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Quant finance research papers
9383 research papers selected for learning quantitative finance. Highlighted picks come first. Showing 5951–6000; page 120 of 188.
On the origin of power law tails in price fluctuations
J. Doyne Farmer, Fabrizio Lillo · 2003 · advanced · quantitative trading
market microstructure · time series
On the Past, Present, and Future of the Diebold-Yilmaz Approach to Dynamic Network Connectedness
Francis X. Diebold, Kamil Yilmaz · 2022 · advanced · time series
contagion · econometrics · financial networks · time series
On the Potential of Network-Based Features for Fraud Detection
Catayoun Azarm, Erman Acar, Mickey van Zeelt · 2024 · intermediate · machine learning
financial networks · machine learning
On the potential of quantum walks for modeling financial return distributions
Stijn De Backer, Luis E. C. Rocha, Jan Ryckebusch · 2024 · advanced · time series
time series
On the practical implementation of retirement gains by using an upside and a downside terminal wealth constraint
Catherine Donnelly, Montserrat Guillén, Jens Perch Nielsen · 2015 · intermediate · portfolio management
pensions · portfolio management
On the Pricing of American Options under Stochastic Local Volatility and Stochastic Correlation via the RBSDE Framework
Long Teng · 2026 · advanced · options
numerical methods · option pricing · stochastic calculus · stochastic differential equations
On the Pricing of Currency Options under Variance Gamma Process
Azwar Abdulsalam, Gowri Jayprakash, Abhijeet Chandra · 2020 · advanced · options
derivatives · foreign exchange · option pricing · stochastic processes
On the Pricing of Step-Up Bonds in the European Telecom Sector
Lando, David, Mortensen, Allan · 2004 · advanced · fixed income
credit risk · fixed income · model calibration
On the Range of the Risk-Free Interest Rate in Incomplete Markets
Atsushi Kajii, Chiaki Hara · 2003 · advanced · fixed income
financial economics · interest rates
On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
Xiyue Han, Alexander Schied · 2025 · advanced · statistics
rough volatility · statistical inference · stochastic processes
On the Relationship between Borrower and Bank risk
Yuliyan Mitkov, Ulrich Schüwer · 2024 · advanced · risk management
banking · credit risk
On the Relationship between Market Power and Bank Risk Taking
Kaniska Dam, Marc Escrihuela-Villar, Santiago Sanchez-Pages · 2009 · intermediate · risk management
banking · financial economics
On The Relationship Between The Danish Stock And Bond Market In The Medium And Long Term
Olesen, Jan Overgaard, Risager, Ole · 2000 · intermediate · statistics
econometrics · equity markets · fixed income · time series
On the relative performance of some parametric and nonparametric estimators of option prices
Carlo Marinelli, Stefano D'Addona · 2024 · advanced · options
option pricing
On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks
Eva Lütkebohmert, Julian Sester, Hongyi Shen · 2023 · advanced · risk management
credit risk · monte carlo simulation · risk management
On the rigidity of amorphous solids. Price fluctuations, Conventions and Microstructure of Financial Markets
Matthieu Wyart · 2005 · advanced · quantitative trading
financial economics · market microstructure
On the RND under Heston's stochastic volatility model
Ben Boukai · 2021 · advanced · options
option pricing
On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
Manuel Moreno, Javier R. Navas · 2001 · intermediate · options
derivatives · monte carlo simulation · numerical methods · option pricing · regression
On the Role of Debt Maturity in a Model with Sovereign Risk and Financial Frictions
Stéphane Auray, Aurélien Eyquem · 2017 · advanced · fixed income
financial economics
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Elisa Alòs, Jorge A. León · 2016 · advanced · options
stochastic calculus · stochastic processes
On the sensitivity analysis of energy quanto options
Rodwell Kufakunesu, Farai Mhlanga · 2018 · advanced · options
derivatives · option greeks · options hedging
On the Separability of Vector-Valued Risk Measures
Çağın Ararat, Zachary Feinstein · 2024 · advanced · risk management
risk management
On the Separation of Estimation and Control in Risk-Sensitive Investment Problems under Incomplete Observation
Sébastien Lleo, Wolfgang J. Runggaldier · 2023 · advanced · stochastic calculus
portfolio management
On the Sequencing of Projects, Reputation Building and Relationship Finance
Egli, D., Ongena, S., Smith, D.C. · 2001 · intermediate · other
financial economics
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Elisa Alòs, Jorge A. León, Josep Vives · 2006 · advanced · options
derivatives · option pricing · stochastic calculus
On the short-time behaviour of up-and-in barrier options using Malliavin calculus
