专题:Stochastic processes and financial applications

This cluster of papers focuses on the theory and applications of option pricing models, including topics such as stochastic calculus, jump diffusion, volatility modeling, mean field games, term structure models, risk premia, Monte Carlo simulation, and market microstructure noise in the context of financial economics.
最新文献
Capital for Structured Products

preprint Full Text OpenAlex

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches

preprint Full Text OpenAlex

Testing mean stationarity of intraday volatility curves

article Full Text OpenAlex

A nonstandard numerical scheme for a novel SECIR integro-differential equation-based model allowing nonexponentially distributed stay times

article Full Text OpenAlex

Stochastic differential equations

book-chapter Full Text OpenAlex

A Policy Gradient Framework for Stochastic Optimal Control Problems with Global Convergence Guarantee

article Full Text OpenAlex

Estimation of Out-of-Sample Sharpe Ratio for High Dimensional Portfolio Optimization

article Full Text OpenAlex

Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector

article Full Text OpenAlex

Kernel Learning for Mean-Variance Trading Strategies

preprint Full Text OpenAlex

Optimal consumption and investment with a costly reversible job-switching option

article Full Text OpenAlex

近5年高被引文献
Foundations of Modern Probability

book Full Text OpenAlex 3173 FWCI22.72

Stochastic Approximation: A Dynamical Systems Viewpoint

book Full Text OpenAlex 937 FWCI19.172

Finance and Economics Discussion Series

paratext Full Text OpenAlex 569 FWCI0

A Preferred‐Habitat Model of the Term Structure of Interest Rates

article Full Text OpenAlex 297 FWCI46.798

Asset Pricing with Omitted Factors

article Full Text OpenAlex 296 FWCI42.238

Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

article Full Text OpenAlex 135 FWCI11.219

Stochastic Limit Theory

book Full Text OpenAlex 130 FWCI4.17

Prospect Theory and Stock Market Anomalies

article Full Text OpenAlex 128 FWCI20.226

Deep Splitting Method for Parabolic PDEs

article Full Text OpenAlex 124 FWCI8.415

Ultra-slow-roll inflation with quantum diffusion

article Full Text OpenAlex 107 FWCI8.806