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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| Formato: | Online |
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| Idioma: | inglês |
| Publicado em: |
MDPI - Multidisciplinary Digital Publishing Institute
2025
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| Acesso em linha: | ONIX_20250220_9783725824809_294 |
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| _version_ | 1869531420414705664 |
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| collection | Directory of Open Access Books |
| description | 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. |
| format | Online |
| id | doab-20.500.12854ir-152930 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2025 |
| publishDateRange | 2025 |
| publishDateSort | 2025 |
| publisher | MDPI - Multidisciplinary Digital Publishing Institute |
| publisherStr | MDPI - Multidisciplinary Digital Publishing Institute |
| record_format | ojs |
| spelling | doab-20.500.12854ir-1529302025-02-20T13:18:07Z Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr Pirjol, Dan Zhu, Lingjiong 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 thema EDItEUR::W Lifestyle, Hobbies and Leisure::WC Antiques, vintage and collectables::WCF Collecting coins, banknotes, medals and other related items 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. 2025-02-20T13:18:04Z 2025-02-20T13:18:04Z 2024 book ONIX_20250220_9783725824809_294 9783725824809 9783725824793 https://directory.doabooks.org/handle/20.500.12854/152930 eng application/octet-stream Attribution 4.0 International https://mdpi.com/books/pdfview/book/10168 MDPI - Multidisciplinary Digital Publishing Institute 10.3390/books978-3-7258-2479-3 10.3390/books978-3-7258-2479-3 46cabcaa-dd94-4bfe-87b4-55023c1b36d0 9783725824809 9783725824793 252 Basel open access |
| spellingShingle | 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 thema EDItEUR::W Lifestyle, Hobbies and Leisure::WC Antiques, vintage and collectables::WCF Collecting coins, banknotes, medals and other related items Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr |
| title | Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr |
| title_full | Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr |
| title_fullStr | Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr |
| title_full_unstemmed | Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr |
| title_short | Emerging Topics in Finance and Risk Engineering—In Memory of Peter Carr |
| title_sort | emerging topics in finance and risk engineering in memory of peter carr |
| topic | 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 thema EDItEUR::W Lifestyle, Hobbies and Leisure::WC Antiques, vintage and collectables::WCF Collecting coins, banknotes, medals and other related items |
| topic_facet | 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 thema EDItEUR::W Lifestyle, Hobbies and Leisure::WC Antiques, vintage and collectables::WCF Collecting coins, banknotes, medals and other related items |
| url | ONIX_20250220_9783725824809_294 |