Quora noscript


[Aas, 2005]   Aas, K. (2005). The basel ii irb approach for credit portfolios: A survey. https://www.nr.no/files/samba/bff/SAMBA3305.pdf.

[Abergel et al., 2012]   Abergel, F., Bouchaud, J. P., Foucault, T., Lehalle, C. A., and Rosenbaum, M. (2012). Market Microstructure: Confronting Many Viewpoints. Wiley.

[Abu-Mostafa et al., 2012]   Abu-Mostafa, Y. S., Magdon-Ismail, M., and Lin, H.-T. (2012). Learning from data, volume 4. AMLBook New York.

[Acciaio and Penner, 2011]   Acciaio, B. and Penner, I. (2011). Dynamic risk measures. In Advanced Mathematical Methods for Finance, pages 1–34. Springer.

[Acerbi, 2002]   Acerbi, C. (2002). Spectral measures of risk: A coherent representation of subjective risk aversion. Journal of Banking and Finance, 26(7):1505–1518.

[Acerbi and Scandolo, 2007]   Acerbi, C. and Scandolo, G. (2007). Liquidity risk theory and coherent measures of risk. Working Paper.

[Acerbi and Szekely, 2022]   Acerbi, C. and Szekely, B. (2022). Backtestability and the ridge backtest.

[Acerbi and Tasche, 2002]   Acerbi, C. and Tasche, D. (2002). On the coherence of expected shortfall. Journal of Banking and Finance, 26(7):1487–1503.

[Ahmad and Wilmott, 2005]   Ahmad, R. and Wilmott, P. (2005). Which free lunch would you like today, sir?: Delta hedging, volatility arbitrage and optimal portfolios. Wilmott magazine, pages 64–79.

[Ait-Sahalia et al., 2010]   Ait-Sahalia, Y., Fan, Y., and Xiu, D. (2010). High-frequency covariance estimates with noisy and asynchronous financial data. Journal of the American Statistical Association, 105(492):1504–1517.

[Ait-Sahalia and Jacod, 2014]   Ait-Sahalia, Y. and Jacod, J. (2014). High-Frequency Financial Econometrics. Princeton University Press.

[Aitchison and Dunsmore, 1975]   Aitchison, J. and Dunsmore, I. R. (1975). Statistical Prediction Analysis. Cambridge University Press.

[Albanese et al., 2004]   Albanese, C., Jackson, K., and Wiberg, P. (2004). A new Fourier transform algorithm for value at risk. Quantitative Finance, 4(3):328–338.

[Alexander, 1998]   Alexander, C. (1998). Volatility and correlation: Measurement, models and applications. In Alexander, C., editor, Risk Management and Analysis, I, pages 125–171. Wiley.

[Alexander and Dimitriu, 2002]   Alexander, C. and Dimitriu, A. (2002). The cointegration alpha: Enhanced index tracking and long-short equity market neutral strategies. ISMA Finance Discussion Paper No. 2002-08.

[Alexander et al., 2008]   Alexander, C., Ledermann, D., and Ledermann, W. (2008). ROM simulation: A new approach to simulation using random orthogonal matrices. Working Paper.

[Alexander et al., 2011]   Alexander, C., Ledermann, D., and Ledermann, W. (2011). Random orthogonal matrix simulation. Linear Algebra and Its Applications, 434:1444–1467.

[Alfonsi et al., 2010]   Alfonsi, A., Fruth, A., and Schied, A. (2010). Optimal execution strategies in limit order books with general shape functions. Quantitative Finance, 10(2):143–157.

[Allan, 1980]   Allan, L. G. (1980). A note on measurement of contingency between two binary variables in judgment tasks. Bulletin of the Psychonomic Society, 15(3):147–149.

[Almgren, 2003]   Almgren, R. (2003). Optimal execution with nonlinear impact functions and trading-enhanced risk. Applied Mathematical Finance, 10:1–18.

[Almgren, 2006]   Almgren, R. (2006). A new ema indicator. Bank of America Securities Technical Report.

[Almgren and Chriss, 2000]   Almgren, R. and Chriss, N. (2000). Optimal execution of portfolio transactions. Journal of Risk, 3(Winter):5–39.

[Almgren and Lorenz, 2007]   Almgren, R. and Lorenz, J. (2007). Adaptive arrival price. Institutional Investor Journals, 2007(1):59–66.

[Almgren et al., 2005]   Almgren, R., Thum, C., Hauptmann, E., and Li, H. (2005). Direct estimation of equity market impact. Risk Magazine, 18(7):57–62.

[Amari and Nagaoka, 2000]   Amari, S. and Nagaoka, H. (2000). Methods of Information Geometry. American Mathematical Society.

[Amari, 2016]   Amari, S.-i. (2016). Information Geometry and Its Applications, volume 194. Springer.

[Amenc et al., 2014]   Amenc, N., Deguest, R., Goltz, F., Lodh, A., Martellini, L., and Shirbini, E. (2014). Risk allocation, factor investing and smart beta reconciling innovations in equity portfolio construction. http://www.edhec-risk.com/edhec_publications/all_publications/RISKReview.2014-07-09.0733/attachments/EDHEC-Risk_Publication_Risk_Allocation_Factor_Investing_Smart_Beta.pdf. EDHEC-Risk Institute Publication.

[Andersen et al., 2003]   Andersen, L., Sidenius, J., and Basu, S. (2003). All your hedges in one basket. Risk, pages 67–72.

[Andersen and Piterbarg, 2010a]   Andersen, L. B. and Piterbarg, V. V. (2010a). Interest rate modeling, volume 1, 2, 3. Atlantic Financial Press London.

[Andersen and Piterbarg, 2010b]   Andersen, L. B. and Piterbarg, V. V. (2010b). Interest Rate Modeling. Volume 1: Foundations and Vanilla Models. Atlantic Financial Press.

[Andersen and Piterbarg, 2010c]   Andersen, L. B. and Piterbarg, V. V. (2010c). Interest Rate Modeling. Volume 2: Term Structure Models. Atlantic Financial Press.

[Anderson, 1957]   Anderson, T. W. (1957). Maximum likelihood estimates for a multivariate normal distribution when some observations are missing. Journal of the American Statistical Association, 52(278):200–203.

[Anderson, 1984]   Anderson, T. W. (1984). An Introduction to Multivariate Statistical Analysis. Wiley, 2nd edition.

[ApS, 2021]   ApS, M. (2021). Mosek portfolio optimization cookbook. https://docs.mosek.com/portfolio-cookbook/index.html. Accessed: 13-12-2021.

[Aquan-Assee, 2009]   Aquan-Assee, J. (2009). Boundary conditions for mean-reverting square root process. https://repo.palkeo.com/algo/Time%20series%20analysis.pdf. research paper, University of Waterloo.

[Ardia and Meucci, 2013]   Ardia, D. and Meucci, A. (2013). Stress-testing in non-normal markets via Copula-Marginal Entropy Pooling. http://symmys.com/node/719. Working Paper.

[Artzner et al., 1997]   Artzner, P., Delbaen, F., Eber, J. M., and Heath, D. (1997). Thinking coherently. Risk Magazine, 10(11):68–71.

[Artzner et al., 1999]   Artzner, P., Delbaen, F., Eber, J. M., and Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3):203–228.

[Asmussen and Albrecher, 2010]   Asmussen, S. and Albrecher, H. (2010). Ruin probabilities. World scientific.

[Asness and Frazzini, 2013]   Asness, C. and Frazzini, A. (2013). The devil in hml’s details. The Journal of Portfolio Management, 39(4):49–68.

[Aumann and Shapley, 2015]   Aumann, R. J. and Shapley, L. S. (2015). Values of non-atomic games. Princeton University Press.

[Avellaneda, 1999]   Avellaneda, M. (1999). Minimum-entropy calibration of asset-pricing models. International Journal of Theoretical and Applied Finance, 1:447–472.

[Avellaneda and Lee, 2010]   Avellaneda, M. and Lee, J. H. (2010). Statistical arbitrage in the US equities market. Quantitative Finance, 10:1–22.

[Avellaneda and Stoikov, 2008]   Avellaneda, M. and Stoikov, S. (2008). High-frequency trading in a limit order book. Quantitative Finance, 8(3):217–224.

[Avellaneda et al., 2011]   Avellaneda, M., Stoikov, S., and Reed, J. (2011). Forecasting prices from level-i quotes in the presence of hidden liquidity. Algorithmic Finance, 1:35–43.

[Axler, 2020]   Axler, S. (2020). Measure, integration & real analysis. Springer Nature.

[Azzalini and Capitanio, 2003]   Azzalini, A. and Capitanio, A. (2003). Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t distribution. Journal Royal Statistical Society, Series B, 65:367–389.

[Bachelier, 1900]   Bachelier, L. (1900). Theorie de la speculation. Annales Scientifiques de l’Ecole Normale Superieure, 3(17):21–86.

[Bae et al., 2003]   Bae, K.-H., Jang, H., and Park, K. S. (2003). Traders’ choice between limit and market orders: evidence from nyse stocks. Journal of Financial Markets, 6:517–538.

[Bagon and Galun, 2011]   Bagon, S. and Galun, M. (2011). Large scale correlation clustering optimization. arXiv preprint: 1112.2903, 2011 - arxiv.org.

[Baillie, 1996]   Baillie, R. (1996). Long memory processes and fractional integration in econometrics. Journal of Econometrics, 73:5–59.

[Balkema and De Haan, 1974]   Balkema, A. A. and De Haan, L. (1974). Residual life time at great age. Annals of Probability, 2:792–804.

[Bamber, 1975]   Bamber, D. (1975). The area above the ordinal dominance graph and the area below the receiver operating characteristic graph. Journal of mathematical psychology, 12(4):387–415.

[Bansal et al., 2004]   Bansal, N., Blum, A., and Chawla, S. (2004). Correlation clustering - Machine Learning. Springer.

[Barbarino, 2009]   Barbarino, F. (2009). Leverage, hedge funds and risk. NEPC.

[Barbosa and Ferreira, 2004]   Barbosa, A. and Ferreira, M. (2004). Beyond coherence and extreme losses: Root lower partial moment as a risk measure. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=609221. Working paper.

[Barndorff-Nielsen, 1998]   Barndorff-Nielsen, O. (1998). Processes of normal inverse Gaussian type. Finance and Stochastics, 2:41–68.

[Barndorff-Nielsen and Shephard, 2001]   Barndorff-Nielsen, O. and Shephard, N. (2001). Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics (with discussion). J. Roy. Statist. Soc. Ser. B, 63:167–241.

[Barndorff-Nielsen, 1986]   Barndorff-Nielsen, O. E. (1986). Inference on full or partial parameters based on the standardized signed log likelihood ratio. Biometrika, 73:307–322.

[Barndorff-Nielsen, 1991]   Barndorff-Nielsen, O. E. (1991). Modified signed log likelihood ratio. http://biomet.oxfordjournals.org/content/78/3/557.full.pdf. Biometrika, 78(3), 557-563.

[Barroso and Santa-Clara, 2012]   Barroso, P. and Santa-Clara, P. (2012). Managing the risk of momentum. http://www.cbs.dk/files/cbs.dk/momentumrisk.pdf. Working paper.

[Basel Committee on Banking Supervision, 2005]   Basel Committee on Banking Supervision (2005). An explanatory note on the basel ii irb risk weight functions. https://www.bis.org/bcbs/irbriskweight.pdf. Bank for International Settlements.

[Bauer et al., 2012]   Bauer, D., Bergmann, D., and Reuss, A. (2012). On the Calculation of the Solvency Capital Requirement based on Nested Simulations. https://www.ifa-ulm.de/fileadmin/user_upload/download/forschung/2012_ifa_Bauer-etal_On-the-Calculation-of-the-Solvency-Capital-Requirement-based-on-Nested-Simulations.pdf.

