DUCKQUANT / THE QUANT & AI DIRECTORY
14,444 resources, ranked by in-directory PageRank
Showing 5,941–5,976 of 14,444 resources
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: Path-dependent PDEs for volatility derivatives. Published Nov 14, 2023.
Publication: Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. Published Jul 22, 2021.
Publication: Deep Learning Based Residuals in Non-linear Factor Models: Precision Matrix Estimation of Returns with Low Signal-to-Noise Ratio. Published Sep 9, 2022.
Publication: Robust pricing and hedging via neural SDEs. Published Jul 8, 2020.
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.
Publication: 150 Years of Return Predictability Around the World: A Holistic View. Published Aug 31, 2022.
Publication: Estimating the Stochastic Discount Factor from Option Prices and Predicting the Equity Premium. Published Jul 9, 2026.
Publication: From Rough to Multifractal volatility: the log S-fBM model. Published Jan 24, 2022.
Publication: Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities. Published May 22, 2022.
Publication: The quintic Ornstein-Uhlenbeck volatility model that jointly calibrates SPX & VIX smiles. Published Dec 21, 2022.
Publication: Rough Volatility Across Assets. Published Aug 17, 2026.
Publication: A Multilevel Stochastic Approximation Algorithm for Value-at-Risk and Expected Shortfall Estimation. Published Mar 24, 2023.
Publication: Method of Moments Estimation for Affine Stochastic Volatility Models. Published Aug 17, 2024.
Publication: Small-time central limit theorems for stochastic Volterra integral equations and their Markovian lifts. Published Dec 20, 2024.
Publication: Probability Weighting Meets Heavy Tails: An Econometric Framework for Behavioral Asset Pricing. Published Nov 20, 2025.
Publication: Expanding the rough Heston model in $H$. Published Jun 15, 2026.
Publication: Short-time expansion of characteristic functions in a rough volatility setting with applications. Published Aug 1, 2022.
