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Quant finance research papers
9383 research papers selected for learning quantitative finance. Highlighted picks come first. Showing 8451–8500; page 170 of 188.
The inverse Cox-Ingersoll-Ross process for parsimonious financial price modeling
Li Lin, Didier Sornette · 2023 · advanced · stochastic calculus
asset pricing · equity markets · model calibration · stochastic differential equations · stochastic processes
The Investment Value of Mutual Fund Portfolio Disclosure
Wermers, Russ, Yao, Tong, Zhao, Jane · 2010 · intermediate · statistics
mutual funds
The Invisible Handshake: Persistent Overpricing by Adaptive Market Agents
Luigi Foscari, Emanuele Guidotti, Nicolò Cesa-Bianchi · 2025 · advanced · quantitative trading
market making · market microstructure
The Jacobi Stochastic Volatility Model
Damir Filipovic, Damien Ackerer, Sergio Pulido · 2018 · advanced · options
derivatives · option pricing · stochastic processes
The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing
Dassios, Angelos, Zhang, You You · 2016 · advanced · stochastic calculus
brownian motion · martingales · stochastic calculus · stochastic processes
THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL
Rémy Chicheportiche, Jean-Philippe Bouchaud · 2012 · advanced · statistics
copulas · statistics
The Kind of Silence: Managing a Reputation for Voluntary Disclosure in Financial Markets
Miles B. Gietzmann, Adam J. Ostaszewski · 2022 · advanced · other
financial economics · stochastic processes
The law of one price in quadratic hedging and mean-variance portfolio selection
Aleš Černý, Christoph Czichowsky · 2022 · advanced · stochastic calculus
asset pricing · martingales · portfolio optimization · stochastic calculus · stochastic processes
The Leland-Toft optimal capital structure model under Poisson observations
Zbigniew Palmowski, José Luis Pérez, Budhi Arta Surya · 2019 · advanced · other
capital structure · corporate finance · credit risk · mathematical finance · stochastic processes
The Lender of Last Resort : Liquidity Provision Versus the Possibility of Bail-out
Eijffinger, S.C.W., Nijskens, R.G.M. · 2010 · intermediate · risk management
banking · financial stability · liquidity
The leverage effect in financial markets: retarded volatility and market panic
Jean‐Philippe Bouchaud, Andrew Matacz, Marc Potters · 2001 · advanced · time series
stochastic processes
The lexical ratio: A new perspective on portfolio diversification
Sayyed Faraz Mohseni, Hamid R. Arian, Jean-François Bégin · 2024 · intermediate · portfolio management
natural language processing · portfolio management · risk management
The Life of the Counterparty: Shock Propagation in Hedge Fund-Prime Broker Credit Networks
Mathias S. Kruttli, Phillip J. Monin, Sumudu W. Watugala · 2019 · advanced · risk management
causal identification · credit risk · financial networks · hedge funds · liquidity risk
The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation
Robert J. Shiller · 2005 · intermediate · portfolio management
pensions
The Lifecycle of the Financial Sector and Other Speculative Industries
Biais, Bruno, Rochet, Jean-Charles, Woolley, Paul · 2009 · advanced · risk management
financial economics
The limit order book on different time scales
Zoltan Eisler, Janos Kertesz, Fabrizio Lillo · 2007 · intermediate · quantitative trading
market microstructure
The Limits of Arbitrage
Andrei Shleifer, Robert W. Vishny
asset pricing · market efficiency
The Limits of Lognormal: Assessing Cryptocurrency Volatility and VaR using Geometric Brownian Motion
Ekleen Kaur · 2026 · intermediate · risk management
brownian motion · cryptocurrencies · monte carlo simulation
The Limits to Arbitrage and the Low-Volatility Anomaly
Xi Li, Rodney N. Sullivan, Luis Garcia-Feijóo · 2014 · intermediate · portfolio management
equity markets · liquidity
The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies
Xi Li, Rodney N. Sullivan · 2011 · intermediate · statistics
asset pricing
The Limits to Compensation in the Financial Sector
H Peyton Young, Thomas Noe · 2012 · advanced · risk management
banking · tail risk
The Limits to Minimum‐Variance Hedging
Richard D. F. Harris, Jian Hua Shen, Evarist Stoja · 2009 · intermediate · derivatives
derivatives
The links between some European financial factors and the BRICS credit default swap spreads
Kuhanathan Ano Sujithan, Sanvi Avouyi-Dovi · 2013 · advanced · risk management
credit derivatives · credit risk · econometrics · time series
The Liquidity Channel of Fiscal Policy
Christian Bayer, Benjamin Born, Ralph Luetticke · 2021 · advanced · fixed income
financial economics · liquidity
The liquidity dilemma and the repo market: a two-step policy option to address the regulatory void