[Bawa et al., 1979]   Bawa, V. S., Brown, S. J., and Klein, R. W. (1979). Estimation Risk and Optimal Portfolio Choice. North Holland.

[Baz et al., 2015]   Baz, J., Granger, N. M., Harvey, C. R., Le Roux, N., and Rattray, S. (2015). Dissecting Investment Strategies in the Cross Section and Time Series. http://www.cmegroup.com/education/files/time-series-and-cross-sectional-momentum-profitability.pdf.

[Becker and Gather, 1999]   Becker, C. and Gather, U. (1999). The masking breakdown point of multivariate outlier identification rules. Journal of the American Statistical Association, 94(447):947–955.

[Belkin and Suchower, 1998]   Belkin, B. and Suchower, S. (1998). A one-parameter representation of credit risk and transition matrices. https://www.z-riskengine.com/media/1032/a-one-parameter-representation-of-credit-risk-and-transition-matrices.pdf.

[Belkin et al., 2019]   Belkin, M., Hsu, D., Ma, S., and Mandal, S. (2019). Reconciling modern machine-learning practice and the classical bias–variance trade-off. Proceedings of the National Academy of Sciences, 116(32):15849–15854.

[Bellini and Di Bernardino, 2017]   Bellini, F. and Di Bernardino, E. (2017). Risk management with expectiles. The European Journal of Finance, 23(6):487–506.

[Bellini et al., 2014]   Bellini, F., Klar, B., Muller, A., and Rosazza Gianin, E. (2014). Generalized quantiles as risk measures. Insurance: Mathematics and Economics, 54, pages 41–48.

[Bellini et al., 2019]   Bellini, F. Cesarone, F., Colombo, C., and Tardella, F. (2019). Risk parity with expectiles. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3419747.

[Ben-Dor et al., 2007]   Ben-Dor, A., L., D., Hyman, J., P., H., Van Leeuwen, E., and Penninga, O. (2007). DTS (Duration Times Spread). Journal of Portfolio Management, 4:77–100.

[Ben-Tal and Nemirovski, 2013]   Ben-Tal, A. and Nemirovski, A. (2013). Lectures on modern convex optimization: analysis, algorithms, and engineering applications. https://www2.isye.gatech.edu/~nemirovs/Lect_ModConvOpt.pdf.

[Beran, 1994]   Beran, J. (1994). Statistics for Long-Memory Processes. Chapman and Hall.

[Berd, 2005]    Berd, A. M. (2005). Dynamic estimation of credit rating transition probabilities. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=842664. Working Paper.

[Berger, 1984]   Berger, J. O. (1984). The robust bayesian viewpoint. Robustness in Bayesian Statistics. (J. Kadane ed.).

[Berger, 1985]   Berger, J. O. (1985). Statistical Decision Theory and Bayesian Analysis. Springer, 2nd edition.

[Bertrand and Prigent, 2001]   Bertrand, P. and Prigent, J. L. (2001). Portfolio insurance strategies: OBPI versus CPPI. http://ssrn.com/abstract=299688. Working Paper.

[Bhardwaj and A., 2011]   Bhardwaj, G. and A., D. (2011). How many commodity sectors are there, and how do they behave? http://ssrn.com/abstract=1973753. Working Paper.

[Bhatia et al., 1997]   Bhatia, M., Finger, C., and Gupton, G. (1997). Creditmetrics - technical document. https://www.researchgate.net/publication/301776007_CreditMetrics_-_Technical_Document.

[Bielecki and Rutkowski, 2004]   Bielecki, T. and Rutkowski, M. (2004). Credit Risk. Springer Finance.

[Billio et al., 2018]   Billio, M., Casarin, R., Kaufmann, S., and Iacopini, M. (2018). Bayesian dynamic tensor regression. University Ca’Foscari of Venice, Dept. of Economics Research Paper Series No, 13.

[Bilmes, 1998]   Bilmes, J. A. (1998). A gentle tutorial of the EM algorithm and its application to parameter estimation for Gaussian mixture and hidden markov models. Working Paper.

[Bishop, 2006]   Bishop, C. M. (2006). Pattern Recognition and Machine Learning. Springer.

[Bjork, 1998]   Bjork, T. (1998). Arbitrage Theory in Continous Time. Oxford University Press.

[Black, 1995]   Black, F. (1995). Interest rates as options. Journal of Finance, 50:1371–1376.

[Black and Litterman, 1990]   Black, F. and Litterman, R. (1990). Asset allocation: combining investor views with market equilibrium. Goldman Sachs Fixed Income Research.

[Black and Perold, 1992]   Black, F. and Perold, A. (1992). Theory of constant proportion portfolio insurance. Journal of Economic Dynamics and Control, 16:403–426.

[Black and Scholes, 1973]   Black, F. and Scholes, M. S. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81:637–654.

[Blanchet et al., 2019]   Blanchet, J., Kang, Y., and Murthy, K. (2019). Robust wasserstein profile inference and applications to machine learning. Journal of Applied Probability, 56(3):830–857.

[Blei et al., 2017]   Blei, D. M., Kucukelbir, A., and McAuliffe, J. D. (2017). Variational inference: A review for statisticians. Journal of the American Statistical Association, pages 859–877.

[Bogachev and Ruas, 2007]   Bogachev, V. I. and Ruas, M. A. S. (2007). Measure theory, volume 1. Springer.

[Bollerslev, 1986]   Bollerslev, T. (1986). Generalized autoregressive conditional heteroskesdasticity. Journal of Econometrics, 31:307–327.

[Bordley and LiCalzi, 2000]   Bordley, R. and LiCalzi, M. (2000). Decision analysis using targets instead of utility functions. Decisions in Economics and Finance, 23:53–74.

[Borsdorf et al., 2010]   Borsdorf, R., Higham, N., and Raydan, M. (2010). Computing a nearest correlation matrix with factor structure. SIAM Journal on Matrix Analysis and Applications, 31:2603–2622.

[Bottou and Bousquet, 2007]   Bottou, L. and Bousquet, O. (2007). The tradeoffs of large scale learning. Advances in neural information processing systems, 20.

[Bouchaud and Potters, 2009]   Bouchaud, J. and Potters, M. (2nd revised edition, 2009). Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. Cambridge University Pr.

[Bouchaud et al., 1997]   Bouchaud, J., Potters, M., and Aguilar, J. (1997). Missing information and asset allocation. https://arxiv.org/pdf/cond-mat/9707042v1.pdf.

[Bouchaud et al., 2009]   Bouchaud, J.-P., Farmer, J. D., and Lillo, F. (2009). How markets slowly digest changes in supply and demand. In Hens, T. and Schenk-Hoppe, K., editors, Handbook of Financial Markets: Dynamics and Evolution, pages 57–160. North Holland.

[Bouchaud et al., 2004]   Bouchaud, J. P., Gefen, Y., Potters, M., and Wyart, M. (2004). Fluctuations and response in financial markets the subtle nature of random price changes. Quantitative Finance, 4:176–190.

[Bouchaud et al., 2002]   Bouchaud, J.-P., Mézard, M., and Potters, M. (2002). Statistical properties of stock order books: empirical results and models. Quantitative Finance, 2(4):251–256.

[Boucheron et al., 2005]   Boucheron, S., Bousquet, O., and Lugosi, G. (2005). Theory of classification: A survey of some recent advances. ESAIM: probability and statistics, 9:323–375.

[Bouye, 2009]   Bouye, E. (2009). Portfolio insurance: A short introduction. http://ssrn.com/abstract=1416790. Working Paper.

[Box and Jenkins, 1976]   Box, G. E. P. and Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control, Revised Edition. Holden-Day.

[Boyd and Vandenberghe, 2004]   Boyd, S. and Vandenberghe, L. (2004). Convex Optimization. Cambridge University Press.

[Brandt and Santa-Clara, 2006]   Brandt, M. and Santa-Clara, P. (2006). Dynamic portfolio selection by augmenting the asset space. Journal of Finance, 61(5):2187–2217.

[Brandt et al., 2009]   Brandt, M., Santa-Clara, P., and Valkanov, R. (2009). Parametric portfolio policies: Exploiting characteristics in the cross-section of equity returns. https://faculty.fuqua.duke.edu/~mbrandt/papers/published/paramport.pdf. Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(9), pages 3411-3447, September.

[Breeden and Litzenberger, 1978]   Breeden, D. T. and Litzenberger, R. (1978). Prices of state-contingent claims implicit in option prices. http://faculty.baruch.cuny.edu/lwu/890/BreedenLitzenberger78.pdf. Journal of business, 621-651.

[Breiman, 1968]   Breiman, L. (1968). Probability. SIAM.

[Brennan and Solanki, 1981]   Brennan, M. J. and Solanki, R. (1981). Optimal portfolio insurance. Journal of Financial and Quantitative Analysis, 16:279–300.

[Breuer and Csiszar, 2013]   Breuer, T. and Csiszar, I. (2013). Systematic stress tests with entropic plausibility constraints. Journal of banking and finance, 37:1552–1559.

[Breuer et al., 2008]   Breuer, T., Jandacka, M., Rheinberger, K., and Summer, M. (2008). Regulatory capital for market and credit risk interaction: is current regulation always conservative? http://www.econstor.eu/bitstream/10419/19791/1/200814dkp_b_.pdf. Working Paper.

[Brigo et al., 2009]   Brigo, D., Dalessandro, A., Neugebauer, M., and Triki, F. (2009). A stochastic processes toolkit for risk management: Mean reverting processes and jumps. Journal of Risk Management in Financial Institutions, 3(1).

[Brigo and Mercurio, 2001]   Brigo, D. and Mercurio, F. (2001). Interest Rate Models. Springer.

[Brigo et al., 2013]   Brigo, D., Morini, M., and Pallavicini, A. (2013). Counterparty credit risk, collateral and funding: with pricing cases for all asset classes. John Wiley & Sons.

[Brigo et al., 2010]   Brigo, D., Pallavicini, A., and Torresetti, R. (2010). Credit Models and the Crisis: A Journey Into CDOs, Copulas, Correlations and Dynamic Models. Wiley.

[Brillinger, 2001]   Brillinger, D. R. (2001). Time Series: Data Analysis and Theory. Society for Industrial and Applied Mathematics, Classics in Applied Mathematics.

[Brockwell and Davis, 2009]   Brockwell, P. J. and Davis, R. A. (2009). Time series: theory and methods. Springer.

[Bronstein et al., 2017]   Bronstein, M. M., Bruna, J., LeCun, Y., Szlam, A., and Vandergheynst, P. (2017). Geometric deep learning: going beyond euclidean data. IEEE Signal Processing Magazine, 34(4):18–42.

[Browne and Kosowski, 2010]   Browne, S. and Kosowski, R. (2010). Drawdown minimization. Encyclopedia of Quantitative Finance, Wiley.

[Bruder and Gaussel, 2011]   Bruder, B. and Gaussel, N. (2011). Risk-return analysis of dynamic investment strategies. SSRN 2465623.

[Buckle et al., 2012]   Buckle, M., Chen, J., and Williams, J. (2012). Realised higher moments: Theory and practice. http://homepages.abdn.ac.uk/julian.williams/pages/HigherMoments.pdf. Working Paper.

[Buhlmann, 1980]   Buhlmann, H. (1980). An economic premium principle. Astin Bulletin, 11:52–60.

[Bun et al., 2017]   Bun, J., Bouchaud, J. P., and Potters, M. (2017). Cleaning large correlation matrices: Tools from random matrix theory. Physics Reports, 666(1):1–109.

