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Quant finance research papers
9383 research papers selected for learning quantitative finance. Highlighted picks come first. Showing 5851–5900; page 118 of 188.
On Control of Drawdown: Robust Invariance and Optimality
Chung-Han Hsieh · 2026 · advanced · risk management
mathematical finance · optimization · portfolio management · risk management · stochastic processes
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
Yuri Kabanov, Artur Sidorenko · 2026 · advanced · stochastic calculus
optimization · portfolio optimization · stochastic processes · transaction costs
On Cost-Sensitive Distributionally Robust Log-Optimal Portfolio
Chung-Han Hsieh, Xiao-Rou Yu · 2024 · advanced · portfolio management
optimization · portfolio management · portfolio optimization · transaction costs
On Data-Driven Log-Optimal Portfolio: A Sliding Window Approach
Pei-Ting Wang, Chung-Han Hsieh · 2022 · intermediate · portfolio management
mathematical finance · optimization · portfolio management · portfolio optimization
On data-driven robust distortion risk measures for non-negative risks with partial information
Xiangyu Han, Yijun Hu, Ran Wang · 2025 · advanced · risk management
optimization
On deep calibration of (rough) stochastic volatility models
Christian Bayer, Blanka Horvath, Aitor Muguruza · 2019 · advanced · machine learning
deep learning · machine learning · model calibration · neural networks · option pricing · rough volatility
On Deep Learning for computing the Dynamic Initial Margin and Margin Value Adjustment
Joel P. Villarino, Álvaro Leitao · 2024 · advanced · risk management
credit risk · deep learning · interest rates · machine learning · monte carlo simulation · neural networks
On Detecting Spoofing Strategies in High Frequency Trading
Xuan Tao, Andrew Day, Lan Ling · 2020 · advanced · quantitative trading
high frequency trading · market microstructure
On Evaluating Loss Functions for Stock Ranking: An Empirical Analysis With Transformer Model
Jan Kwiatkowski, Jarosław A. Chudziak · 2025 · advanced · machine learning
deep learning · financial machine learning · machine learning · neural networks
On expansions for the Black-Scholes prices and hedge parameters
Jean-Philippe Aguilar · 2018 · advanced · options
mathematical finance · option greeks · option pricing
On explicit solutions to a class of quadratic BSDEJs driven by affine Volterra processes with jumps and applications
Sigui Brice Dro, Emmanuel Gnabeyeu · 2026 · advanced · stochastic calculus
jump processes · optimization · portfolio management · stochastic calculus · stochastic differential equations · stochastic processes
On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options
Ludovic Mathys · 2019 · advanced · options
derivatives · numerical methods · option pricing
On Frequency-Based Optimal Portfolio with Transaction Costs
Chung-Han Hsieh, Yi-Shan Wong · 2023 · advanced · portfolio management
convex optimization · optimization · portfolio optimization · transaction costs
On Geometrically Convex Risk Measures
Mücahit Aygün, Fabio Bellini, Roger J. A. Laeven · 2024 · advanced · risk management
mathematical finance
On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
Emmanuel Gnabeyeu, Gilles Pagès, Mathieu Rosenbaum · 2025 · advanced · stochastic calculus
calculus · mathematical finance · stochastic differential equations · stochastic processes
On intermediate Marginals in Martingale Optimal Transportation
Julian Sester · 2023 · advanced · options
derivatives · martingales · option pricing
On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures
Tong Pu, Yifei Zhang, Yiying Zhang · 2024 · advanced · risk management
contagion · copulas · systemic risk
On lead-lag estimation of non-synchronously observed point processes
Takaaki Shiotani, Takaki Hayashi, Yuta Koike · 2026 · advanced · statistics
statistics · stochastic processes
On monotone completion of risk markets: Limit results for incomplete risk markets
Iman Khajepour, Geoffrey Pritchard, Danny Ralph · 2025 · advanced · risk management
risk management
On multivariate contribution measures of systemic risk with applications in cryptocurrency market
Limin Wen, Junxue Li, Tong Pu · 2024 · advanced · risk management
cryptocurrencies · systemic risk
On non-uniqueness in the option valuation problem
Ekaterina A. Ladykova, Olga S. Rozanova · 2025 · advanced · options
option pricing · partial differential equations
On non-uniqueness of solutions to degenerate parabolic equations in the context of option pricing in the Heston model
Ruslan R. Boyko · 2025 · advanced · options
mathematical finance · option pricing · partial differential equations
On Noncommutative Quantum Mechanics and the Black-Scholes Model
Abraham Espinoza-García, Pablo Vega-Lara, Luis Rey Díaz-Barrón · 2025 · advanced · options
mathematical finance · option pricing
