
Publication: Backtesting Systemic Risk Forecasts using Multi-Objective Elicitability. Published Apr 20, 2021.
Publication: Estimating risks of option books using neural-SDE market models. Published Feb 15, 2022.
Publication: The Reactive Beta Model. Published Nov 3, 2019.
Publication: DELPHYNE: A Pre-Trained Model for General and Financial Time Series. Published May 12, 2025.
Publication: Weak approximations and VIX option price expansions in forward variance curve models. Published Feb 21, 2022.
Publication: The Right Wing of the SABR Smile with an Absorbing Boundary: Resolution of Conjectures of Henry-Labordère. Published Oct 3, 2026.
Publication: Asymmetric Long-Memory GARCH: Sign-Dependent Kernel Injection in a Two-Dimensional Markov Chain. Published Sep 6, 2026.
Publication: Deep calibration of the quadratic rough Heston model. Published Jul 4, 2021.
Publication: Diagonal Frog meets ADI: trading matrix exponentials for rational maps in the Fokker--Planck equation. Published Aug 24, 2026.
Publication: What's the Price of Monotonicity? A Multi-Dataset Benchmark of Monotone-Constrained Gradient Boosting for Credit PD. Published Dec 14, 2025.
Publication: Scaling Limits of Bivariate Nearly-Unstable Hawkes Processes and Applications to Rough Volatility. Published May 5, 2026.
Publication: Calibration of Local-Stochastic and Path-Dependent Volatility Models to Vanilla and No-Touch Options. Published Nov 3, 2019.
Publication: The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. Published Nov 6, 2019.
Publication: On the uniqueness of solutions of stochastic Volterra equations. Published Dec 12, 2019.
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: Efficient option pricing in the rough Heston model using weak simulation schemes. Published Oct 6, 2023.
Publication: Random feature neural networks learn Black-Scholes type PDEs without curse of dimensionality. Published Jun 14, 2021.
Publication: Spurious Predictability in Financial Machine Learning. Published Apr 16, 2026.
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.
