Works matching IS 09601627 AND DT 2023 AND VI 33 AND IP 4

Results: 13

Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1044, doi. 10.1111/mafi.12413

By:

Kolm, Petter N.;
Turiel, Jeremy;
Westray, Nicholas

Publication type:

Article

Mean–variance hedging of contingent claims with random maturity.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1213, doi. 10.1111/mafi.12411

By:

Kladívko, Kamil;
Zervos, Mihail

Publication type:

Article

Crypto quanto and inverse options.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1005, doi. 10.1111/mafi.12410

By:

Alexander, Carol;
Chen, Ding;
Imeraj, Arben

Publication type:

Article

Closed‐loop Nash competition for liquidity.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1082, doi. 10.1111/mafi.12409

By:

Micheli, Alessandro;
Muhle‐Karbe, Johannes;
Neuman, Eyal

Publication type:

Article

Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1248, doi. 10.1111/mafi.12408

By:

Liang, Gechun;
Strub, Moris S.;
Wang, Yuwei

Publication type:

Article

Discrete‐time risk sensitive portfolio optimization with proportional transaction costs.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1287, doi. 10.1111/mafi.12406

By:

Pitera, Marcin;
Stettner, Łukasz

Publication type:

Article

Epstein‐Zin utility maximization on a random horizon.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1370, doi. 10.1111/mafi.12404

By:

Aurand, Joshua;
Huang, Yu‐Jui

Publication type:

Article

Trading under the proof‐of‐stake protocol – A continuous‐time control approach.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 979, doi. 10.1111/mafi.12403

By:

Tang, Wenpin;
Yao, David D.

Publication type:

Article

Learning equilibrium mean‐variance strategy.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1166, doi. 10.1111/mafi.12402

By:

Dai, Min;
Dong, Yuchao;
Jia, Yanwei

Publication type:

Article

The log‐moment formula for implied volatility.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1146, doi. 10.1111/mafi.12396

By:

Raval, Vimal;
Jacquier, Antoine

Publication type:

Article

Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1314, doi. 10.1111/mafi.12393

By:

Zhu, Wenhao;
Li, Lujun;
Yang, Jingping;
Xie, Jiehua;
Sun, Liulei

Publication type:

Article

Local volatility under rough volatility.

Published in:

Mathematical Finance, 2023, v. 33, n. 4, p. 1119, doi. 10.1111/mafi.12392

By:

Bourgey, Florian;
De Marco, Stefano;
Friz, Peter K.;
Pigato, Paolo

Publication type:

Article

Issue Information.

Published in:: Mathematical Finance, 2023, v. 33, n. 4, p. 977, doi. 10.1111/mafi.12353
Publication type:: Article