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VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS.
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- International Journal of Theoretical & Applied Finance, 2013, v. 16, n. 6, p. -1, doi. 10.1142/S0219024913500349
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- Article
ENERGY SPOT PRICE MODELS AND SPREAD OPTIONS PRICING.
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- International Journal of Theoretical & Applied Finance, 2007, v. 10, n. 7, p. 1111, doi. 10.1142/S0219024907004573
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- Article
Reinforcement learning with dynamic convex risk measures.
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- Mathematical Finance, 2024, v. 34, n. 2, p. 557, doi. 10.1111/mafi.12388
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- Article
A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets.
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- Mathematical Finance, 2022, v. 32, n. 3, p. 779, doi. 10.1111/mafi.12345
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- Article
Hedging nontradable risks with transaction costs and price impact.
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- Mathematical Finance, 2020, v. 30, n. 3, p. 833, doi. 10.1111/mafi.12259
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- Article
Mean‐field games with differing beliefs for algorithmic trading.
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- Mathematical Finance, 2020, v. 30, n. 3, p. 995, doi. 10.1111/mafi.12237
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- Article
Trading algorithms with learning in latent alpha models.
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- Mathematical Finance, 2019, v. 29, n. 3, p. 735, doi. 10.1111/mafi.12194
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- Article
Trading co‐integrated assets with price impact.
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- Mathematical Finance, 2019, v. 29, n. 2, p. 542, doi. 10.1111/mafi.12181
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- Article
RISK METRICS AND FINE TUNING OF HIGH-FREQUENCY TRADING STRATEGIES.
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- Mathematical Finance, 2015, v. 25, n. 3, p. 576, doi. 10.1111/mafi.12023
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- Article
INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT.
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- Mathematical Finance, 2012, v. 22, n. 1, p. 57, doi. 10.1111/j.1467-9965.2010.00457.x
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- Article
Using managerial revenue and cost estimates to value early stage real option investments.
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- Annals of Operations Research, 2017, v. 259, n. 1/2, p. 173, doi. 10.1007/s10479-016-2344-8
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- Article
Reinforcement learning and stochastic optimisation.
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- Finance & Stochastics, 2022, v. 26, n. 1, p. 103, doi. 10.1007/s00780-021-00467-2
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- Article
Phase Transition in Quantum Gravity?
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- Modern Physics Letters A, 1999, v. 14, n. 16, p. 1079, doi. 10.1142/S0217732399001152
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- Article
LATENCY AND LIQUIDITY RISK.
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- International Journal of Theoretical & Applied Finance, 2021, v. 24, n. 6n7, p. 1, doi. 10.1142/S0219024921500357
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- Article
TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 3, p. N.PAG, doi. 10.1142/S0219024918500255
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- Article
IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 7, p. -1, doi. 10.1142/S0219024917500443
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- Article
ALGORITHMIC TRADING OF CO-INTEGRATED ASSETS.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 6, p. -1, doi. 10.1142/S0219024916500382
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- Article
ALGORITHMIC TRADING WITH LEARNING.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 4, p. -1, doi. 10.1142/S021902491650028X
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- Article