156 citations
- Imperial College LondonGB7 papers
- P.N. Lebedev Physical Institute of the Russian Academy of SciencesRU2 papers
- Australian Astronomical ObservatoryAU1 paper
- Ben-Gurion University of the NegevIL1 paper
- California Polytechnic State UniversityUS1 paper
- Clínica DiagonalES1 paper
- Columbia UniversityUS1 paper
- Durham UniversityGB1 paper
- Harvard University PressUS1 paper
- Helsinki Institute of PhysicsFI1 paper
- Institució Catalana de Recerca i Estudis AvançatsES1 paper
- Institute of Experimental Physics of the Slovak Academy of SciencesSK1 paper
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q-fin.ST2009
Empirical asset pricing with nonlinear risk premia
Aleksandar Mijatovic, Paul Schneider
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonl…
q-fin.ST2008
Dynamic modeling of mean-reverting spreads for statistical arbitrage
Kostas Triantafyllopoulos, Giovanni Montana
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability. Gau…