Saguato, Paolo · 2015 · intermediate · risk management
financial stability · liquidity · liquidity risk · systemic risk
The live method for generalized additive volatility models
Kim, Woocheol, Linton, Oliver B. · 2004 · advanced · time series
econometrics · time series
The Local Bias of Individual Investors
Ning Zhu · 2009 · intermediate · statistics
behavioral finance
The local Gaussian correlation networks among return tails in the Chinese stock market
Peng Liu · 2025 · advanced · risk management
financial networks · statistics · tail risk
The Log Moment formula for implied volatility
Vimal Raval, Antoine Jacquier · 2021 · advanced · options
option pricing
The Log S-fBM model: Statistical analysis
Othmane Zarhali, Emmanuel Bacry, Jean-François Muzy · 2026 · advanced · time series
brownian motion · hypothesis testing · rough volatility · statistical inference · stochastic processes
The Long-Only Minimum Variance Portfolio in a One-Factor Market: Theory and Asymptotics
Alec Kercheval, Ololade Sowunmi · 2026 · advanced · portfolio management
optimization · portfolio management · portfolio optimization
The Long-Term Effect of Digital Innovation on Bank Performance: An Empirical Study of SWIFT Adoption in Financial Services
Susan Scott, John Van Reenen, Markos Zachariadis · 2010 · intermediate · risk management
banking · panel data
The Long-Term Relationship between Capital and Earnings in Banking
Hortlund, Per · 2005 · intermediate · risk management
banking · capital structure · financial economics
The Loop-Gain Matrix: Coupled Rebalancing Feedback and the Blind Spots of Scalar Stability Monitoring
Jihwan Woo · 2026 · advanced · risk management
exchange traded funds · market microstructure · systemic risk
The Lost Decade for Hedge Funds: Three Threats
Joseph A. McCahery, F. Alexander de Roode · 2019 · intermediate · portfolio management
hedge funds
The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing
Xi Li, Rodney N. Sullivan, Luis Garcia-Feijóo · 2016 · intermediate · statistics
asset pricing
The macroeconomic effects of banking crises: evidence from the United Kingdom, 1750–1938
Kenny, Seán, Lennard, Jason, Turner, John D. · 2021 · advanced · risk management
banking · causal inference · econometrics · time series
The Macroeconomy and the Yield Curve: A Nonstructural Analysis
Francis X. Diebold, Glenn D. Rudebusch, S. Boragan Aruoba · 2003 · advanced · fixed income
econometrics · interest rates · term structure models · time series
The market drives ETFs or ETFs the market: causality without Granger
Peter Lerner · 2022 · advanced · machine learning
causal inference · deep learning · exchange traded funds · machine learning · neural networks · time series
The Market for Financial Adviser Misconduct
Egan, Mark L., Matvos, Gregor, Seru, Amit · 2016 · intermediate · other
other
The Market Maker's Dilemma: Navigating the Fill Probability vs. Post-Fill Returns Trade-Off
Jakob Albers, Mihai Cucuringu, Sam Howison · 2025 · intermediate · quantitative trading
market making · market microstructure
The Market Price of Credit Risk: An Empirical Analysis of Interest Rate Swap Spreads
Liu, Jun, Longstaff, Francis A., Mandell, Ravit E. · 2000 · advanced · fixed income
credit markets · credit risk · fixed income · interest rates · statistical inference · term structure models
The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging
Annika Kemper, Maren Diane Schmeck · 2023 · advanced · derivatives
derivatives · jump processes · stochastic processes
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Annika Kemper, Maren D. Schmeck, Anna Kh. Balci · 2020 · advanced · derivatives
derivatives · option pricing
The Market Price Of Risk In Interest Rate Swaps: The Roles Of Default And Liquidity Risks
Liu, Jun, Longstaff, Francis A., Mandell, Ravit E. · 2004 · advanced · fixed income
credit risk · fixed income · interest rates · liquidity risk · term structure models
The Market's Conditioning Representation: Equilibrium, Crowding, and Convention Multiplicity
Alejandro Rodriguez Dominguez · 2026 · advanced · portfolio management
asset pricing · financial economics
The Mathematics of Heuristic Portfolio Optimization (HPO)
Miquel Noguer i Alonso · 2026 · advanced · portfolio management
optimization · portfolio management · portfolio optimization · reinforcement learning
The Mathematics of Market Timing
Guy Metcalfe · 2017 · intermediate · portfolio management
monte carlo simulation · portfolio management
The Mathematics of Volatility Surfaces
Miquel Noguer i Alonso · 2026 · advanced · options
machine learning · volatility surface
The Maturity Rat Race
Markus Konrad Brunnermeier, Martin Oehmke · 2010 · advanced · risk management
financial economics