Reviews in Modern Quantitative Finance

Edited by Andrey Itkin

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This volume contains six chapters which cover several modern topics of quantitative finance and reflect the most significant trends currently shaping this field. The chapters discuss in detail and make original contributions to stochastic/fractional volatility models and their asymptotic solutions (Chapter 1); equity trading, optimal portfolios and related problems (Chapters 2, 5, 6); machine learning and NLP (Chapters 2, 3); and economic scenario generation (Chapter 4), and are written by the leading experts in the field. This book is useful for both researchers and practitioners.

Keywords: Quantitative Finance; Financial Engineering; Mathematical Finance; Computational Finance; Computational Methods; Computational Problems; Pricing of Securities; Trading; Market Microstructures; Risk Theory; Queuing Theory; Asset Management Technique; Liability Management Technique; Risk Measures; Solvency; Financial Instability; Fintech; Cryptocurrencies; Financial Machine Learning; Artificial Intelligence; Fintech; Quantum Computing; Distributed Ledgers; Econophysics (search for similar items in EconPapers)
JEL-codes: C C02 C6 C61 (search for similar items in EconPapers)
Date: 2024
ISBN: 9789811281730
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Chapters in this book:

Ch 1 Multivariate Stochastic Volatility Models and Large Deviation Principles , pp 1-96

Archil Gulisashvili

Ch 2 Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly Nonlinear Market with Phase Transitions , pp 97-149

Igor Halperin

Ch 3 Mathematics of Embeddings: Spillover of Polarities over Financial Texts , pp 151-188

Mengda Li and Charles-Albert Lehalle

Ch 4 Optimal ESG Portfolios: Which ESG Ratings to Use? , pp 189-208

Anatoly Schmidt and Xu Zhang

Ch 5 Centrality of the Supply Chain Network , pp 209-228

Liuren Wu

Ch 6 Are E-mini S&P 500 Futures Prices Random? , pp 229-336

Valerii Salov

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