[Burlakov et al., 2013]   Burlakov, Y., Kamal, M., and Salvadore, M. (2013). Optimal limit order execution in a simple model for market microstructure dynamics. Journal of Investment Strategies, 2(3):51–89.

[Burnside, 2008]   Burnside, C. (2008). Carry trades and currency crashes: A comment. NBER Macroeconomics Annual.

[Cairns et al., 2006]   Cairns, A. J., Blake, D., and Dowd, K. (2006). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance, 73(4):687–718.

[Cambanis et al., 1981]   Cambanis, S., Huang, S., and Simons, G. (1981). On the theory of elliptically contoured distributions. Journal of Multivariate Analysis, 11(3):368–385.

[Campbell et al., 1997]   Campbell, J. Y., Lo, A. W., and MacKinlay, A. C. (1997). The Econometrics of Financial Markets. Princeton University Press.

[Campbell, 1980]   Campbell, N. A. (1980). Robust procedures in multivariate analysis I: Robust covariance estimation. Applied Statistics, 29:231–237.

[Canabarro and Duffie, 2003]   Canabarro, E. and Duffie, D. (2003). Measuring and marking counterparty risk. In Tilman, L., editor, Asset/Liability Management of Financial Institutions: Maximizing Shareholder Value Through Risk-Conscious Investing, pages 122–134. Euromoney Institutional Investor PLC.

[Cannarsa and D’Aprile, 2015]   Cannarsa, P. and D’Aprile, T. (2015). Introduction to Measure Theory and Functional Analysis, volume 89. Springer.

[Cao et al., 2011]   Cao, G., Bachega, L., and Bouman, C. (2011). The sparse matrix transform for covariance estimation and analysis of high dimensional signals. IEEE transactions on image processing, 20:625–640.

[Caporale and Gil-Alana, 2009]   Caporale, G. M. and Gil-Alana, L. A. (2009). Persistence in us interest rates: Is it stable over time? http://www.qass.org.uk/2009/Vol_1/paper4.pdf. Quantitative and Qualitative Analysis in Social Sciences, Volume 3, Issue 1, 63-77.

[Carey and Gordy, 2004]   Carey, M. and Gordy, M. (2004). Measuring systematic risk in recoveries on defaulted debt i: Firm-level ultimate lgds. https://www.fdic.gov/bank/analytical/cfr/2005/apr/mcarey-mgordy.pdf. In FDIC: CFR Spring 2005 Research Conference Paper (Draft Memo).

[Carhart, 1997]   Carhart, M. (1997). On persistence in mutual fund performance. Journal of Finance, 52:57–82.

[Carr, 2000]   Carr, P. (2000). Deriving derivatives of derivative securities. Journal of Computational Finance, 4(2).

[Carr et al., 2003]   Carr, P., Geman, H., Madan, D. H., and Yor, M. (2003). Stochastic volatility for Lévy processes. Mathematical Finance, 13:345–382.

[Carr et al., 2007]   Carr, P., Geman, H., Madan, D. H., and Yor, M. (2007). Self-decomposability and option pricing. Mathematical Finance, 17:31–57.

[Carr and Lee, 2008]   Carr, P. and Lee, R. (2008). Robust replication of volatility derivatives. Courant Institute Mathematics in Finance Working Paper Series 2008-3.

[Carr and Wu., 2004]   Carr, P. and Wu., L. (2004). Time-changedLévy processes and option pricing. Journal of Financial Economics, 71:113–141.

[Castagna, 2010]   Castagna, A. (2010). FX Options and Smile Risk. Wiley.

[Castagnoli and LiCalzi, 1996]   Castagnoli, E. and LiCalzi, M. (1996). Expected utility without utility. Theory and Decision, 41:281–301.

[Caticha and Giffin, 2006]   Caticha, A. and Giffin, A. (2006). Updating probabilities. Bayesian Inference and Maximum Entropy Methods in Science and Engineering, AIP Conf. Proc.

[Cazalet and Roncalli, 2014]   Cazalet, Z. and Roncalli, T. (2014). Facts and fantasies about factor investing. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2524547. working paper.

[Cetin et al., 2004]   Cetin, U., R., J., and Protter, P. (2004). Liquidity risk and arbitrage pricing theory. Finance and Stochastics, 8(3):311–341.

[Chakraborty, 2001]   Chakraborty, B. (2001). On affine equivariant multivariate quantiles. Annals of the Institute of Statistical Mathematics, 53(2):380–403.

[Chan et al., 2001]   Chan, K., Chan, L. K. C., Jegadeesh, N., and Lakonishok, J. (2001). Earnings quality and stock returns. Technical report, National Bureau of Economic Research.

[Cheng, 1985]   Cheng, R. C. H. (1985). Generation of multivariate normal samples with given sample mean and covariance matrix. Journal of Statistical Computation and Simulation, 21:39–49.

[Cherubini et al., 2004]   Cherubini, U., Luciano, E., and Vecchiato, W. (2004). Copula Methods in Finance. Wiley.

[Chib and Greenberg, 1995]   Chib, S. and Greenberg, E. (1995). Understanding the Metropolis-Hastings algorithm. The American Statistician, 49:327–335.

[Chincarini and Kim, 2006]   Chincarini, L. B. and Kim, D. (2006). Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management. McGraw-Hill Education.

[Ching et al., 2007]   Ching, W., Zhang, S., and K Ng, M. (2007). On multi-dimensional markov chain models. Pacific Journal of Optimization.

[Chkili et al., 2012]   Chkili, W., Aloui, C., and Nguyen, D. K. (2012). Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates. Journal of International Financial Markets, Institutions and Money, 22(4):738–757.

[Choros et al., 2010]   Choros, B., Ibragimov, R., and Permiakova, E. (2010). Copula estimation. In Durante, F., Haerdle, W., Jaworski, P., and Rychlik, T., editors, Workshop on Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings. Springer.

[Chriss and Morokoff, 1999]   Chriss, N. and Morokoff, W. (1999). Market risk of variance swaps. http://www.risk.net/data/Pay_per_view/risk/technical/1999/risk_1099_swaps.pdf.

[Christensen, 2018]   Christensen, R. H. B. (2018). Cumulative link models for ordinal regression with the r package ordinal. Submitted in J. Stat. Software.

[Christoffersen et al., 1998]   Christoffersen, P., Diebold, F. X., and Schuermann, T. (1998). Horizon problems and extreme events in financial risk management. Economic Policy Review, 4(3):98–16.

[Clark, 2011]   Clark, I. J. (2011). Foreign Exchange Option Pricing: A Practitioner’s Guide. Wiley.

[Clark, 1973]   Clark, P. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41(1):135–155.

[Clarke et al., 2006]   Clarke, R., de Silva, H., and Thorley, S. (2006). The fundamental law of active portfolio management. https://www.aninvestor.com/CloudConstruct.SecureFileField/SecureFileField/GetSecureFile/2212?fieldName=SecureResearchDocument. Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006.

[Clenow, 2012]   Clenow, A. F. (2012). Following the Trend: Diversified Managed Futures Trading. Wiley.

[Clenow, 2015]   Clenow, A. F. (2015). Stocks on the Move: Beating the Market with Hedge Fund Momentum Strategies. Wiley.

[Cochrane, 1997]   Cochrane, J. H. (1997). Time Series for Macroeconomics and Finance. Lecture notes available online.

[Cochrane, 2005]   Cochrane, J. H. (2005). Asset pricing. Vol. 1. Princeton, NJ: Princeton university press.

[Cochrane, 2012]   Cochrane, J. H. (2012). Predictability notes. Lecture notes available online.

[Cont, 2007]   Cont, R. Ans Tankov, P. (2007). Recovering exponential Lévy models from option prices: Regularization of an ill-posed inverse problem. SIAM Journal on Control and Optimization, 45:1–25.

[Cont, 2010]   Cont, R. Ans Tankov, P. (2010). Constant proportion portfolio insurance in presence of jumps in asset prices. https://pdfs.semanticscholar.org/8b35/110de20470f6a4753606f832dd3ccaa284f3.pdf. Columbia University Center for Financial Engineering Financial Engineering Report No. 2007-10.

[Cont, 2005]   Cont, R. (2005). Volatility clustering in financial markets: Empirical facts and agent-based models. In Kirman, A. and Teyssiere, G., editors, Long Memory in Economics. Springer.

[Cont and Da Fonseca, 2002]   Cont, R. and Da Fonseca, J. (2002). Dynamics of implied volatility surfaces. Quantitative Finance, 2:45–60.

[Cont and de Larrard, 2013]   Cont, R. and de Larrard, A. (2013). Price dynamics in a markovian limit order market. SIAM Journal on Financial Mathematics, 4:1–25.

[Cont and Tankov, 2008]   Cont, R. and Tankov, P. (2008). Financial Modelling with Jump Processes. Chapman and Hall/CRC, 2nd edition.

[Cornish and Fisher, 1937]   Cornish, E. A. and Fisher, R. A. (1937). Moments and cumulants in the specification of distributions. Extrait de la Revue de l’Institute International de Statistique, 4:1–14.

[Cornuejols et al., 2018]   Cornuejols, G., Tutuncu, R., and Peña, J. (2018). Optimization Methods in Finance 2nd Edition. Cambridge University Press.

[Costa et al., 2015]   Costa, S., Santos, S., and Strapasson, J. (2015). Fisher information distance: a geometrical reading. Discrete Applied Mathematics, 197:59–69.

[Cover and Thomas, 2006]   Cover, T. M. and Thomas, J. A. (2006). Elements of Information Theory. Wiley, 2nd edition.

[Cox and Huang, 1989]   Cox, J. and Huang, C. F. (1989). Optimal consumption and portfolio policies when asset prices follow a diffusion process. Journal of Economic Theory, 49:33–83.

[Cox et al., 1985]   Cox, J. C., Ingersoll, J. E., and Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53:385–407.

[Creal and Tsay, 2015]   Creal, D. D. and Tsay, R. S. (2015). High dimensional dynamic stochastic copula models. Journal of Econometrics, 189(2):335–345.

[CreditSuisse, 1997]   CreditSuisse (1997). Creditrisk+: A credit risk management framework. http://www.macs.hw.ac.uk/~mcneil/F79CR/creditrisk.pdf.

[Crouhy et al., 1998]   Crouhy, M., Galai, D., and Mark, R. (1998). The new 1998 regulatory framework for capital adequacy: “standardized approach” versus “internal models”. In Alexander, C., editor, Risk Management and Analysis, I, pages 1–37. Wiley.

[Cudeck and MacCallum, 2012]   Cudeck, R. and MacCallum, R. C. (2012). Factor analysis at 100: Historical developments and future directions. Routledge.

[Cuppens, 1975]   Cuppens, R. (1975). Decomposition of Multivariate Probabilities. Academic Press.

[Curran, 1994]   Curran, M. (1994). Recovering identity. Risk, 7:65.

[Dai and Singleton, 2000]   Dai, Q. and Singleton, K. (2000). Specification analysis of affine term structure models. Journal of Finance, 55:1943–1978.

[D’Amico et al., 2003]   D’Amico, M., Fusai, G., and Tagliani, A. (2003). Valuation of exotic options using moments. Operational Research, 2:157–186.

[Damodaran, 2005]   Damodaran, A. (2005). Valuation approaches and metrics: A survey of the theory and evidence. Now Publishers Inc.

[Dang, 2012]   Dang, N. M. (2012). Optimal execution with transient impact. Working Paper. Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2183685.

[Daniel and Moskowitz, 2013]   Daniel, K. and Moskowitz, T. (2013). Momentum crashes. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2371227##. Swiss Finance Institute Research Paper No. 13-61, Columbia Business School Research Paper No. 14-6, Fama-Miller Working Paper.

