| Publication | Date of Publication | Type |
|---|
Asymptotic properties of ReLU FFN sieve estimators
Studies in Nonlinear Dynamics and Econometrics | 2026-03-24 | Paper |
Fifty years at the interface between financial modeling and operations research
European Journal of Operational Research | 2025-12-02 | Paper |
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon
Econometric Reviews | 2025-11-26 | Paper |
Enhancing Markowitz's portfolio selection paradigm with machine learning
Annals of Operations Research | 2025-03-21 | Paper |
Enhancing mean-variance portfolio optimization through GANs-based anomaly detection
Annals of Operations Research | 2025-03-21 | Paper |
High-dimensional macroeconomic stress testing of corporate recovery rate
Quantitative Finance | 2025-02-10 | Paper |
Portfolio optimization with relative tail risk
Annals of Operations Research | 2024-11-27 | Paper |
Robust portfolio optimization with fuzzy TODIM, genetic algorithm and multi-criteria constraints
Annals of Operations Research | 2024-07-16 | Paper |
Extending the Merton model with applications to credit value adjustment
Annals of Operations Research | 2023-07-31 | Paper |
Identifying household finance heterogeneity via deep clustering
Annals of Operations Research | 2023-07-13 | Paper |
Incorporating financial news for forecasting Bitcoin prices based on long short-term memory networks
Quantitative Finance | 2023-06-20 | Paper |
Computational aspects of portfolio risk estimation in volatile markets: a survey
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Annals of Operations Research | 2022-07-05 | Paper |
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Journal of Economic Dynamics and Control | 2022-05-16 | Paper |
Multiple subordinated modeling of asset returns: implications for option pricing
Econometric Reviews | 2022-03-04 | Paper |
Intertemporal defaulted bond recoveries prediction via machine learning
European Journal of Operational Research | 2021-12-13 | Paper |
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Annals of Finance | 2020-04-20 | Paper |
PRICING DERIVATIVES IN HERMITE MARKETS
International Journal of Theoretical and Applied Finance | 2019-11-08 | Paper |
Market implied volatilities for defaultable bonds
Annals of Operations Research | 2019-10-15 | Paper |
Probability metrics with applications in finance
Journal of Statistical Theory and Practice | 2019-09-13 | Paper |
Analytical-numeric formulas for the probability density function of multivariate stable and geo-stable distributions
Journal of Statistical Theory and Practice | 2019-08-27 | Paper |
A three-factor model for mortality modeling
North American Actuarial Journal | 2019-05-28 | Paper |
A methodology for index tracking based on time-series clustering
Quantitative Finance | 2019-01-15 | Paper |
Effects of spot market short-sale constraints on index futures trading
Review of Finance | 2018-11-20 | Paper |
Extracting market information from equity options with exponential Lévy processes
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Multiperiod conditional valuation of barrier options with incomplete information
Quantitative Finance | 2018-09-19 | Paper |
Local volatility and the recovery rate of credit default swaps
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Improving corporate bond recovery rate prediction using multi-factor support vector regressions
European Journal of Operational Research | 2018-07-25 | Paper |
An improved least squares Monte Carlo valuation method based on heteroscedasticity
European Journal of Operational Research | 2018-02-06 | Paper |
Financial markets with no riskless (safe) asset
International Journal of Theoretical and Applied Finance | 2018-01-11 | Paper |
Fuzzy decision fusion approach for loss-given-default modeling
European Journal of Operational Research | 2017-12-06 | Paper |
Tempered stable Ornstein– Uhlenbeck processes: A practical view
Communications in Statistics. Simulation and Computation | 2017-03-03 | Paper |
Intensity-based framework for surrender modeling in life insurance
Insurance Mathematics & Economics | 2017-01-31 | Paper |
| Fractional calculus and fractional processes with applications to financial economics. Theory and applications | 2016-10-07 | Paper |
An improved method for pricing and hedging long dated American options
European Journal of Operational Research | 2016-10-07 | Paper |
Riding with the four horsemen and the multivariate normal tempered stable model
International Journal of Theoretical and Applied Finance | 2016-06-22 | Paper |
Discussion of `On simulation and properties of the stable law' by Devroye and James
Statistical Methods and Applications | 2016-03-17 | Paper |
Smooth monotone covariance for elliptical distributions and applications in finance
Quantitative Finance | 2015-04-16 | Paper |
Bayesian estimation of truncated data with applications to operational risk measurement
Quantitative Finance | 2015-04-08 | Paper |
60 years of portfolio optimization: practical challenges and current trends
European Journal of Operational Research | 2015-02-03 | Paper |
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
Economics Letters | 2014-08-07 | Paper |
| Mathematical methods for finance. Tools for asset and risk management | 2014-02-27 | Paper |
A new method for generating approximation algorithms for financial mathematics applications
Quantitative Finance | 2014-01-30 | Paper |
Portfolio selection problems consistent with given preference orderings
International Journal of Theoretical and Applied Finance | 2013-10-21 | Paper |
Factor uniqueness in the S\(\&\)P 500 universe: can proprietary factors exist?
