Proxy CDS curves for individual corporates globally

(PDF)

Testing whether volatility can be written as a function of the asset price

(PDF)

Quantile forecasting based on a multivariate hysteretic autoregressive model with GARCH Errors and time-varying correlations

(PDF)

Optimal make-take fees for market making regulation

(PDF)

Tutorial:

The first and second fundamental theorem of quantitative risk management

(PDF)

Simultaneous volatility and skewness risk in asset pricing

(PDF)

Autoencoder asset pricing models

(PDF)

Limits to arbitrage in markets with stochastic settlement latency

(PDF)

Pricing and hedging crypto options

Modeling and tracking bubbles

(PDF)

Mean-risk portfolio choice with weighted VaR and law-invariant coherent risk measures

(PDF)

Basket credit derivatives pricing in a Markov chain model with interacting intensities and contagion risk

(PDF)

Some risk measures on Wiener space

(PDF)

Model-uncertain value-at-risk, expected shortfall and sharpe ratio, using stochastic approximation

Hermite expansion for transition densities of irreducible diffusions with an application to option pricing

(PDF)

Convex duality in portfolio theory

(PDF)

Mean-variance hedging without information

(PDF)

Systematic and discretionary hedge funds: classification and performance comparison

(PDF)

Risk-sharing, robustness and regulation

(PDF)

Using generalized estimating equations to estimate nonlinear models with spatial data

(PDF)

Double machine learning with gradient boosting and its application to the big N audit quality effect

(PDF)

Return cross-predictability in firms with similar employee satisfaction

(PDF)

Tutorial:

High-Frequency Econometrics

(PDF 1, PDF 2)

Swing pricing for mutual funds

(PDF)

Fund flows and performance under unobservable dynamic managing ability

(PDF)

Backtesting, prequential analysis and prediction process