[Daniels et al., 2003]   Daniels, M. G., Farmer, J. D., Gillemot, L., Iori, G., and Smith, E. (2003). Quantitative model of price diffusion and market friction based on trading as a mechanistic random process. Physical Review Letters, 90:108102.

[Dantzig, 1998]   Dantzig, G. (1998). Linear Programming and Extensions. Princeton University Press.

[Daul et al., 2003]   Daul, S., De Giorgi, E., Lindskog, F., and McNeil, A. (2003). The grouped t-copula with an application to credit risk. http://ssrn.com/abstract=1358956. Working Paper.

[David, 1981]   David, H. A. (1981). Order Statistics. Wiley, 2nd edition.

[David, 2007]   David, M. (2007). Powers. evaluation: From precision, recall and f-factor to roc, informedness, markedness & correlation, school of informatics and engineering, flinders university, adelaide. Technical report, australia. Technical report, TR SIE-07-001, Journal of Machine Learning ….

[Dawid, 1979]   Dawid, A. P. (1979). Conditional independence in statistical theory. Journal of the Royal Statistical Society: Series B (Methodological), 41(1):1–15.

[Dawid, 2007]   Dawid, A. P. (2007). The geometry of proper scoring rules. Annals of the Institute of Statistical Mathematics, 59(1):77–93.

[Dawid and Lauritzen, 2005]   Dawid, A. P. and Lauritzen, S. L. (2005). The geometry of decision theory. In Proceedings of the Second International Symposium on Information Geometry and its Applications, pages 22–28. University of Tokyo.

[Dawid and Sebastiani, 1999]   Dawid, A. P. and Sebastiani, P. (1999). Coherent dispersion criteria for optimal experimental design. Annals of Statistics, pages 65–81.

[de Groot et al., 2011]   de Groot, W., Huji, J., and Zhou, W. (2011). Another look at trading costs and short-term reversal profits. http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2011-Braga/papers/0259.pdf. Working Paper.

[De Vito et al., 2011]   De Vito, E., Umanita, V., and Villa, S. (2011). An extension of mercer theorem to vector-valued measurable kernels. Applied and Computational Harmonic Analysis, 34.

[de Vries et al., 2012]   de Vries, C., Danielsson, J., and Jorgensen, B. N. (2012). Fat tails, var and subadditivity*. https://www.riskresearch.org/files/DanielssonVriesJorgensenSamorodnitskyMandira2012.pdf. Forthcoming Journal of Econometrics, 2005.

[Deguest et al., 2013]   Deguest, R., Martellini, L., and Meucci, A. (2013). Risk parity and beyond - from asset allocation to risk allocation decisions. http://ssrn.com/abstract=2355778. EDHEC-Risk Working Paper.

[DeMiguel et al., 2005]   DeMiguel, V., Garlappi, L., and Uppal, R. (2005). How inefficient is the 1/n asset-allocation strategy? Working Paper.

[Dempster et al., 1977]   Dempster, A. P., Laird, M. N., and Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society, 39:1–22.

[Denault, 2001]   Denault, M. (2001). Coherent allocation of risk capital. Journal of risk 4, pages 1–34.

[Derman, 1999]   Derman, E. (1999). More than you ever wanted to know about volatility swaps. Goldman Sachs.

[Derman, 2003]   Derman, E. (2003). Laughter in the dark-the problem of the volatility smile. Lecture Notes, Master Program in Financial Engineering, Columbia University.

[DFine, 2011]   DFine, G. (2011). Asset allocation under a conditional diversification measure. https://www.maths.ox.ac.uk/system/files/attachments/300911.pdf.

[Dhaene et al., 2002]   Dhaene, J., Denuit, M., Goovaerts, M., Kaas, R., and Vyncke, D. (2002). The concept of comonotonicity in actuarial science and finance: theory. Insurance: Mathematics and Economics, 31(1):3–33.

[Dickson et al., 2013]   Dickson, D. C. M., Hardy, M., and Waters, H. R. (2013). Actuarial Mathematics for Life Contingent Risks. Cambridge University Press.

[Diebold and Li, 2006]   Diebold, F. and Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130:337–364.

[Diebold and Rudebusch, 1989]   Diebold, F. and Rudebusch, G. (1989). Long memory and persistence in aggregate output. Journal of Moneatry Economics, 24:189–209.

[Ding and Li, 2013]   Ding, A. A. and Li, Y. (2013). Copula correlation: An equitable dependence measure and extension of pearson’s correlation. arXiv preprint arXiv:1312.7214.

[Ding and He, 2004]   Ding, C. and He, X. (2004). K-means clustering via principal component analysis. In Proceedings of the twenty-first international conference on Machine learning, page 29. ACM.

[Ding et al., 2018]   Ding, J., Tarokh, V., and Yang, Y. (2018). Model selection techniques: An overview. IEEE Signal Processing Magazine, 35(6):16–34.

[Ding, 2012]   Ding, Z. (2012). An implementation of markov regime switching model with time varying transition probabilities in matlab. http://ssrn.com/abstract=2083332. Working Paper.

[Donier et al., 2015]   Donier, J., Bonart, J., Mastromatteo, I., and Bouchaud, J.-P. (2015). A fully consistent, minimal model for non-linear market impact. Quantitative Finance, 15(7):1109–1121.

[Doz et al., 2011]   Doz, C., Giannone, D., and Reichlin, L. (2011). A two-step estimator for large approximate dynamic factor models based on kalman filtering. Journal of Econometrics, 164(1):188–205.

[Doǧan et al., 2016]   Doǧan, Ü., Glasmachers, T., and Igel, C. (2016). A unified view on multi-class support vector classification. The Journal of Machine Learning Research, 17(1):1550–1831.

[Dragulescu and Yakovenco, 2002]   Dragulescu, A. A. and Yakovenco, V. M. (2002). Probability distribution of returns in the heston model with stochastic volatility. Quantitative Finance, 2:443–453.

[Duan and Miao, 2016]   Duan, J. and Miao, W. (2016). Default correlations and large-portfolio credit analysis. Journal of the American Statistical Association, 34:536–546.

[Duc and Schorderet, 2008]   Duc, F. and Schorderet, Y. (2008). Risk Management for Hedge Funds. Wiley.

[Duchi and Ruan, 2016]   Duchi, J. and Ruan, F. (2016). Asymptotic optimality in stochastic optimization. arXiv preprint arXiv:1612.05612.

[Duchi, 2018]   Duchi, J. C. (2018). Introductory lectures on stochastic optimization. The mathematics of data, 25:99–186.

[Duffie, 2001]   Duffie, D. (2001). Dynamic Asset Pricing Theory, Third Edition. Princeton University Press.

[Duffie and Kan, 1996]   Duffie, D. and Kan, R. (1996). A yield-factor model of interest rates. Mathematical Finance, 6:379–406.

[Duffie and Pan, 1997]   Duffie, D. and Pan, J. (1997). An overview of value at risk. The Journal of Derivatives, 4:7–49.

[Duffie and Singleton, 2003]   Duffie, D. and Singleton, K. J. (2003). Credit Risk: Pricing, Measurement, and Management. Princeton Series in Finance.

[Duffie and Singleton, 2004]   Duffie, D. and Singleton, K. J. (2004). Credit Risk Modeling: Theory and Applications. Princeton Series in Finance.

[Dufresne, 2001]   Dufresne, D. (2001). The integrated square-root process. Working Paper.

[Dumontier et al., 2019]   Dumontier, L., Garchery, G. Jacot, B., and Traccucci, P. (2019). A triptych approach for reverse stress testing of complex portfolios. https://arxiv.org/pdf/1906.11186v1.pdf.

[Durrleman et al., 2000]   Durrleman, V., Nikeghbali, A., and Roncalli, T. (2000). Which copula is the right one? Working Paper.

[Duvenaud et al., 2013]   Duvenaud, D., Lloyd, J. R., Grosse, R., Tenenbaum, J. B., and Ghahramani, Z. (2013). Structure discovery in nonparametric regression through compositional kernel search. arXiv preprint arXiv:1302.4922.

[Dynkin et al., 2005]   Dynkin, L., Gould, A., Hyman, J., and Konstantinovsky, V. (2005). Quantitative Management of Bond Portfolios. Princeton University Press.

[Efron, 1979]   Efron, B. (1979). Bootstrap methods: Another look at the jackknife. The Annals of Statistics, 7(1):1–26.

[Eisler et al., 2012]   Eisler, Z., Bouchaud, J. P., and Kockelkoren, J. (2012). The price impact of order book events: market orders, limit orders and cancellations. Quantitative Finance, 12(9):1395–1419.

[Ellul et al., 2003]   Ellul, A., Holden, C. W., Jain, P., and Jennings, R. (2003). A comprehensive test of order choice theory: Recent evidence from the nyse. http://eprints.lse.ac.uk/24896/1/DP471.pdf. Working Paper.

[Embrechts et al., 2000]   Embrechts, P., A., M., and Straumann, D. (2000). Correlation: Pitfalls and alternatives. Working Paper.

[Embrechts and Hofert, 2013]   Embrechts, P. and Hofert, M. (2013). A note on generalized inverses. Mathematical Methods of Operations Research, 77.

[Embrechts et al., 1997]   Embrechts, P., Klueppelberg, C., and Mikosch, T. (1997). Modelling Extremal Events. Springer.

[Embrechts et al., 2003]   Embrechts, P., Lindskog, F., and McNeil, A. J. (2003). Modelling dependence with copulas and applications to risk management. Handbook of heavy tailed distributions in finance.

[Embrechts et al., 2002]   Embrechts, P., McNeil, A., and Straumann, D. (2002). Correlation and dependence in risk management: properties and pitfalls. Risk management: value at risk and beyond, pages 176–223.

[Emmer et al., 2015]   Emmer, S., Kratz, M., and Tasche, D. (2015). What is the best risk measure in practice? a comparison of standard measures. Journal of Risk, pages 31–60.

[Engel and McFadden, 1994]   Engel, R. and McFadden, D. L. (1994). Handbook of Econometrics, vol. 4. JSTOR.

[Engle and Russell, 1998]   Engle, R. and Russell, J. (1998). Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica, 66:1127–1162.

[Engle, 1982]   Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50:987–1007.

[Engle, 2000]   Engle, R. F. (2000). Dynamic conditional correlation - a simple class of multivariate garch models. Journal of Business and Economic Statistics, 20:339–350.

[Epperlein and Smillie, 2006]   Epperlein, E. and Smillie, A. (2006). Cracking VaR with kernels. Risk Magazine, 19:70–74.

[Etner et al., 2009]   Etner, J., Jeleva, M., and Tallon, J.-M. (2009). Decision theory under uncertainty.

[Everson, 1997]   Everson, R. (1997). Orthogonal, but not orthonormal, procrustes problems. http://citeseerx.ist.psu.edu/viewdoc/download?rep=rep1&type=pdf&doi= Working Paper.

[Fabozzi, 2005]   Fabozzi, F. J., e. (2005). The Handbook of Fixed Income Securities. McGraw-Hill, 7th edition.

[Fabozzi, 2001]   Fabozzi, F. J. (2001). Bond portfolio management. Frank J. Fabozzi Series. John Wiley & Sons, 2. ed edition.

[Fabozzi et al., 2010]   Fabozzi, F. J., Focardi, S. M., and Kolm, P. N. (2010). Quantitative Equity Investing: Techniques and Strategies. Wiley.

[Fabozzi and Markowitz, 2011]   Fabozzi, F. J. and Markowitz, H. M. (2011). Equity Valuation and Portfolio Management. Wiley.