Òscar Burés · 2025 · advanced · options
option pricing · stochastic calculus · stochastic processes
On the Singular Control of a Diffusion and its Running Infimum or Supremum
Giorgio Ferrari, Neofytos Rodosthenous · 2025 · advanced · stochastic calculus
optimization · stochastic processes
On the Skew Stickiness Ratio
Masaaki Fukasawa · 2026 · advanced · stochastic calculus
stochastic calculus · stochastic processes
On the Stock Markets’ Reactions to Taxation and Public Expenditure
Pasquale Foresti, Oreste Napolitano · 2016 · intermediate · statistics
econometrics · economic policy · equity markets · financial economics · panel data
On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
Akmal Xodarev · 2026 · advanced · stochastic calculus
mathematical finance · stochastic differential equations · stochastic processes
On the structure of increasing profits in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov · 2025 · advanced · stochastic calculus
mathematical finance · measure theory · stochastic processes
On the Structure of Risk Contribution: A Leave-One-Out Decomposition into Inherent and Correlation Risk
Nolan Alexander, Frank Fabozzi · 2026 · intermediate · risk management
risk management
On the Three Demons in Causality in Finance: Time Resolution, Nonstationarity, and Latent Factors
Xinshuai Dong, Haoyue Dai, Yewen Fan · 2023 · advanced · time series
causal inference · time series
On the Time-Varying Structure of the Arbitrage Pricing Theory using the Japanese Sector Indices
Koichiro Moriya, Akihiko Noda · 2023 · advanced · statistics
asset pricing · econometrics · hypothesis testing · regression · time series
On the timing of balance of payments crises: Disaggregated information and interest rate policy
Fernando Broner · 2002 · advanced · risk management
economic policy · interest rates
On the use of artificial intelligence in financial regulations and the impact on financial stability
Jon Danielsson, Andreas Uthemann · 2023 · intermediate · risk management
financial stability · systemic risk
On the use of case estimate and transactional payment data in neural networks for individual loss reserving
Benjamin Avanzi, Matthew Lambrianidis, Greg Taylor · 2025 · intermediate · risk management
deep learning · insurance · machine learning · neural networks
On the utility problem in a market where price impact is transient
Lóránt Nagy, Miklós Rásonyi · 2025 · advanced · quantitative trading
mathematical finance · optimization · transaction costs
On the valuation of life insurance policies for dependent coupled lives
Kira Henshaw, Cedric H. A. Koffi, Olivier Menoukeu Pamen · 2024 · advanced · risk management
insurance
On the valuation of multiple reset options: integral equation approach
Nazym Azimbayev, Yerkin Kitapbayev · 2021 · advanced · options
derivatives · optimization · option pricing
On the Weak Error for Local Stochastic Volatility Models
Peter K. Friz, Benjamin Jourdain, Thomas Wagenhofer · 2025 · advanced · stochastic calculus
numerical methods · stochastic differential equations · stochastic processes
On Time-subordinated Brownian Motion Processes for Financial Markets
Rohan Shenoy, Peter Kempthorne · 2025 · advanced · stochastic calculus
statistics · stochastic processes
On Unified Adaptive Black-Litterman Mean-Variance Portfolio Management
Chi-Lin Li, Chung-Han Hsieh · 2023 · advanced · portfolio management
factor investing · portfolio management · portfolio optimization
On Utility Maximization under Multivariate Fake Stationary Affine Volterra Models
Emmanuel Gnabeyeu · 2026 · advanced · portfolio management
mathematical finance · optimization · portfolio management · portfolio optimization · rough volatility · stochastic calculus
On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model
Jensen, Bjarne Astrup · 2002 · advanced · other
mathematical finance
On variable annuities with surrender charges
Tiziano De Angelis, Alessandro Milazzo, Gabriele Stabile · 2024 · advanced · derivatives
insurance · option pricing · stochastic processes
On Vulnerability Conditional Risk Measures: Comparisons and Applications in Cryptocurrency Market
Tong Pu, Yunran Wei, Yiying Zhang · 2024 · advanced · risk management
cryptocurrencies · systemic risk · tail risk
On weak notions of no-arbitrage in a 1D general diffusion market with interest rates
Alexis Anagnostakis, David Criens, Mikhail Urusov · 2025 · advanced · stochastic calculus
mathematical finance · stochastic calculus · stochastic processes
On-Chain Credit Risk Score in Decentralized Finance
Rik Ghosh, Arka Datta, Vidhi Aggarwal · 2024 · intermediate · risk management
credit risk · decentralized finance · risk management
On-Demand Combinatorial Event Markets on Kalshi: Instantiation, Concentration, and Effective Market Breadth
Maksym Nechepurenko · 2026 · intermediate · quantitative trading
quantitative trading