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Recent advances in mathematical methods for finance.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1, doi. 10.1007/s10479-024-05959-w
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A general framework for a joint calibration of VIX and VXX options.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 3, doi. 10.1007/s10479-023-05205-9
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Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 27, doi. 10.1007/s10479-022-04924-9
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Large and moderate deviations for importance sampling in the Heston model.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 47, doi. 10.1007/s10479-023-05424-0
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Short-time implied volatility of additive normal tempered stable processes.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 93, doi. 10.1007/s10479-022-04894-y
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CBI-time-changed Lévy processes for multi-currency modeling.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 127, doi. 10.1007/s10479-022-04982-z
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Pricing interest rate derivatives under volatility uncertainty.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 153, doi. 10.1007/s10479-022-04921-y
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XVA modelling: validation, performance and model risk management.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 183, doi. 10.1007/s10479-023-05323-4
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Commodity Asian option pricing and simulation in a 4-factor model with jump clusters.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 275, doi. 10.1007/s10479-022-05152-x
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An efficient unified approach for spread option pricing in a copula market model.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 307, doi. 10.1007/s10479-023-05549-2
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Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 331, doi. 10.1007/s10479-023-05315-4
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From regression models to machine learning approaches for long term Bitcoin price forecast.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 359, doi. 10.1007/s10479-023-05444-w
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Random fixed points, systemic risk and resilience of heterogeneous financial network.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 383, doi. 10.1007/s10479-022-05137-w
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- Article
Multivariate systemic optimal risk transfer equilibrium.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 435, doi. 10.1007/s10479-022-04652-0
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Computing the probability of a financial market failure: a new measure of systemic risk.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 481, doi. 10.1007/s10479-022-05146-9
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Instabilities in multi-asset and multi-agent market impact games.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 505, doi. 10.1007/s10479-022-05066-8
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MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 541, doi. 10.1007/s10479-023-05270-0
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A Stackelberg order execution game.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 571, doi. 10.1007/s10479-022-05120-5
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- Article
Optimal order execution under price impact: a hybrid model.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 605, doi. 10.1007/s10479-022-05082-8
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Self-exciting price impact via negative resilience in stochastic order books.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 637, doi. 10.1007/s10479-022-04973-0
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Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 661, doi. 10.1007/s10479-022-05130-3
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Ergodic aspects of trading with threshold strategies.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 691, doi. 10.1007/s10479-023-05233-5
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Stochastic optimization with dynamic probabilistic forecasts.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 711, doi. 10.1007/s10479-022-04913-y
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Dynamic capital allocation rules via BSDEs: an axiomatic approach.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 749, doi. 10.1007/s10479-022-04917-8
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Effect of labour income on the optimal bankruptcy problem.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 773, doi. 10.1007/s10479-023-05166-z
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On horizon-consistent mean-variance portfolio allocation.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 797, doi. 10.1007/s10479-022-04798-x
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Inf-convolution and optimal risk sharing with countable sets of risk measures.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 829, doi. 10.1007/s10479-022-04593-8
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The importance of dynamic risk constraints for limited liability operators.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 861, doi. 10.1007/s10479-023-05295-5
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MAD risk parity portfolios.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 899, doi. 10.1007/s10479-023-05797-2
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Implied value-at-risk and model-free simulation.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 925, doi. 10.1007/s10479-022-05048-w
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Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 945, doi. 10.1007/s10479-023-05396-1
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Qualitative robustness of utility-based risk measures.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 967, doi. 10.1007/s10479-022-04885-z
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Robust reinsurance and investment strategies under principal–agent framework.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 981, doi. 10.1007/s10479-022-04696-2
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Convex duality in continuous option pricing models.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1013, doi. 10.1007/s10479-022-05143-y
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Co-movements, option pricing and risk management: an application to WTI versus Brent spread options.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1039, doi. 10.1007/s10479-022-05059-7
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A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1063, doi. 10.1007/s10479-023-05249-x
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Seasonality in commodity prices: new approaches for pricing plain vanilla options.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1089, doi. 10.1007/s10479-022-05128-x
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Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1133, doi. 10.1007/s10479-023-05273-x
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Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge–Kantorovich formulation.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1161, doi. 10.1007/s10479-023-05385-4
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Bridging socioeconomic pathways of CO2 emission and credit risk.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1197, doi. 10.1007/s10479-022-05135-y
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A multi-criteria approach to evolve sparse neural architectures for stock market forecasting.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1219, doi. 10.1007/s10479-023-05715-6
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Stochastic Volterra equations with time-changed Lévy noise and maximum principles.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1265, doi. 10.1007/s10479-023-05303-8
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Anticipative information in a Brownian−Poisson market.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1289, doi. 10.1007/s10479-022-05060-0
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Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1315, doi. 10.1007/s10479-023-05293-7
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Proxying credit curves via Wasserstein distances.
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- Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1351, doi. 10.1007/s10479-022-04552-3
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