[Fama, 1970]   Fama, E. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25:383–417.

[Fama and French, 1993]   Fama, E. F. and French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1):3–56.

[Fang, 2003]   Fang, B. (2003). The skew elliptical distributions and their quadratic forms. Journal of Multivariate Analysis, 87(2):298–314.

[Fang et al., 1990]   Fang, K. T., Kotz, S., and Ng, K. W. (1990). Symmetric Multivariate and Related Distributions. CRC Press.

[Fang and Zhang, 1990]   Fang, K. T. and Zhang, Y. T. (1990). Generalized Multivariate Analysis. Springer.

[Fasshauer, 2011]   Fasshauer, G. E. (2011). Positive definite kernels: past, present and future. Dolomites Research Notes on Approximation, 4:21–63.

[Fed, 2011]   Fed (2011). Press release of the US Federal Reserve System. http://www.federalreserve.gov/newsevents/press/bcreg/20111220a.htm.

[Feuerverger and Wong, 2000]   Feuerverger, A. and Wong, A. C. (2000). Computation of value at risk for nonlinear portfolios. Journal of Risk, 3:37–55.

[Fischer, 2003]   Fischer, T. (2003). Risk capital allocation by coherent risk measures based on one-sided moments. Insurance: Mathematics and Economics, 32(1):135–146.

[Fissler and Ziegel, 2015]   Fissler, T. and Ziegel, J. F. (2015). Expected shortfall is jointly elicitable with value at risk - implications for backtesting.

[Fissler and Ziegel, 2016]   Fissler, T. and Ziegel, J. F. (2016). Higher order elicitability and osband’s principle. Annals of Statistics, 44.

[Fleming and Kroeske, 2013]   Fleming, B. and Kroeske, J. (2013). An Information-Theoretic Approach to Dimension Reduction of Financial Data. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2260410.

[Follmer and Schied, 2011]   Follmer, H. and Schied, A. (2011). Stochastic finance: an introduction in discrete time. Walter de Gruyter.

[Fong and Vasicek, 1984]   Fong, H. G. and Vasicek, O. A. (1984). A risk minimizing strategy for portfolio immunization. Journal of Finance, 39(5):1541–1546.

[Frahm and Wiechers, 2011]   Frahm, G. and Wiechers, C. (2011). On the diversification of portfolios of risky assets. http://hdl.handle.net/10419/45354. Discussion papers in statistics and econometrics.

[Friedman et al., 2012]   Friedman, C., Zhang, Y., and Cao, W. (2012). Fat tails via utility based entropy. Risk, 25(10):68.

[Friedman et al., 2010]    Friedman, C. A., Huang, J., and Huang, Y. (2010). Finding stress scenarios that get the job done, with a credit risk application. https://ssrn.com/abstract=1722871.

[Friedman and Zhang, 2014]   Friedman, C. A. and Zhang, Y. (2014). A method to find diverse and manageable sets of plausible yet severe financial scenarios. https://ssrn.com/abstract=2379083.

[Friedman et al., 2008]   Friedman, J., Hastie, T., and Tibshirani, R. (2008). Sparse inverse covariance estimation with the graphical lasso. Biostatistics, 9:432–441.

[Friedman et al., 1991]   Friedman, J. H. et al. (1991). Multivariate adaptive regression splines. The annals of statistics, 19(1):1–67.

[Friedman and Stuetzle, 1981]   Friedman, J. H. and Stuetzle, W. (1981). Projection pursuit regression. Journal of the American statistical Association, 76(376):817–823.

[Frittelli and Rosazza Gianin, 2002]   Frittelli, M. and Rosazza Gianin, E. (2002). Putting order in risk measures. Journal of Banking and Finance, 26:1473–1486.

[Froot, 2007]   Froot, K. A. (2007). Risk management, capital budgeting, and capital structure policy for insurers and reinsurers. Journal of risk and insurance, 74(2):273–299.

[Frye, 2013]   Frye, J. (2013). Loss given default as a function of the default rate. https://pdfs.semanticscholar.org/8669/481bc571eb6ee7161ae4af0dfce6a1a1fe40.pdf. Federal Reserve Bank of Chicago.

[Frye and Jacobs Jr, 2013]   Frye, J. and Jacobs Jr, M. (2013). Credit loss and systematic lgd. http://michaeljacobsjr.com/FryeJacobs_2012_CrdtRiskSysLGD_JCR_8-1_Spring_pp1-32.pdf. In Managing and Measuring Risk: Emerging Global Standards and Regulations After the Financial Crisis.

[Fu, 2002]   Fu, M. C. (2002). Optimization for simulation: Theory vs. practice. INFORMS Journal on Computing, 14(3):192–215.

[Fusai et al., 2016]   Fusai, G., Ballotta, L., and Marena, M. (2016). Introduction to default risk and counterparty credit modelling. Managing Energy Price Risk - Risk Books, pages 679–750.

[Fusai and Meucci, 2003]   Fusai, G. and Meucci, A. (2003). Assessing views. Risk, 16(3):S18–S21.

[Gabaix et al., 2003]   Gabaix, X., Parameswaran, G., Plerou, V., and Stanley, H. E. (2003). Understanding the cubic and half-cubic laws of financial fluctuations. Physica A: Statistical Mechanics and its Applications, 324(1):1–5.

[Gaines et al., 2018]   Gaines, B. R., Kim, J., and Zhou, H. (2018). Algorithms for fitting the constrained lasso. Journal of Computational and Graphical Statistics, 27(4):861–871.

[Galichon, 2017]   Galichon, A. (2017). Optimal Transport Methods in Economics. Princeton University Press.

[Garg et al., 2004]   Garg, A., Jayram, T., Vaithyanathan, S., and Zhu, H. (2004). Generalized opinion pooling. In AMAI.

[Gatheral, 2006]   Gatheral, J. (2006). The Volatility Surface: A Practitioner’s Guide. Wiley.

[Gatheral, 2010a]   Gatheral, J. (2010a). Market impact in models of the order book. http://faculty.baruch.cuny.edu/jgatheral/ParisMicrostructure2010.pdf. Market Microstructure: Confronting Many Viewpoints, Deceomber 8, 2010.

[Gatheral, 2010b]   Gatheral, J. (2010b). No-dynamic-arbitrage and market impact. Quantitative Finance, 10(7):749–759.

[Gatheral and Jacquire, 2012]   Gatheral, J. and Jacquire, A. (2012). Arbitrage-free SVI volatility surfaces. Working Paper.

[Gatheral and Oomen, 2010]   Gatheral, J. and Oomen, R. C. (2010). Zero-intelligence realized variance estimation. Finance and Stochastics, 14(2):249–283.

[Gatheral and Schied, 2013]   Gatheral, J. and Schied, A. (2013). Dynamical models of market impact and algorithms for order execution. In Fouque, J.-P. and Langsam, J., editors, Handbook on Systemic Risk, pages 579–599. Cambridge University Press.

[Gatheral et al., 2011]   Gatheral, J., Schied, A., and Slynko, A. (2011). Transient linear price impact and Fredholm integral equations. Mathematical Finance.

[Genest et al., 1995]   Genest, C., Ghoudi, K., and Rivest, L. P. (1995). A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika, 82:543–552.

[Genest and Rivest, 1993]   Genest, C. and Rivest, R. (1993). Statistical inference procedures for bivariate Archimedean copulas. Journal of the American Statistical Association, 88:1034– 1043.

[Gentilini, 2011]   Gentilini, A. (2011). Was ist das – der ‘leverage’? Barclays Bank PLC.

[Gerber and Cox, 1997]   Gerber, H. U. and Cox, S. H. (1997). Life insurance mathematics: with exercises contributed by Samuel H. Cox. Springer-Verlag.

[Gerber and Shiu, 1994]   Gerber, H. U. and Shiu, E. S. (1994). Option pricing by esscher transforms. Transactions of the Society of Actuaries, 46(99).

[Geweke, 1999]   Geweke, J. (1999). Using simulation methods for Bayesian econometric models: Inference, development and communication. Econometric Reviews, 18:1–126.

[Ghahramani, 2001]   Ghahramani, Z. (2001). An introduction to hidden markov models and bayesian networks. International Journal of Pattern Recognition and Artificial Intelligence, 15(01):9–42.

[Ghahramani et al., 1996]   Ghahramani, Z., Hinton, G. E., et al. (1996). The em algorithm for mixtures of factor analyzers. Technical report, Technical Report CRG-TR-96-1, University of Toronto.

[Ghaoui, 2006]   Ghaoui, L. E. (2006). On the quality of a semidefinite programming bound for sparse principal component analysis. arXiv preprint math/0601448.

[Ghojogh et al., 2021]   Ghojogh, B., Ghodsi, A., Karray, F., and Crowley, M. (2021). Factor analysis, probabilistic principal component analysis, variational inference, and variational autoencoder: Tutorial and survey. arXiv preprint arXiv:2101.00734.

[Ghoulmie et al., 2005]   Ghoulmie, F., Cont, R., and Nadal, J. (2005). Heterogeneity and feedback in an agent-based market model. Journal of Physics: Condensed Matter, 17:S1259–S1268.

[Giacometti et al., 2007]   Giacometti, M., Bertocchi, I., Rachev, T., and Fabozzi, F. (2007). Stable distributions in the Black-Litterman approach to asset allocation. Quantitative Finance, 7:423–433.

[Giacometti et al., 2020]   Giacometti, R., Torri, G., and Paterlini, S. (2020). Tail risks in large portfolio selection: Penalized quantile and expectile minimum deviation models. Available at SSRN 3587466.

[Glantz and Kissell, 2013]   Glantz, M. and Kissell, R. L. (2013). Multi-asset risk modeling: techniques for a global economy in an electronic and algorithmic trading era. Academic Press.

[Glasserman et al., 2012]   Glasserman, P., Kang, C., and Kang, W. (2012). Stress scenario selection by empirical likelihood. http://ssrn.com/abstract=2101465.

[Glasserman and Xu, 2013]   Glasserman, P. and Xu, X. (2013). Robust portfolio control with stochastic factor dynamics. Operations Research, 61(4):874–893.

[Gneiting, 2011]   Gneiting, T. (2011). Making and evaluating point forecasts. Journal of the American Statistical Association, 106(494):746–762.

[Gneiting and Raftery, 2007]   Gneiting, T. and Raftery, A. E. (2007). Strictly proper scoring rules, prediction, and estimation. Journal of the American statistical Association, 102(477):359–378.

[Godin et al., 2019]   Godin, F., Lai, V. S., and Trottier, D. (2019). A general class of distortion operators for pricing contingent claims with applications to cat bonds. Forthcoming Scandinavian Actuarial Journal.

[Goel and Zellner, 1986]   Goel, P. and Zellner, A. (1986). Bayesian Inference and Decision Techniques: Essays in Honor of Bruno De Finetti, volume 6 of Studies in Bayesian Econometrics and Statistics. Elsevier Science.

[Gohberg et al., 2009]   Gohberg, I., Lancaster, P., and Rodman, L. (2009). Matrix Polynomials. SIAM.

[Gollamudi, 2012]   Gollamudi, S. (2012). A new approach to calibrating fundamental and statistical factor models.

[Gordon and Shapiro, 1956]   Gordon, M. J. and Shapiro, E. (1956). Capital equipment analysis: the required rate of profit. Management science, 3(1):102–110.

[Gordy and Heitfield, 2001]   Gordy, M. and Heitfield, E. (2001). Of Moody’s and Merton: a structural model of bond rating transitions. http://www.bis.org/bcbs/events/oslo/gordyheit.pdf. Working Paper.

[Gordy, 2000]   Gordy, M. B. (2000). A comparative anatomy of credit risk models. Journal of Banking and Finance, 24:119–149.