On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
Lijun Bo, Yijie Huang, Xiang Yu · 2023 · advanced · portfolio management
brownian motion · optimization · portfolio management · reinforcement learning · stochastic processes
On options-driven realized volatility forecasting: Information gains via rough volatility model
Zheqi Fan, Meng Melody Wang, Yifan Ye · 2026 · advanced · time series
rough volatility · time series · volatility forecasting
On Parametric Optimal Execution and Machine Learning Surrogates
Tao Chen, Mike Ludkovski, Moritz Voß · 2022 · advanced · quantitative trading
optimal execution · optimization · stochastic processes
On Portfolio Choice with Savoring and Disappointment
Elyès Jouini, Paul Karehnke, Clotilde Napp · 2013 · advanced · portfolio management
portfolio management
On Portfolio Frictions, Asset Returns and Volatility *
Aurélien Eyquem, Céline Poilly, Anna Belianska · 2023 · advanced · fixed income
econometrics · fixed income · interest rates
On Prudence of Risk Measures
Niushan Gao, Denny H. Leung, Foivos Xanthos · 2026 · advanced · risk management
mathematical finance
On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models
Eric Ghysels, Jack Morgan · 2024 · advanced · other
algorithms · asset pricing · mathematical finance
On Quantum BSDE Solver for High-Dimensional Parabolic PDEs
Howard Su, Huan-Hsin Tseng · 2025 · advanced · machine learning
machine learning · monte carlo simulation · partial differential equations · stochastic differential equations
On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500
Lech A. Grzelak · 2022 · advanced · options
derivatives · model calibration · monte carlo simulation · option pricing · stochastic processes
On Reference-Regulated Multiperiod Mean-Variance Portfolio Optimization in High Dimensions
Yutao Deng, Jianjun Gao, Weichen Wang · 2026 · advanced · portfolio management
optimization · portfolio management · portfolio optimization
On regularity of finite-maturity American put options in the Heston model
Khai Nguyen, Huy Chau · 2026 · advanced · options
option pricing · partial differential equations
On Risks and Opportunities in Financial Markets
Simon D. Lansdorp · 2013 · advanced · statistics
statistics
On Secondary Buyouts
François Degeorge, Jens Martin, Ludovic Phalippou · 2013 · intermediate · other
other
On Shapley-Shubik Equilibria with Financial Markets
Gaël Giraud, Hubert Stahn · 2008 · advanced · other
financial economics
On short-time behavior of implied volatility in a market model with indexes
Huy N. Chau, Duy Nguyen, Thai Nguyen · 2024 · advanced · options
stochastic processes
On simulation of rough Volterra stochastic volatility models
Jan Matas, Jan Pospíšil · 2021 · advanced · options
brownian motion · monte carlo simulation · numerical methods · rough volatility · stochastic processes
On some semi-parametric estimates for European option prices
Carlo Marinelli · 2023 · advanced · options
option pricing · probability
On statistical arbitrage under a conditional factor model of equity returns
Trent Spears, Stefan Zohren, Stephen Roberts · 2023 · advanced · quantitative trading
statistical arbitrage · time series
On stochastic control problems with higher-order moments
Yike Wang, Jingzhen Liu, Alain Bensoussan · 2024 · advanced · stochastic calculus
optimization · partial differential equations · stochastic differential equations · stochastic processes
On Technical Bases and Surplus in Life Insurance
Oytun Haçarız, Torsten Kleinow, Angus S. Macdonald · 2023 · advanced · risk management
insurance · stochastic processes
On Tests of the Existence of Time Variable Risk Premia in the Forward Foreign Exchange Market
Bossaerts, Peter · 1985 · advanced · statistics
foreign exchange · hypothesis testing · market efficiency
On the "mementum" of Meme Stocks
Michele Costola, Matteo Iacopini, Carlo R. M. A. Santagiustina · 2021 · intermediate · time series
econometrics · time series
On the accuracy of linear DSGE solution methods and the consequences for log-normal asset pricing
Meyer-Gohde, Alexander · 2021 · advanced · other
asset pricing · linear algebra · numerical methods
On the Application of Laplace Transform to the Ruin Problem with Random Insurance Payments and Investments in a Risky Asset
Viktor Antipov · 2025 · advanced · risk management
brownian motion · insurance · stochastic processes
On the approximation of posterior laws in compound loss models by conditional Wasserstein GANs
Aleksandar Arandjelovic, Pavel V. Shevchenko, George Tzougas · 2026 · advanced · risk management
bayesian statistics · deep learning · insurance · machine learning · neural networks · statistical inference
On the asymptotic shape of quantile surfaces
Florian Gach, Simon Hochgerner · 2026 · advanced · risk management
risk management · statistics
On the autocorrelation of the stock market
Martin, Ian · 2021 · advanced · time series
equity markets · option pricing