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Quant finance research papers
9383 research papers selected for learning quantitative finance. Highlighted picks come first. Showing 5901–5950; page 119 of 188.
On the Bachelier implied volatility at extreme strikes
Fabien Le Floc'h · 2022 · advanced · options
option pricing
On the binomial approximation of the American put
Damien Lamberton · 2018 · advanced · options
brownian motion · numerical methods · option pricing · stochastic processes
On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory
Assa Hirbod, Morales Manuel, Omidi Firouzi Hassan · 2016 · advanced · risk management
insurance · stochastic processes
On the closure in the Emery topology of semimartingale wealth-process sets
Kardaras, Constantinos · 2013 · advanced · stochastic calculus
mathematical finance · stochastic calculus · stochastic processes
On the Consequences of State Dependent Preferences for the Pricing of Financial Assets
Jean-Pierre Danthine, John B. Donaldson, Christos Giannikos · 2002 · advanced · other
asset pricing
On the Construction of Common Size, Value and Momentum Factors in International Stock Markets: A Guide with Applications
Peter S. Schmidt, Andreas Schrimpf, Urs von Arx · 2011 · intermediate · portfolio management
asset pricing · equity markets · factor investing · momentum
On the Convergence of Credit Risk in Current Consumer Automobile Loans
Jackson P. Lautier, Vladimir Pozdnyakov, Jun Yan · 2022 · advanced · risk management
credit risk · hypothesis testing · statistical inference
On the Correlation Structure of Microstructure Noise in Theory and Practice
Francis X. Diebold, Georg H. Strasser · 2008 · advanced · time series
econometrics · market microstructure
On the Design of Artificial Stock Markets
Boer-Sorban, K., de Bruin, A., Kaymak, U. · 2005 · intermediate · quantitative trading
quantitative trading
On the deterministic-shift extended CIR model in a negative interest rate framework
Marco Di Francesco, Kevin Kamm · 2022 · advanced · fixed income
interest rates · stochastic processes · term structure models
On the Difficulty of Measuring Forecasting Skill in Financial Markets
Satchell, S., Williams, O.J. · 2010 · advanced · portfolio management
financial economics
On the Economic Evaluation of Volatility Forecasts
Valeri Voev · 2009 · advanced · time series
volatility forecasting
On the Effect of Alpha Decay and Transaction Costs on the Multi-period Optimal Trading Strategy
Chutian Ma, Paul Smith · 2025 · advanced · quantitative trading
numerical methods · optimization · portfolio management · transaction costs
On the Effectiveness of Exchange Rate Interventions in Emerging Markets
Christian Daude, Eduardo Levy Yeyati, Arne Nagengast · 2014 · intermediate · time series
econometrics · economic policy · foreign exchange · panel data
On the Efficacy of Shorting Corporate Bonds as a Tail Risk Hedging Solution
Travis Cable, Amir Mani, Wei Qi · 2025 · intermediate · fixed income
credit risk · fixed income · liquidity risk · risk management · tail risk
On the Efficiency of 5(4) RK-Embedded Pairs with High Order Compact Scheme and Robin Boundary Condition for Options Valuation
Chinonso Nwankwo, Weizhong Dai · 2021 · advanced · options
numerical methods · option pricing · partial differential equations
On The Empirical Detection Of Financial Innovation
Hester, Donald D. · 1985 · intermediate · statistics
banking · hypothesis testing · statistical inference · statistics
On the entropy minimal martingale measure in the exponential Ornstein-Uhlenbeck stochastic volatility model
Yuri Kabanov, Mikhail A. Sonin · 2025 · advanced · stochastic calculus
stochastic processes
On the equivalence of financial structures with long-term assets
Jean-Marc Bonnisseau, Achis Chery · 2017 · advanced · other
financial economics · mathematical finance
On The Equivalence Of The Mean Variance Criterion And Stochastic Dominance Criteria
George Samartzis, Nikitas Pittis · 2022 · advanced · portfolio management
monte carlo simulation
On the Estimation of Own Funds for Life Insurers: A Study of Direct, Indirect, and Control Variate Methods in a Risk-Neutral Pricing Framework
Mark-Oliver Wolf · 2025 · advanced · risk management
insurance · monte carlo simulation · numerical methods
On the Estimation Stability of Efficiency and Economies of Scale in Microfinance Institutions
Thomas Bolli, Anh Vo Thi · 2012 · advanced · statistics
panel data
On the existence of financial equilibrium when beliefs are private
Lionel de Boisdeffre · 2012 · advanced · other
financial economics · probability
On the Existence of Linear Equilibria in the Rochet-Vila Model of Market Making
Nöldeke, Georg, Tröger, Thomas · 2004 · advanced · quantitative trading
market making · market microstructure