[Gordy, 2003]   Gordy, M. B. (2003). A risk-factor model foundation for ratings-based bank capital rules. Journal of Financial Intermediation, 12.

[Gordy and Juneja, 2010]   Gordy, M. B. and Juneja, S. (2010). Nested simulation in portfolio risk measurement. Management Science, 56(10):1833–1848.

[Gourieroux and Jasiak, 1998]   Gourieroux, C. and Jasiak, J. (1998). Nonlinear innovations and impulse responses. Working Paper.

[Gourieroux et al., 2000]   Gourieroux, C., Laurent, J. P., and Scaillet, O. (2000). Sensitivity analysis of values at risk. Journal of Empirical Finance, 7:225–245.

[Goutis and Casella, 1999]   Goutis, C. and Casella, G. (1999). Explaining the saddlepoint approximation. The American Statistician, 53:216–224.

[Graham and Dodd, 1934]   Graham, B. and Dodd, D. L. (1934). Security analysis: principles and technique. McGraw-Hill.

[Gramacy et al., 2009]   Gramacy, R. B., Lee, J. H., and Silva, R. (2009). On estimating covariances between many assets with histories of highly variable length. Working Paper.

[Gramacy and Pantaleo, 2010]   Gramacy, R. B. and Pantaleo, E. (2010). Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing. Working Paper.

[Grammig and O., 2000]   Grammig, J. and O., M. K. (2000). Non-monotonic hazard functions and the autoregressive conditional duration model. Econometrics Journal, 3:16.

[Granger et al., 2014]   Granger, N., Greenig, D., Harvey, C., Rattray, S., and Zou, D. (2014). The unexpected costs of rebalancing and how to address them. https://www.man.com/US/the-unexpected-costs-of-rebalancing.

[Gregory, 2012]   Gregory, J. (2012). Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets. The Wiley Finance Series.

[Greyserman and Kaminski, 2014]   Greyserman, A. and Kaminski, K. (2014). Trend Following with Managed Futures: The Search for Crisis Alpha. Wiley.

[Grinold and Easton, 1998]   Grinold, R. C. and Easton, K. K. (1998). Attribution of performance and holdings. In Ziemba, W., Mulvey, J. M., and Newton, I., editors, Worldwide Asset and Liability Modeling, pages 87–113. Cambridge University Press.

[Grinold and Kahn, 1999]   Grinold, R. C. and Kahn, R. (1999). Active Portfolio Management. A Quantitative Approach for Producing Superior Returns and Controlling Risk. McGraw-Hill, 2nd edition.

[Grossman and Zhou, 1993]   Grossman, S. and Zhou, Z. (1993). Optimal investment strategies for controlling drawdowns. Mathematical Finance, 3:241–276.

[Guilbaud and Pham, 2011]   Guilbaud, F. and Pham, H. (2011). Optimal high frequency trading with limit and market orders. http://arxiv.org/abs/1106.5040. Working Paper.

[Gupton et al., 1997]    Gupton, G. M., Coughlan, G., and Wilson, M. (1997). CreditMetrics - technical document. http://www.defaultrisk.com/_pdf6j4/creditmetrics_techdoc.pdf.

[Guthoff et al., 1997]   Guthoff, A., Pfingsten, A., and Wolf, J. (1997). On the compatibility of value at risk, other risk concepts and expected utility maximization. Diskussionsbeitrag 97-01, Westfaelische Wilhelms-Universitaet Muenster.

[Guyon, 2009]   Guyon, I. (2009). A practical guide to model selection. Proc. Mach. Learn. Summer School Springer Text Stat, pages 1–37.

[Guyon et al., 2010]   Guyon, I., Saffari, A., Dror, G., and Cawley, G. (2010). Model selection: beyond the bayesian/frequentist divide. Journal of Machine Learning Research, 11(1).

[Ha Quang et al., 1970]   Ha Quang, M., Niyogi, P., and Yao, Y. (1970). Mercer’s theorem, feature maps, and smoothing. In Proceedings of the 19th annual conference on Learning Theory, pages 154–168.

[Hagan et al., 2002]   Hagan, P., Kumar, D., Lesniewski, A., and Woodward, D. (2002). Managing smile risk. Wilmott Magazine, pages 84–108.

[Hamilton et al., 2011]   Hamilton, D. T., Sun, Z., and Ding, M. (2011). Through-the-cycle edf credit measures. http://www.moodysanalytics.com/~/media/Microsites/ERS/2011/through-cycle-EDF/MoodysAnalytics_Through-the-Cycle%20EDF%20Measure%20Methodology%20Overview.pdf.

[Hamilton, 1994]   Hamilton, J. D. (1994). Time Series Analysis. Princeton University Press.

[Hampel, 1973]   Hampel, F. R. (1973). Robust estimation: A condensed partial survey. Zeitschrift fuer Wahrscheinlichkeitstheorie und Verwandte Gebiete, 27:87–104.

[Hampel et al., 1986]   Hampel, F. R., Ronchetti, E. M., Rousseeuw, P. J., and Stahel, W. A. (1986). Robust Statistics, the Approach Based on Influence Functions. Wiley.

[Hand and Henley, 1997]   Hand, D. and Henley, W. (1997). Statistical classification methods in consumer credit scoring: a review. Journal Royal Statistical Society, Series A, 160:523–541.

[Hansen, 1982]   Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica, 50:1029–1054.

[Hansen and Renault, 2009]   Hansen, L. P. and Renault, E. (2009). Pricing kernels and stochastic discount factors. Encyclopedia of Quantitative Finance, Rama Cont (ed.), John Wiley & Sons, Hoboken.

[Hansen and Sargent, 2007]   Hansen, L. P. and Sargent, T. J. (2007). Robustness. Princeton University Press.

[Hardle et al., 2007]   Hardle, W. K., Moro, R. A., and Schofer, D. (2007). Estimating probabilities of default with support vector machines. http://www.econstor.eu/bitstream/10419/19777/1/200718dkp_b_.pdf. Discussion Paper Series 2: Banking and Financial Studies.

[Harman, 1976]   Harman, H. H. (1976). Modern factor analysis. University of Chicago press.

[Harrison and Pliska, 1981]   Harrison, J. M. and Pliska, S. R. (1981). Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and their Applications, 11(3):215–260.

[Hartmann and Mitkovski, 2016]   Hartmann, A. and Mitkovski, M. (2016). Kernels of toeplitz operators. Recent progress on operator theory and approximation in spaces of analytic functions, 679:147–177.

[Hasbrouck, 1991]   Hasbrouck, J. (1991). Measuring the information content of stock trades. The Journal of Finance, 66(1):179–207.

[Hasbrouck, 2007]   Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press.

[Hastie et al., 2009]   Hastie, T., Tibshirani, R., and Friedman, J. (2009). The Elements of Statistical Learning: Data Mining, Inference, and Prediction. Springer, second edition.

[Hastie et al., 2005]   Hastie, T., Tibshirani, R., Friedman, J., and Franklin, J. (2005). The elements of statistical learning: data mining, inference and prediction. The Mathematical Intelligencer, 27(2):83–85.

[Hautsch and Ou, 2008]   Hautsch, N. and Ou, Y. (2008). Discrete-time stochastic volatility models and mcmc-based statistical inference. http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2008-063.pdf. SFB 649 Discussion Paper 2008-063.

[Hayashi, 2011]   Hayashi, F. (2011). Econometrics. Princeton University Press.

[Hayashi and Yoshida, 2005]   Hayashi, T. and Yoshida, N. (2005). On covariance estimation of non-synchronously observed diffusion processes. Bernoulli, 11:359–379.

[Hayden and Tasche, 2003]   Hayden, E. and Tasche, D. (2003). Testing rating accuracy. http://www.risk.net/data/Specal_Reports/pdf/credit/tech.pdf. Risk.

[He and Litterman, 2002]   He, G. and Litterman, R. (2002). The intuition behind Black-Litterman model portfolios. ssrn.com.

[Hedegaard, 2011]   Hedegaard, E. (2011). How margins are set and affect asset prices. Job Market Paper.

[Heston, 1993]   Heston, S. L. (1993). Closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2):327–343.

[Hewlett, 2006]   Hewlett, P. (2006). Clustering of order arrivals, price impact and trade path optimisation. Working Paper. Available at http://users.iems.northwestern.edu/ armbruster/2007msande444/Hewlett2006%20price%20impact.pdf.

[Hewlett, 2007]   Hewlett, P. (2007). Optimal liquidation against a markovian limit order book. http://www.optirisk-systems.com/events/carisma2007_files/dayone6.pdf.

[Homescu, 2015]    Homescu, C. (2015). Better investing through factors, regimes and sensitivity analysis. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2557236. working paper.

[Hong et al., 2000]   Hong, H., Lim, T., and Stein, J. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. http://scholar.harvard.edu/files/stein/files/badnews.pdf. Journal of Finance, Volume 55, Issue 1, pages 265–295, February 2000.

[Hosking, 1981]   Hosking, H. (1981). Fractional differencing. Biometrika, 68:165–176.

[Hosking, 1984]   Hosking, H. (1984). Modeling persistence in hydrological time series using fractional differencing. Water resources research, 20:1898–1908.

[Houweling et al., 2001]   Houweling, P., Hoek, J., and Kleibergen, F. (2001). ?the joint estimation of term structures and credit spreads. Journal of Empirical Finance, 8:297–323.

[Huber, 1964]   Huber, P. J. (1964). Robust estimation for a location parameter. Annals of Mathematical Statistics, 35:73–101.

[Huber, 1981]   Huber, P. J. (1981). Robust Statistics. Wiley.

[Huber and Ronchetti, 2009]   Huber, P. J. and Ronchetti, E. M. (2009). Robust statistics; 2nd ed. Wiley Series in Probability and Statistics. Wiley, Hoboken, NJ.

[Huberman et al., 1987]   Huberman, G., Kandel, S., and Stambaugh, R. F. (1987). Mimicking portfolios and exact arbitrage pricing. the Journal of Finance, 42(1):1–9.

[Hunt and Kennedy, 2004]   Hunt, P. J. and Kennedy, J. E. (2004). Financial Derivatives in Theory and Practice. Wiley.

[Hyvärinen and Dayan, 2005]   Hyvärinen, A. and Dayan, P. (2005). Estimation of non-normalized statistical models by score matching. Journal of Machine Learning Research, 6(4).

[Idzorek, 2004]   Idzorek, T. (2004). A step-by-step guide to the Black-Litterman model. Zephyr Associates Publications.

[Ilmanen, 1995]   Ilmanen, A. (1995). A framework for analyzing Yield Curve Trades. Salomon Bros.

[Ingersoll, 1987]   Ingersoll, E. J. (1987). Theory of Financial Decision Making. Rowman and Littlefield.

[Jacobs et al., 1991]   Jacobs, R. A., Jordan, M. I., Nowlan, S. J., and Hinton, G. E. (1991). Adaptive mixtures of local experts. Neural computation, 3(1):79–87.

[Jacod and Protter, 2004]   Jacod, J. and Protter, P. (2004). Probability essentials. Springer.

[James and Webber, 2000]   James, J. and Webber, N. (2000). Interest Rate Modelling. Wiley.

[Jankowitsch and Pichler, 2004]   Jankowitsch, R. and Pichler, S. (2004). Parsimonious estimation of credit spreads. The Journal of Fixed Income, 14(3):49–63.

[Jarrow et al., 1997]   Jarrow, R., Lando, D., and Turnbull, S. (1997). A Markov model for the term structure of credit risk spreads. Review of Financial Studies, 10:481–523.

