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Money Mathematics: Examining Ethics Education in Quantitative Finance [PDF]

Journal of Business Ethics Education, 2012
The field of quantitative analysis is often mistaken to be a discipline free from ethical burdens. The quantitative financial analyst or “quant” profession holds a position of significant responsibility as the keeper of mathematical models used in complex derivative security pricing and risk management. Despite this responsibility very few postgraduate
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Waiting times between orders and trades in double-auction markets [PDF]

, 2006
In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data.
Alessandra Tedeschi, Barabási, Bauwens, Bertram, Ch. Ivanov, Chiarella, Clark, Cox, Cramér, Dacorogna, Engle, Engle, Enrico Scalas, Farmer, Goodhart, Gorenflo, Hilfer, Jürgen Huber, Kaizoji, Kim, Kutner, Li Calzi, Lo, Lo, Luckock, Madhavan, Mainardi, Mandelbrot, Masoliver, Michael Kirchler, Montroll, O’Hara, Plerou, Press, Raberto, Raberto, Raberto, Rydberg, Sabatelli, Scalas, Scalas, Scalas, Scalas, Scalas, Smith, Stephens, Taisei Kaizoji, Zumbach   +47 more
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Near-optimal estimation of jump activity in semimartingales [PDF]

, 2015
In quantitative finance, we often model asset prices as semimartingales, with drift, diffusion and jump components. The jump activity index measures the strength of the jumps at high frequencies, and is of interest both in model selection and fitting ...
Bull, Adam D
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WARNING: Physics Envy May Be Hazardous To Your Wealth! [PDF]

, 2010
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in particular - that are as predictive as those in ...
A Blinder, A Damasio, A Hull, A Khandani, A Khandani, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, Andrew W. Lo, B Lehmann, C Lloyd, D Crane, D Duffie, D Farmer, D Farmer, D Li, E Lorenz, E Peters, E Rolls, E Sirri, F Knight, F Reif, F Salmon, G Debreu, G Debreu, G Gigerenzer, G Loewenstein, H Scarf, H Theil, H White, J Bouchaud, J Caouette, J Coffee, J Elster, J Hamilton, J Hamilton, J Hawkins, J Lintner, J Muth, J Nash, J Satow, J Stiglitz, J Stiglitz, J Tinbergen, J Tobin, J Von Neumann, Kenneth Arrow, L Klein, L Pickard, M Gitterman, Mark T. Mueller, N Taleb, P Cootner, P Diaconis, P Samuelson, P Samuelson, P Samuelson, R Lucas, R Mantegna, R Mantegna, R Merton, R Merton, R Solow, S Grossberg, S Labaton, S Weinberg, S Woodward, Steven H Strogatz, T Brennan, T De Jong, T Masters, T Philippon, W Sharpe   +76 more
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A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance

The Annals of Probability, 1996
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Klein, Irene, Schachermayer, Walter
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What is the best risk measure in practice? A comparison of standard measures [PDF]

, 2015
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticised for issues relating to backtesting.
Emmer, Susanne, Kratz, Marie, Tasche, Dirk   +2 more
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Mathematical modeling in Quantitative Finance and Computational Economics

, 2021
The first part of my PhD Thesis deals with different Machine Learning techniques mainly applied to solve financial engineering and risk management issues. After a short literary review, every chapter analyzes a particular topic linked to the implementation of these models, showing the most suitable methodologies able to solve it efficiently.
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Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model [PDF]

, 2006
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most ...
Bouchaud, Cont, Dragulescu, Duarte Queiros, Fouque, Fouque, Fouque, Josep Perelló, Masoliver, Masoliver, Osborne, Perelló, Perelló, Perelló, Perelló, Plerou, Saichev, Silva, Vicente   +18 more
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Efficient pricing algorithms for exotic derivatives [PDF]

, 2008
Since the Nobel-prize winning papers of Black and Scholes and Merton in 1973, the derivatives market has evolved into a multi-trillion dollar market. Structures which were once considered as exotic are now commonplace, appearing in retail products such
Lord, R. (Roger)
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The Value of Information for Populations in Varying Environments

, 2010
The notion of information pervades informal descriptions of biological systems, but formal treatments face the problem of defining a quantitative measure of information rooted in a concept of fitness, which is itself an elusive notion. Here, we present a
A. Rosenblueth, A. Sasaki, A. Wagner, A.J. Robson, A.R. Barron, C. Adami, C. Shannon, C.E. Shannon, C.E. Shannon, C.T. Bergstrom, D. Bernoulli, D. Polani, D. Tanny, D.W. Stephens, E. Jablonka, E. Kussell, E. Kussell, G.N. Iyengar, H. Atlan, H. Furstenberg, H. Marko, H. Markowitz, H. Touchette, H. Touchette, H.H. Permuter, H.S. Witsenhausen, I. Csiszár, J. Beatty, J. Kelly, J. Maynard Smith, J. Maynard-Smith, J. Seger, J.F.C. Kingman, J.L. Massey, J.O. Berger, J.W. Szostak, K.B. Athreya, L. Breiman, L. Pack Kaelbling, L.A. Real, M. Gastpar, M.C. Donaldson-Matasci, N. Rashevsky, N. Wiener, Olivier Rivoire, P. Godfrey-Smith, P. Haccou, P. Leslie, P. Nurse, P.A. Samuelson, P.H. Algoet, R.C. Lewontin, R.C. Merton, S. Karlin, S. Mills, S. Tuljapurkar, S.C. Stearns, S.K. Mitter, Stanislas Leibler, T. Berger, T.G. Kurtz, T.J. Perkins, T.M. Cover, W.R. Ashby, W.R. Ashby, Y.-H. Kim   +65 more
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