On the existence of personal equilibria
Laurence Carassus, Miklós Rásonyi · 2025 · advanced · other
mathematical finance · optimization
On the Expected Maximum Deficit and the Optimal Allocation of Reserves
Claude Lefevre, Pierre Zuyderhoff · 2026 · advanced · risk management
optimization · risk management · stochastic processes
On the exposure of insurance companies to sovereign risk − portfolio investments and market forces 1
Düll, Robert, König, Felix, Ohls, Jana · 2017 · intermediate · risk management
financial stability · insurance
On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V., Schürger, Klaus, Taksar, Michael I. · 2002 · advanced · stochastic calculus
asset pricing · mathematical finance
On the Generalized Brownian Motion and its Applications in Finance
Esben Høg, Per Skaarup Frederiksen, Daniel Schiemert · 2008 · advanced · fixed income
brownian motion · stochastic processes · term structure models
On the Guyon-Lekeufack Volatility Model
Marcel Nutz, Andrés Riveros Valdevenito · 2023 · advanced · stochastic calculus
stochastic differential equations · stochastic processes
On the harmonic mean representation of the implied volatility
Stefano De Marco · 2020 · advanced · options
mathematical finance · volatility surface
On the hedging of options on exploding exchange rates
Peter Carr, Travis Fisher, Johannes Ruf · 2013 · advanced · options
derivatives · martingales · option pricing · stochastic calculus · stochastic processes
On the hedging problem in general 1D diffusion markets
Alexis Anagnostakis, David Criens, Mikhail Urusov · 2026 · advanced · options
mathematical finance · option pricing · options hedging · partial differential equations · stochastic processes
On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets
Bénédicte Alziary, Peter Takáč · 2018 · advanced · options
mathematical finance · option pricing · partial differential equations
On the hidden costs of passive investing
Iro Tasitsiomi · 2025 · intermediate · quantitative trading
optimal execution · transaction costs
On the High‐Frequency Dynamics of Hedge Fund Risk Exposures
Andrew J. Patton, Tarun Ramadorai · 2012 · intermediate · time series
hedge funds
On the impact of fundamentals, liquidity and coordination on market stability
Francisco Peñaranda, Jón Daníelsson · 2010 · advanced · statistics
econometrics · financial stability · foreign exchange · liquidity
On the influence of oil prices on stock markets: Evidence from panel analysis in GCC countries
Christophe Rault, Mohamed El Hedi AROURI · 2009 · advanced · statistics
econometrics · equity markets · panel data · regression
On the limits of informationally efficient stock markets: New insights from a chartist-fundamentalist model
Laura Gardini, Davide Radi, Noemi Schmitt · 2024 · advanced · time series
market efficiency
On the Local equivalence of the Black Scholes and the Merton Garman equations
Ivan Arraut · 2024 · advanced · options
mathematical finance
On the lower arbitrage bound of American contingent claims
Acciaio, Beatrice, Svindland, Gregor · 2014 · advanced · options
derivatives · mathematical finance · option pricing
On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures
Zian Wang, Xinshu Li · 2024 · advanced · time series
econometrics · garch · time series · volatility forecasting
On the market-consistent valuation of health insurance liabilities
Simon Hochgerner, Jonas Ingmanns, Nicole Kastanek · 2026 · advanced · risk management
insurance · interest rates
On the maximum drawdown during speculative bubbles
Giulia Rotundo, Mauro Navarra · 2006 · intermediate · risk management
risk management
On the modeling assumptions of Historical Simulation for Value-at-Risk
Björn Löfdahl Grelsson · 2026 · advanced · risk management
risk management
On the Nonparametric Tests of Univariate GARCH Regression Models
Wasel Shadat · 2011 · advanced · time series
econometrics · garch · hypothesis testing · monte carlo simulation · statistical inference · time series
On the optimal choice of strike conventions in exchange option pricing
Elisa Alòs, Michael Coulon · 2018 · advanced · options
option pricing
On the optimal design of a financial stability fund
Árpád Ábrahám, Eva Cárceles-Poveda, Yan Liu · 2022 · advanced · risk management
financial stability
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
Katia Colaneri, Daniele Mancinelli, Immacolata Oliva · 2024 · advanced · portfolio management
jump processes · portfolio optimization · risk management · stochastic processes
On the optimal portfolio problem with partial information and related mean field games with relative performance criteria
Panagiotis Souganidis, Thaleia Zariphopoulou · 2026 · advanced · portfolio management
optimization · portfolio management · portfolio optimization · stochastic calculus · stochastic processes