[Jaworski et al., 2010]   Jaworski, P., Durante, F., Haerdle, W., and Rychlik, T. E. (2010). Copula Theory and its Applications. Springer, Lecture Notes in Statistics - Proceedings.

[Jeffreys, 1946]   Jeffreys, H. (1946). An invariant form for the prior probability in estimation problems. In Proceedings of the Royal Society of London. Series A, Mathematical and Physical Sciences, volume 186, pages 453–461. The Royal Society.

[Jegadeesh and Titman, 2001]   Jegadeesh, N. and Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. http://citeseerx.ist.psu.edu/viewdoc/download?doi= Journal of Finance, Volume 56, Issue 2, pages 699–720, April 2001.

[Johansen, 1995]   Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press on Demand.

[Jones et al., 2007]   Jones, R. C., Lim, T., and Zangari, P. J. (2007). The black-litterman model for structured equity portfolios. The Journal of Portfolio Management, 33(2):24–33.

[Joslin et al., 2011]   Joslin, S. K., Singleton, J., and Zhu, K. (2011). A new perspective on Gaussian dynamic term structure models. Review of Financial Studies, 24:926–970.

[Kahneman and Tversky, 1979]   Kahneman, D. and Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47:263–291.

[Kailath et al., 2000]   Kailath, T., Sayed, A. H., and Hassibi, B. (2000). Linear estimation, volume 1. Prentice Hall.

[Kaplan and Knowles, 2004]   Kaplan, P. D. and Knowles, J. A. (2004). Kappa: A generalized downside risk-adjusted performance measure. Journal of Performance Measurement.

[Karatzas and Fernholz, 2009]   Karatzas, I. and Fernholz, R. (2009). Stochastic portfolio theory: an overview. Handbook of numerical analysis, 15:89–167.

[Karatzas et al., 1987]   Karatzas, I., Lehoczky, J. P., and Shreve, S. E. (1987). Optimal portfolio and consumption decisions for a small investor on a finite horizon. SIAM Journal of Control and Optimization, 27:1157–1186.

[Karatzas and Shreve, 1998]   Karatzas, I. and Shreve, S. E. (1998). Methods of mathematical finance (Vol. 39). Springer Science & Business Media.

[Karlin, 2014]   Karlin, S. (2014). A first course in stochastic processes. Academic press.

[Kaye, 2005]   Kaye, P. (2005). Risk measurement in insurance a guide to risk measurement, capital allocation and related decision support issues. Casualty Actuarial Society Discussion Paper.

[Kendall and Stuart, 1969]   Kendall, M. and Stuart, A. (1969). The Advanced Theory of Statistics, Volume. Griffin, third edition.

[Kennedy, 1997]   Kennedy, D. P. (1997). Characterizing and filtering Gaussian models of the term structure of interest rates. Mathematical Finance, 7:107–118.

[Kilian, 2011]   Kilian, L. (2011). Structural vector autoregression.

[Klein and Chow, 2010]   Klein, R. F. and Chow, V. (2010). Orthogonalized equity risk premia and systematic risk decomposition. Working Paper 10-05, Dept. of Economics, West Virginia University.

[Klugman et al., 2012]   Klugman, S. A., Panjer, H. H., and Wilmot, G. E. (2012). Loss Models: From Data to Decisions. Wiley.

[Kochenderfer, 2015]   Kochenderfer, M. J. (2015). Decision making under uncertainty: theory and application. MIT press.

[Koijen et al., 2018]   Koijen, R. S. J., Moskowitz, T. J., Pedersen, L. H., and Vrugt, E. B. (2018). Carry. Journal of Financial Economics, 127(2):197–225.

[Koller and Friedman, 2009]   Koller, D. and Friedman, N. (2009). Probabilistic graphical models: principles and techniques. MIT press.

[Koller et al., 2010]   Koller, T., Goedhart, M., Wessels, D., et al. (2010). Valuation: Measuring and Managing the Value of Companies, volume 499. John Wiley and Sons.

[Konig, 1986]   Konig, H. (1986). Eigenvalue Distribution of Compact Operators. Operator Theory: Advances and Applications. Birkhauser Basel.

[Kopeliovich et al., 2013]   Kopeliovich, Y., Novosyolov, A., Satchkov, D., and Schachter, B. (2013). Robust risk estimation and hedging: A reverse stress testing approach. The Journal of Derivatives, 22(4):10–25.

[Kotz and Nadarajah, 2004]   Kotz, S. and Nadarajah, S. (2004). Multivariate T Distributions and Their Applications. Cambridge University Press.

[Kou, 2002]   Kou, S. G. (2002). A jump-diffusion model for option pricing. Management Science, 48:1086–1101.

[Koyluoglu and Hickman, 1998]   Koyluoglu, H. U. and Hickman, A. (1998). A generalized framework for credit risk portfolio models. http://www.financerisks.com/filedati/WP/credit_risk_2/CREDIT_RISK_PORTFOLIO_MODELS.pdf. Manuscript, Oliver Wyman & Company.

[Kraft et al., 2004]   Kraft, H., Kroisandt, G., and Mueller, M. (2004). Redesigning ratings: Assessing the discriminatory power of credit scores under censoring. http://www.marlenemueller.de/publications/PaperKKM.pdf. Working Paper.

[Kreinin and Sidelnikova, 2001]   Kreinin, A. and Sidelnikova, M. (2001). Regularization algorithms for transition matrices. Algo Research Quarterly, 4(23).

[Kreyszig, 1978]   Kreyszig, E. (1978). Introductory Functional Analysis With Applications. Wiley.

[Kusuoka, 2001]   Kusuoka, S. (2001). On law invariant coherent risk measures. Advances in Mathematical Economics, 3:83–95.

[Kyselova, 2011]   Kyselova, S. (2011). Backward allocation of the diversification effect in insurance risk. PhD thesis, VU University Amsterdam.

[Lachapelle et al., 2013]   Lachapelle, A., Lasry, J. M., Lehalle, C. A., and Lions, P. L. (2013). Efficiency of the price formation process in presence of high frequency participants: a mean field game analysis. http://arxiv.org/abs/1305.6323v3. Working Paper.

[Lando, 2000]   Lando, D. (2000). Some elements of rating-based credit risk modeling. In Jegadeesh, N. and Tuckman, B., editors, Advanced Fixed-Income Valuation Tools, pages 193–215. Wiley.

[Laruelle et al., 2011]   Laruelle, S., Lehalle, C. A., and Pagès, G. (2011). Optimal split of orders across liquidity pools: a stochastic algorithm approach. SIAM Journal on Financial Mathematics, 2:1042–1076.

[Lawley and Maxwell, 1962]   Lawley, D. N. and Maxwell, A. E. (1962). Factor analysis as a statistical method. Journal of the Royal Statistical Society. Series D (The Statistician), 12(3):209–229.

[Lay, 2016]   Lay, D. C. (2016). Linear Algebra and its applications 5th edition. Pearson.

[Ledoit and Wolf, 2004]   Ledoit, O. and Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis, 88:365–411.

[Lee and Ready, 1991]   Lee, C. and Ready, M. (1991). Inferring trade direction from intraday data. Journal of Finance, 46:733–746.

[Lehalle, 2013]   Lehalle, C. A. (2013). Market microstructure knowledge needed to control an intra-day trading process. In Fouque, J.-P. and Langsam, J., editors, Handbook on Systemic Risk, pages 549–578. Cambridge University Press.

[Lehalle and Larulle, 2013]   Lehalle, C. A. and Larulle, S. (2013). Market Microstructure in Practice. World Scientific Publishing Company.

[Lehalle and Neuman, 2017]   Lehalle, C. A. and Neuman, E. (2017). Incorporating signals into optimal trading. https://arxiv.org/abs/1704.00847. Working Paper.

[Lehmann and Casella, 1998]   Lehmann, E. L. and Casella, G. (1998). Theory of Point Estimation. Springer, 2nd edition.

[Leibowitz et al., 1996]   Leibowitz, M. L., Bader, L. N., and Kogelman, S. (1996). Return Targets and Shortfall Risks. McGraw-Hill.

[Levin, 2006]   Levin, J. (2006). Choice under uncertainty. Lecture Notes, 2.

[Levy, 1998]   Levy, H. (1998). Stochastic Dominance: Investment Decision Making under Uncertainty. Kluwer Academic Publishers.

[Lewellen, 2004]   Lewellen, J. (2004). Predicting returns with financial ratios. Journal of Financial Economics, 74(2):209–235.

[Li, 2000]   Li, D. X. (2000). On default correlation: A copula function approach. Journal of Fixed Income, 9:43–54.

[Li, 1992]   Li, K. (1992). Generation of random matrices with orthonormal columns and multivariate normal wariates with given sample mean and covariance. Journal of Statistical Computation and Simulation, 43(1-2):11–18.

[LiCalzi and Sorato, 2003]   LiCalzi, M. and Sorato, A. (2003). The Pearson system of utility functions. Working Paper.

[Lintner, 1965]   Lintner, J. (1965). The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47:13–37.

[Lipton et al., 2013]   Lipton, A., Pesavento, U., and Sotiropoulos, M. (2013). Trade arrival dynamics and quote imbalance in a limit order book. http://arxiv.org/pdf/1312.0514.pdf.

[Litterman, 1984]   Litterman, R. (1984). Specifying VAR’s for macroeconomic forecasting. http://www.mpls.frb.org/research/sr/sr92.pdf.

[Litterman and Scheinkman, 1991]   Litterman, R. and Scheinkman, J. (1991). Common factors affecting bond returns. Journal of Fixed Income, 1:54–61.

[Little and Rubin, 1987]   Little, R. J. A. and Rubin, D. B. (1987). Statistical Analysis with Missing Data. Wiley.

[Liu and Rubin, 1995]   Liu, C. H. and Rubin, D. B. (1995). ML estimation of the t distribution using EM and its extensions, ECM and ECME. Statistica Sinica, 5:19–39.

[Liu, 2007]   Liu, Q. (2007). Options’ prices under arithmetic Brownian motion and their implication for modern derivatives pricing. http://ssrn.com/abstract=959809. Working Paper.

[Lo et al., 2000]   Lo, A., Mamaysky, H., and Wang, J. (2000). Foundations of technical analysis: Computational algorithms, statistical inference, and empirical implementation. http://rramakrishnan.com/516/Readings/Financial-Economics/Technical-Analysis/Foundations-of-Technical-Analysiscomputational-Algorithmsstatistical-Inference.pdf. The Journal of Finance, Volume 55, Issue 4, pages 1705–1770.

[Lo and Sapp, 2010]   Lo, I. and Sapp, S. G. (2010). Order aggressiveness and quantity: How are they determined in a limit order market? Journal of International Financial Markets, 20:213–237.

[Lobo et al., 2007]   Lobo, M., Fazel, M., and Boyd, B. (2007). Portfolio optimization with linear and fixed transaction costs. Annals of Operations Research, 152(1):341–365.

[Lobo et al., 1998]   Lobo, M., Vandenberghe, L., Boyd, S., and Lebret, H. (1998). Applications of second-order cone programming. Linear Algebra and its Applications, Special Issue on Linear Algebra in Control, Signals and Image Processing, 284:193–228.

[Lohre et al., 2011]   Lohre, H., Neugebauer, U., and Zimmer, C. (2011). Diversifying risk parity. http://ssrn.com/abstract=1974446. Journal of Risk, Forthcoming.

[Lohre et al., 2012]   Lohre, H., Neugebauer, U., and Zimmer, C. (2012). Diversified risk parity strategies for equity portfolio selection. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2049280&%3Ca%20href=. The Journal of Investing, 21, 111-128.

