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Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr

The Reprint includes a selection of articles that have appeared in a Special Issue of Risks, and is dedicated to the memory of Peter Carr (1958-2022). The included articles should be of interest to researchers in quantitative finance, risk management, and financial engineering.

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Format: Online
Language:English
Published: MDPI - Multidisciplinary Digital Publishing Institute 2025
Subjects:
asymptotic expansion
lognormal fractional SABR model
mixed fractional Brownian motion
Malliavin calculus
bridge representation
reversals
momentum
mean reversion
market efficiency
investment strategies
no arbitrage
credit risk models
occupation time
spectral expansions
default probability
credit default spread
hazard rate function
solvable diffusions
dual risk model
minimizing ruin probability
optimal investment
differential rates
FBSDEs
nonlinear pricing
deep learning for pricing
option pricing
plain-vanilla options
volatility interpolation
arbitrage
inverse problem
optimization
regularization
sparse modeling
Volmageddon
volatility derivatives
hedging
VIX
pairs trading
Ornstein–Uhlenbeck process
diversification
portfolio allocation
mean reversion budgeting
volatility
variance
covariance
correlation swaps
pseudo-swaps
pseudo-statistics
Apple and Google data
CIR model
semi-static replication
Bermudan swaptions
affine term structure models
n/a
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Online Access:ONIX_20250220_9783725824809_294
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