International Journal of Theoretical and Applied Finance | 2013-08-15 | Paper |
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Annals of Operations Research | 2013-08-07 | Paper |
| The methods of distances in the theory of probability and statistics. | 2012-09-12 | Paper |
Option pricing and hedging under a stochastic volatility Lévy process model
Review of Derivatives Research | 2012-07-17 | Paper |
Metrization of stochastic dominance rules
International Journal of Theoretical and Applied Finance | 2012-05-07 | Paper |
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates
Insurance Mathematics & Economics | 2012-04-18 | Paper |
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
Annals of Finance | 2012-03-06 | Paper |
Comment on ``Weak convergence to a matrix stochastic integral with stable processes''
Econometric Theory | 2011-08-16 | Paper |
Calibrating affine stochastic mortality models using term assurance premiums
Insurance Mathematics & Economics | 2011-08-01 | Paper |
| scientific article; zbMATH DE number 5901077 (Why is no real title available?) | 2011-05-30 | Paper |
| Probability and statistics for finance. | 2011-04-13 | Paper |
| Financial models with Lévy processes and volatility clustering. | 2011-03-14 | Paper |
| scientific article; zbMATH DE number 5865552 (Why is no real title available?) | 2011-03-14 | Paper |
Approximation of aggregate and extremal losses within the very heavy tails framework
Quantitative Finance | 2010-12-20 | Paper |
Multi-tail generalized elliptical distributions for asset returns
Econometrics Journal | 2010-10-15 | Paper |
Robust portfolios: contributions from operations research and finance
Annals of Operations Research | 2010-09-20 | Paper |
Stochastic models for risk estimation in volatile markets: a survey
Annals of Operations Research | 2010-09-20 | Paper |
Index-exciting CAViaR: a new empirical time-varying risk model
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Portfolio selection with uncertain exit time: a robust CVaR approach
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Construction of probability metrics on classes of investors
Economics Letters | 2009-12-21 | Paper |
Portfolio selection under distributional uncertainty: a relative robust CVaR approach
European Journal of Operational Research | 2009-12-07 | Paper |
Estimating risk-neutral density with parametric models in interest rate markets
Quantitative Finance | 2009-10-12 | Paper |
Orderings and Probability Functionals Consistent with Preferences
Applied Mathematical Finance | 2009-09-13 | Paper |
| scientific article; zbMATH DE number 5589676 (Why is no real title available?) | 2009-08-03 | Paper |
| scientific article; zbMATH DE number 5589692 (Why is no real title available?) | 2009-08-03 | Paper |
Introduction to special issue: Studies in mathematical and empirical finance
Mathematical Methods of Operations Research | 2009-07-06 | Paper |
Black swans and white eagles: On mathematics and finance
Mathematical Methods of Operations Research | 2009-07-06 | Paper |
| Orderings and risk probability functionals in portfolio theory | 2009-03-17 | Paper |
Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns
Contributions to Economics | 2009-02-26 | Paper |
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
Contributions to Economics | 2009-02-26 | Paper |
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
International Journal of Theoretical and Applied Finance | 2008-05-20 | Paper |
Optimal Financial Portfolios
Applied Mathematical Finance | 2008-01-31 | Paper |
Robust portfolio selection with uncertain exit time using worst-case VaR strategy
Operations Research Letters | 2008-01-11 | Paper |
Stable distributions in the Black–Litterman approach to asset allocation
Quantitative Finance | 2007-10-22 | Paper |
| scientific article; zbMATH DE number 5145314 (Why is no real title available?) | 2007-04-20 | Paper |
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
European Journal of Operational Research | 2006-12-07 | Paper |
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
International Journal of Theoretical and Applied Finance | 2006-10-16 | Paper |
On risk management problems related to a coherence property
Quantitative Finance | 2006-06-16 | Paper |
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
International Journal of Theoretical and Applied Finance | 2005-03-18 | Paper |
A Portfolio Approach to Capital Budgeting: An Application to the Expansion to Additional Product Lines
The Journal of the Operational Research Society | 1978-01-01 | Paper |
