Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, A
Horvath, B
Jacquier, A
Quantitative Finance
volume 18
issue 10
1753-1765
(03 Oct 2018)
doi:10.1080/14697688.2018.1432883
Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
Horvath, B
Muguruza, A
Tomas, M
Quantitative Finance
volume 21
issue 1
11-27
(02 Jan 2021)
doi:10.1080/14697688.2020.1817974
FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES
DÖRING, L
HORVATH, B
TEICHMANN, J
International Journal of Theoretical and Applied Finance
volume 20
issue 03
1750013
(24 May 2017)
doi:10.1142/s0219024917500133
Clustering market regimes using the Wasserstein distance
Horvath, B
Issa, Z
Muguruza, A
The Journal of Computational Finance
(2024)
doi:10.21314/jcf.2024.005
Large deviations-based upper bounds on the expected relative length of longest common subsequences
Hauser, R
Martínez, S
Matzinger, H
Advances in Applied Probability
volume 38
issue 3
827-852
(01 Sep 2006)
doi:10.1017/s0001867800001294
Inferring the Composition of a Trader Population in a Financial Market
Gupta, N
Hauser, R
Johnson, N
(06 Jun 2007)
doi:10.48550/arxiv.0706.0870
Using Artificial Market Models to Forecast Financial Time-Series
Gupta, N
Hauser, R
Johnson, N
(15 Jun 2005)
doi:10.48550/arxiv.physics/0506134
Low-Rank Boolean Matrix Approximation by Integer Programming
Kovacs, R
Gunluk, O
Hauser, R
(13 Mar 2018)
doi:10.48550/arxiv.1803.04825
MOSES: A Streaming Algorithm for Linear Dimensionality Reduction
Eftekhari, A
Hauser, R
Grammenos, A
(04 Jun 2018)
doi:10.48550/arxiv.1806.01304
Robust Portfolio Optimisation with Specified Competitors
Simões, G
McDonald, M
Williams, S
Fenn, D
Hauser, R
(11 Jan 2017)
doi:10.48550/arxiv.1701.02958