DUCKQUANT / THE QUANT & AI DIRECTORY
14,444 resources, ranked by in-directory PageRank
Showing 5,977–6,012 of 14,444 resources
Publication: A compensatory model for quantile estimation and application to VaR. Published Dec 14, 2021.
Publication: A data-driven merit order: Learning a fundamental electricity price model. Published Jan 6, 2025.
Publication: Rough volatility dynamics in commodity markets. Published Mar 27, 2026.
Publication: Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation. Published Nov 12, 2020.
Publication: Magic strikes for variance and gamma contracts, and other attainable claims. Published Sep 27, 2026.
Publication: A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. Published Jan 14, 2020.
Publication: Analytic Calibration in Andreasen-Huge SABR Model. Published Aug 20, 2020.
Publication: Cubature Method for Stochastic Volterra Integral Equations. Published Oct 25, 2021.
Publication: Temporal Conformal Prediction (TCP): Rolling Calibration for Financial Risk Forecasting. Published Jul 7, 2025.
Publication: A Càdlàg Rough Path Foundation for Robust Finance. Published Sep 9, 2021.
Publication: Forecasting Realized Volatility Matrix With Copula-Based Models. Published Feb 20, 2020.
Publication: HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. Published Jun 12, 2024.
Publication: Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective. Published Mar 18, 2026.
Publication: Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator. Published Dec 29, 2019.
Publication: Ito-Wentzell Formula and Dupire Stochastic PDE. Published Jul 14, 2026.
Publication: Innovative Extensions to Option Pricing: Asymmetric Brownian Motion and Random Walk Approaches. Published Jun 21, 2026.
Abstract page for arXiv paper 2606.15502: Fast, Reliable, and Error-Bounded Option Pricing with Pretrained Neural Networks: A GJR--GARCH Study
Publication: Time series copula models using d-vines and v-transforms. Published Jun 19, 2020.
Publication: The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return. Published Jan 4, 2022.
Publication: A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field. Published Dec 18, 2019.
Publication: Filtering without recursion and some of its uses in financial economics. Published Sep 7, 2026.
Publication: How to handle negative interest rates in a CIR framework. Published Jun 7, 2021.
Publication: Optimal probabilistic forecasts for risk management. Published Mar 3, 2023.
Publication: Marking-Aware Sequential VaR Recalibration for Standardized Option Books. Published Apr 3, 2026.
Publication: Estimating Future VaR from Value Samples and Applications to Future Initial Margin. Published Apr 23, 2021.
Publication: Algorithmic Monitoring: Measuring Market Stress with Machine Learning. Published Feb 5, 2026.
Publication: Is Capability a Liability? More Capable Language Models Make Worse Forecasts When It Matters Most. Published May 21, 2026.
Publication: Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX. Published Mar 18, 2025.
Publication: Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics. Published Sep 28, 2025.
Publication: DeXposure: A Dataset and Benchmarks for Inter-protocol Credit Exposure in Decentralized Financial Networks. Published Nov 27, 2025.
Publication: Global Persistence, Local Residual Structure: Forecasting Heterogeneous Investment Panels. Published Apr 10, 2026.
Publication: Pricing Options Under Rough Volatility with Backward SPDEs. Published Aug 3, 2020.
Publication: Deep Stochastic Volatility Model. Published Feb 25, 2021.
Publication: Criteria for the absence of arbitrage in general diffusion markets. Published Jun 20, 2023.
Publication: Forecasting Realized Volatility with Time Series Foundation Models: A Comparison with Econometric Benchmarks. Published Jul 6, 2026.
Publication: Long memory score-driven models as approximations for rough Ornstein-Uhlenbeck processes. Published Sep 11, 2025.
