Works matching IS 02545330 AND DT 2024 AND VI 336 AND IP 1/2

Results: 45

From regression models to machine learning approaches for long term Bitcoin price forecast.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 359, doi. 10.1007/s10479-023-05444-w

By:

Caliciotti, Andrea;
Corazza, Marco;
Fasano, Giovanni

Publication type:

Article

Recent advances in mathematical methods for finance.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1, doi. 10.1007/s10479-024-05959-w

By:

Callegaro, Giorgia;
Fontana, Claudio;
Grasselli, Martino;
Runggaldier, Wolfgang J.;
Vargiolu, Tiziano

Publication type:

Article

MAD risk parity portfolios.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 899, doi. 10.1007/s10479-023-05797-2

By:

Ararat, Çağın;
Cesarone, Francesco;
Pınar, Mustafa Çelebi;
Ricci, Jacopo Maria

Publication type:

Article

A multi-criteria approach to evolve sparse neural architectures for stock market forecasting.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1219, doi. 10.1007/s10479-023-05715-6

By:

Hafiz, Faizal;
Broekaert, Jan;
La Torre, Davide;
Swain, Akshya

Publication type:

Article

An efficient unified approach for spread option pricing in a copula market model.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 307, doi. 10.1007/s10479-023-05549-2

By:

Berton, Edoardo;
Mercuri, Lorenzo

Publication type:

Article

Large and moderate deviations for importance sampling in the Heston model.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 47, doi. 10.1007/s10479-023-05424-0

By:

Geha, Marc;
Jacquier, Antoine;
Žurič, Žan

Publication type:

Article

Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 945, doi. 10.1007/s10479-023-05396-1

By:

Abudurexiti, Nuerxiati;
He, Kai;
Hu, Dongdong;
Rachev, Svetlozar T.;
Sayit, Hasanjan;
Sun, Ruoyu

Publication type:

Article

Optimal ecological transition path of a credit portfolio distribution, based on multidate Monge–Kantorovich formulation.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1161, doi. 10.1007/s10479-023-05385-4

By:

Gobet, Emmanuel;
Lage, Clara

Publication type:

Article

XVA modelling: validation, performance and model risk management.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 183, doi. 10.1007/s10479-023-05323-4

By:

Silotto, Lorenzo;
Scaringi, Marco;
Bianchetti, Marco

Publication type:

Article

Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 331, doi. 10.1007/s10479-023-05315-4

By:

Glau, Kathrin;
Wunderlich, Linus

Publication type:

Article

Stochastic Volterra equations with time-changed Lévy noise and maximum principles.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1265, doi. 10.1007/s10479-023-05303-8

By:

di Nunno, Giulia;
Giordano, Michele

Publication type:

Article

The importance of dynamic risk constraints for limited liability operators.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 861, doi. 10.1007/s10479-023-05295-5

By:

Armstrong, John;
Brigo, Damiano;
Tse, Alex S. L.

Publication type:

Article

Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1315, doi. 10.1007/s10479-023-05293-7

By:

Cuchiero, Christa;
Reisinger, Christoph;
Rigger, Stefan

Publication type:

Article

Evaluating the optimal timing and capacity of investments in flexible combined heat and power generation for energy-intensive industries.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1133, doi. 10.1007/s10479-023-05273-x

By:

Zormpas, Dimitrios;
Oggioni, Giorgia

Publication type:

Article

MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 541, doi. 10.1007/s10479-023-05270-0

By:

Alasseur, Clémence;
Campi, Luciano;
Dumitrescu, Roxana;
Zeng, Jia

Publication type:

Article

A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1063, doi. 10.1007/s10479-023-05249-x

By:

Biancardi, Marta;
Bufalo, Michele;
Di Bari, Antonio;
Villani, Giovanni

Publication type:

Article

Ergodic aspects of trading with threshold strategies.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 691, doi. 10.1007/s10479-023-05233-5

By:

Lovas, Attila;
Rásonyi, Miklós

Publication type:

Article

A general framework for a joint calibration of VIX and VXX options.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 3, doi. 10.1007/s10479-023-05205-9

By:

Grasselli, Martino;
Mazzoran, Andrea;
Pallavicini, Andrea

Publication type:

Article

Effect of labour income on the optimal bankruptcy problem.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 773, doi. 10.1007/s10479-023-05166-z

By:

Ding, Guodong;
Marazzina, Daniele

Publication type:

Article

Commodity Asian option pricing and simulation in a 4-factor model with jump clusters.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 275, doi. 10.1007/s10479-022-05152-x

By:

Brignone, Riccardo;
Gonzato, Luca;
Sgarra, Carlo

Publication type:

Article

Computing the probability of a financial market failure: a new measure of systemic risk.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 481, doi. 10.1007/s10479-022-05146-9

By:

Jarrow, Robert;
Protter, Philip;
Quintos, Alejandra

Publication type:

Article

Convex duality in continuous option pricing models.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1013, doi. 10.1007/s10479-022-05143-y

By:

Carr, Peter;
Torricelli, Lorenzo

Publication type:

Article

Random fixed points, systemic risk and resilience of heterogeneous financial network.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 383, doi. 10.1007/s10479-022-05137-w

By:

Saha, Indrajit;
Kavitha, Veeraruna

Publication type:

Article

Bridging socioeconomic pathways of CO2 emission and credit risk.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1197, doi. 10.1007/s10479-022-05135-y

By:

Bourgey, Florian;
Gobet, Emmanuel;
Jiao, Ying

Publication type:

Article

Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 661, doi. 10.1007/s10479-022-05130-3

By:

Davis, Mark;
Lleo, Sébastien

Publication type:

Article

Seasonality in commodity prices: new approaches for pricing plain vanilla options.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1089, doi. 10.1007/s10479-022-05128-x

By:

Frau, Carme;
Fanelli, Viviana

Publication type:

Article

A Stackelberg order execution game.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 571, doi. 10.1007/s10479-022-05120-5

By:

Dong, Yinhong;
Du, Donglei;
Han, Qiaoming;
Ren, Jianfeng;
Xu, Dachuan

Publication type:

Article

CBI-time-changed Lévy processes for multi-currency modeling.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 127, doi. 10.1007/s10479-022-04982-z

By:

Fontana, Claudio;
Gnoatto, Alessandro;
Szulda, Guillaume

Publication type:

Article

Instabilities in multi-asset and multi-agent market impact games.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 505, doi. 10.1007/s10479-022-05066-8

By:

Cordoni, Francesco;
Lillo, Fabrizio

Publication type:

Article

Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 27, doi. 10.1007/s10479-022-04924-9

By:

Raffaelli, Iacopo;
Scotti, Simone;
Toscano, Giacomo

Publication type:

Article

Co-movements, option pricing and risk management: an application to WTI versus Brent spread options.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1039, doi. 10.1007/s10479-022-05059-7

By:

De Giovanni, Domenico;
Leccadito, Arturo;
Loccisano, Debora

Publication type:

Article

Implied value-at-risk and model-free simulation.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 925, doi. 10.1007/s10479-022-05048-w

By:

Bernard, Carole;
Perchiazzo, Andrea;
Vanduffel, Steven

Publication type:

Article

Optimal order execution under price impact: a hybrid model.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 605, doi. 10.1007/s10479-022-05082-8

By:

Di Giacinto, Marina;
Tebaldi, Claudio;
Wang, Tai-Ho

Publication type:

Article

Self-exciting price impact via negative resilience in stochastic order books.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 637, doi. 10.1007/s10479-022-04973-0

By:

Ackermann, Julia;
Kruse, Thomas;
Urusov, Mikhail

Publication type:

Article

Anticipative information in a Brownian−Poisson market.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1289, doi. 10.1007/s10479-022-05060-0

By:

D'Auria, Bernardo;
Salmeron, Jose A.

Publication type:

Article

Pricing interest rate derivatives under volatility uncertainty.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 153, doi. 10.1007/s10479-022-04921-y

By:

Hölzermann, Julian

Publication type:

Article

Dynamic capital allocation rules via BSDEs: an axiomatic approach.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 749, doi. 10.1007/s10479-022-04917-8

By:

Mastrogiacomo, Elisa;
Rosazza Gianin, Emanuela

Publication type:

Article

Stochastic optimization with dynamic probabilistic forecasts.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 711, doi. 10.1007/s10479-022-04913-y

By:

Tankov, Peter;
Tinsi, Laura

Publication type:

Article

Short-time implied volatility of additive normal tempered stable processes.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 93, doi. 10.1007/s10479-022-04894-y

By:

Azzone, Michele;
Baviera, Roberto

Publication type:

Article

Qualitative robustness of utility-based risk measures.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 967, doi. 10.1007/s10479-022-04885-z

By:

Koch-Medina, Pablo;
Munari, Cosimo

Publication type:

Article

On horizon-consistent mean-variance portfolio allocation.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 797, doi. 10.1007/s10479-022-04798-x

By:

Cerreia-Vioglio, Simone;
Ortu, Fulvio;
Rotondi, Francesco;
Severino, Federico

Publication type:

Article

Robust reinsurance and investment strategies under principal–agent framework.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 981, doi. 10.1007/s10479-022-04696-2

By:

Wang, Ning;
Siu, Tak Kuen;
Fan, Kun

Publication type:

Article

Multivariate systemic optimal risk transfer equilibrium.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 435, doi. 10.1007/s10479-022-04652-0

By:

Doldi, Alessandro;
Frittelli, Marco

Publication type:

Article

Inf-convolution and optimal risk sharing with countable sets of risk measures.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 829, doi. 10.1007/s10479-022-04593-8

By:

Righi, Marcelo Brutti;
Moresco, Marlon Ruoso

Publication type:

Article

Proxying credit curves via Wasserstein distances.

Published in:

Annals of Operations Research, 2024, v. 336, n. 1/2, p. 1351, doi. 10.1007/s10479-022-04552-3

By:

Michielon, Matteo;
Khedher, Asma;
Spreij, Peter

Publication type:

Article