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Deep impulse control: application to interest rate intervention 深度冲动控制：应用于利率干预
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-02-06 DOI: 10.1080/14697688.2024.2305152
Bowen Jia, Hoi Ying Wong
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引用次数: 0
On the pricing of capped volatility swaps using machine learning techniques 利用机器学习技术为波动率上限掉期定价
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-02-06 DOI: 10.1080/14697688.2024.2305643
Stephan Höcht, W. Schoutens, E. Verschueren
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引用次数: 0
Deep impulse control: application to interest rate intervention 深度冲动控制：应用于利率干预
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-02-06 DOI: 10.1080/14697688.2024.2305152
Bowen Jia, Hoi Ying Wong
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引用次数: 0
Optimal stop-loss rules in markets with long-range dependence 具有长程依赖性的市场中的最优止损规则
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-02-06 DOI: 10.1080/14697688.2024.2306830
Yun Xiang, Shijie Deng
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引用次数: 0
Optimal stop-loss rules in markets with long-range dependence 具有长程依赖性的市场中的最优止损规则
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-02-06 DOI: 10.1080/14697688.2024.2306830
Yun Xiang, Shijie Deng
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引用次数: 0
Handbook of Price Impact Modeling Handbook of Price Impact Modeling , by Kevin T. Webster, Chapman & Hall/CRC (2023). Hardback. ISBN 978-1032328225. 价格影响建模手册》（Handbook of Price Impact Modeling），Kevin T. Webster 著，Chapman & Hall/CRC (2023)。精装。ISBN978-1032328225。
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-02-05 DOI: 10.1080/14697688.2023.2288868
Johannes Muhle-Karbe
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引用次数: 0
Handbook of Price Impact Modeling Handbook of Price Impact Modeling , by Kevin T. Webster, Chapman & Hall/CRC (2023). Hardback. ISBN 978-1032328225. 价格影响建模手册》（Handbook of Price Impact Modeling），Kevin T. Webster 著，Chapman & Hall/CRC (2023)。精装。ISBN978-1032328225。
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-02-05 DOI: 10.1080/14697688.2023.2288868
Johannes Muhle-Karbe
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引用次数: 0
Implied roughness in the term structure of oil market volatility 石油市场波动期限结构的隐含粗糙度
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-01-31 DOI: 10.1080/14697688.2023.2291081
Mesias Alfeus, Christina S. Nikitopoulos, Ludger Overbeck
This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-...
本文分析了石油市场波动粗糙度的属性和意义。我们采用了由粗糙布朗运动驱动的无间隔随机波动模型，该模型产生了半...
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引用次数: 0
Book review How to Cheat with Statistics – and Get Away with It , by Gunter Meissner, World Scientific (2022), Hardback. ISBN 978-9811252488 书评 How to Cheat with Statistics - and Get Away with It , 作者 Gunter Meissner，World Scientific (2022)，精装本。国际标准书号 978-9811252488
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-01-22 DOI: 10.1080/14697688.2023.2286023
M. Podolskij
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引用次数: 0
A generalization of the rational rough Heston approximation 有理粗略赫斯顿近似的一般化
IF 1.3 4区 经济学 Q1 Economics, Econometrics and Finance
Quantitative Finance
Pub Date : 2024-01-22 DOI: 10.1080/14697688.2024.2302055
Jim Gatheral, Radoš Radoičić
Previously, in Gatheral and Radoičić (Rational approximation of the rough Heston solution. Int. J. Theor. Appl. Finance, 2019, 22(3), 1950010), we derived a rational approximation of the solution o...
此前，在 Gatheral 和 Radoičić (Rational approximation of the rough Heston solution.Int.J. Theor.Appl.Finance，2019，22（3），1950010）中，我们推导出了粗略赫斯顿解的有理近似。
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引用次数: 0
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