[Lugannani and Rice, 1980]   Lugannani, R. and Rice, S. (1980). Saddle point approximation for the distribution of the sum of independent random variables. Advances in Applied Probability, 12:475–490.

[MacCallum et al., 2007]   MacCallum, R. C., Browne, M. W., and Cai, L. (2007). Factor analysis models as approximations. Lawrence Erlbaum, Mahwah, NJ.

[Madan and Milne, 1991]   Madan, D. and Milne, F. (1991). Option pricing with VG martingale components. Mathematical Finance, 1:39–56.

[Madan, 2012]   Madan, D. B. (2012). Vg density. Working Paper.

[Mafusalov and Uryasev, 2016]   Mafusalov, A. and Uryasev, S. (2016). Cvar (superquantile) norm: Stochastic case. European Journal of Operational Research, 249(1):200–208.

[Magdon-Ismail and Atiya, 2004]   Magdon-Ismail, M. and Atiya, A. F. (2004). Maximum drawdown. Risk Magazine, 17(10):99–102.

[Magnus and Neudecker, 1979]   Magnus, J. R. and Neudecker, H. (1979). The commutation matrix: Some properties and applications. Annals of Statistics, 7:381–394.

[Magnus and Neudecker, 1999]   Magnus, J. R. and Neudecker, H. (1999). Matrix Differential Calculus with Applications in Statistics and Econometrics, Revised Edition. Wiley.

[Makkuva et al., 2019]   Makkuva, A., Viswanath, P., Kannan, S., and Oh, S. (2019). Breaking the gridlock in mixture-of-experts: Consistent and efficient algorithms. In International Conference on Machine Learning, pages 4304–4313.

[Malz, 1997]   Malz, A. (1997). Option-implied probability distributions and currency excess returns. Federal Reserve Bank of New York - Staff Reports.

[Mantegna, 1999]   Mantegna, R. N. (1999). Hierarchical structure in financial markets. The European Physical Journal B, 11:193–197.

[Mardia et al., 1979]   Mardia, K. V., Kent, J. T., and Bibby, J. M. (1979). Multivariate Analysis. Academic Press.

[Markowitz, 1952]   Markowitz, H. M. (1952). Portfolio selection. Journal of Finance, 7(1):77–91.

[Maronna, 1976]   Maronna, R. A. (1976). Robust M-estimators of multivariate location and scatter. Annals of Statistics, 1:51–67.

[Masani, 1966]   Masani, P. (1966). Recent trends on multivariate prediction theory.

[Mathai and Provost, 1992]   Mathai, A. M. and Provost, S. B. (1992). Quadratic Forms in Random Variables. CRC Presss.

[Mausser, 2003]   Mausser, H. (2003). Calculating quantile-based risk analytics with L-estimators. Jorunal of Risk Finance, pages 61–74.

[McCulloch and Kazakov, 2007]   McCulloch, J. and Kazakov, V. (2007). Optimal VWAP trading strategy and relative volume. University of Technology, Sydney.

[McElroy, 2017]   McElroy, T. (2017). Computation of vector arma autocovariances. Statistics & Probability Letters, 124:92–96.

[McNeil et al., 2005]   McNeil, A. J., Frey, R., and Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press.

[McNeil and Nešlehová, 2009]   McNeil, A. J. and Nešlehová, J. (2009). Multivariate archimedean copulas, d-monotone functions and l1-norm symmetric distributions. The Annals of Statistics, pages 3059–3097.

[McNeil and Wendin, 2007]   McNeil, A. J. and Wendin, J. P. (2007). Bayesian inference for generalized linear mixed models of portfolio credit risk. Journal of Empirical Finance, 14(2):131–149.

[Menchero, 2007]   Menchero, J. (2007). Risk-adjusted performance attribution. The Journal of Performance Measurement, 11(2):22–28.

[Menchero et al., 2008]   Menchero, J., Morozov, A., and Shepard, P. (2008). The Barra global equity model (GEM2). Barra Research Notes, pages 1–79.

[Merton, 1969]   Merton, R. C. (1969). Lifetime portfolio selection under uncertainty: The continuous case. Review of Economical Statistics, 51:247–257.

[Merton, 1974]   Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29:449–470.

[Merton, 1976]   Merton, R. C. (1976). Option pricing when underlying stocks are discontinuous. Journal of Financial Economics, 3:125–144.

[Merton, 1992]   Merton, R. C. (1992). Continuous-Time Finance. Blackwell.

[Meucci, 2005]   Meucci, A. (2005). Risk and asset allocation. https://www.arpm.co/book/. Springer Finance.

[Meucci, 2006]   Meucci, A. (2006). Beyond Black-Litterman in practice: A five-step recipe to input views on non-normal markets. http://symmys.com/node/157. Working Paper.

[Meucci, 2008]   Meucci, A. (2008). Fully Flexible Views: Theory and practice. http://symmys.com/node/158. Risk, 21(10), 97-102.

[Meucci, 2009a]   Meucci, A. (2009a). Managing diversification. http://symmys.com/node/199. Risk, 74-79.

[Meucci, 2009b]   Meucci, A. (2009b). Review of statistical arbitrage, cointegration, and multivariate Ornstein-Uhlenbeck. http://symmys.com/node/132. Working Paper.

[Meucci, 2009c]   Meucci, A. (2009c). Simulations with exact means and covariances. http://symmys.com/node/162. Risk, 22(7), 89-91.

[Meucci, 2010a]   Meucci, A. (2010a). Annualization and general projection of skewness, kurtosis, and all summary statistics. http://symmys.com/node/136. Working Paper.

[Meucci, 2010b]   Meucci, A. (2010b). The Black-Litterman approach: Original model and extensions. http://symmys.com/node/154. The Encyclopedia of Quantitative Finance, Wiley.

[Meucci, 2010c]   Meucci, A. (2010c). Common misconceptions about ’beta’ - hedging, estimation and horizon effects. http://symmys.com/node/165. GARP’s Risk Professional Magazine.

[Meucci, 2010d]   Meucci, A. (2010d). Factors on Demand - building a platform for portfolio managers risk managers and traders. http://symmys.com/node/164. Risk, 23(7), 84-89.

[Meucci, 2010e]   Meucci, A. (2010e). Linear vs. compounded returns - common pitfalls in portfolio management. http://symmys.com/node/141. Garp Risk Professional “The Quant Classroom” series 2, 49-51.

[Meucci, 2011a]   Meucci, A. (2011a). Mixing probabilities and kernels via Entropy Pooling. http://symmys.com/node/353. Garp Risk Professional, 32-36.

[Meucci, 2011b]   Meucci, A. (2011b). A new breed of copulas for risk and portfolio management. http://symmys.com/node/335. Risk, 24(9), 122-126.

[Meucci, 2011c]   Meucci, A. (2011c). “P” versus “Q”: Differences and commonalities between the two areas of quantitative finance. http://symmys.com/node/62. Garp Risk Professional, 47-50.

[Meucci, 2011d]   Meucci, A. (2011d). A short, comprehensive, practical guide to copulas. http://symmys.com/node/351. Garp Risk Professional.

[Meucci, 2012a]   Meucci, A. (2012a). Effective number of scenarios with Fully Flexible Probabilities. http://symmys.com/node/362. GARP Risk Professional, 45-46.

[Meucci, 2012b]   Meucci, A. (2012b). Stress-testing with fully flexible causal inputs. http://symmys.com/node/resources/fully-flexible-bayesian-networks. Risk, 25(4), 61-65.

[Meucci, 2013]   Meucci, A. (2013). Estimation and stress-testing via time- and market-conditional flexible probabilities. http://symmys.com/node/600. Working Paper.

[Meucci et al., 2014]   Meucci, A., Ardia, D., and Colasante, M. (2014). Portfolio construction and systematic trading with Factor Entropy Pooling. http://symmys.com/node/160. Risk, 27 (5), 56-61.

[Meucci et al., 2018]   Meucci, A., Ardia, D., and Colasante, M. (2018). Processing flexible views in large dimensional markets. Working Paper.

[Meucci et al., 2007]   Meucci, A., Gan, Y., Lazanas, A., and Phelps, B. (2007). A portfolio mangers guide to Lehman Brothers tail risk model. Lehman Brothers Publications.

[Meucci and Loregian, 2016]   Meucci, A. and Loregian, A. (2016). Neither “normal” nor “lognormal”: modeling interest rates across all regimes. Financial Analysts Journal, 72(3):68–82.

[Meucci and Nicolosi, 2016]   Meucci, A. and Nicolosi, M. (2016). Dynamic portfolio management with views at multiple horizons. Applied Mathematics and Computation.

[Meucci et al., 2015]   Meucci, A., Santangelo, A., and Deguest, R. (2015). Risk budgeting and diversification based on optimized uncorrelated factors. symmys.com/node/599. Risk, Volume 11, Issue 29, 70-75.

[Mike and Farmer, 2005]   Mike, S. and Farmer, J. D. (2005). An empirical behavioral model of price formation. http://tuvalu.santafe.edu/~jdf/papers/05-10-039.pdf. Santa Fe Working Paper.

[Mikosch, 2009]   Mikosch, T. (2009). Non-life insurance mathematics: an introduction with the Poisson process. Springer Science & Business Media.

[Mina and Xiao, 2001]   Mina, J. and Xiao, J. (2001). Return to RiskMetrics: The evolution of a standard. RiskMetrics publications.

[Minka, 2003]   Minka, T. P. (2003). Old and new matrix algebra useful for statistics. Working Paper.

[Moallemi and Sağlam, 2012]   Moallemi, C. C. and Sağlam, M. (2012). Dynamic portfolio choice with linear rebalancing rules. http://ssrn.com/abstract=2011605. Working paper.

[Moix, 2012]   Moix, P.-Y. (2012). The measurement of market risk: modelling of risk factors, asset pricing, and approximation of portfolio distributions, volume 504. Springer Science & Business Media.

[Moller, 2002]   Moller, T. (2002). On valuation and risk management at the interface of insurance and finance. British Actuarial Journal, 8:787–827.

[Monroe, 1978]   Monroe, I. (1978). Processes that can be imbedded in Brownian motion. The Annals of Probability, 6(1):42–56.

[Moody’s, 2008]   Moody’s (2008). Asset correlation, realized default correlation, and portfolio credit risk. http://www.moodysanalytics.com/~/media/Insight/Quantitative-Research/Portfolio-Modeling/08-03-03-Asset-Correlation-and-Portfolio-Risk.ashx.

[Moody’s, 2011]   Moody’s (2011). Modeling sovereign correlations. http://www.moodysanalytics.com/~/media/Insight/Quantitative-Research/Portfolio-Modeling/11-17-06-Modeling-Sovereign-Correlations.ashx.

[Morokoff, 2000]   Morokoff, W. (2000). The Brownian bridge E-M algorithm for covariance estimation with missing data. Journal of Computational Finance, 2(1):75–100.

[Morokoff et al., 1999]   Morokoff, W., Akesson, F., and Zhou, Y. (1999). Risk management of volatility and variance swaps. Firmwide Risk Quantitative Modeling Notes, Goldman Sachs.

[Morokoff et al., 2012]   Morokoff, W., Islam, S., and Yang, L. (2012). Approximating correlation matrices. In Mathematical Problems in Industry Workshop. Standard and Poor’s Rating Services.

[Mossin, 1966]   Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica, 34(4):768–783.

[Murphy, 2007]   Murphy, K. P. (2007). Conjugate bayesian analysis of the gaussian distribution. def, 1(22):16.

[Murphy, 2022]   Murphy, K. P. (2022). Probabilistic machine learning: an introduction. MIT press.

[Natenberg, 2014]   Natenberg, S. (2014). Option Volatility and Pricing: Advanced Trading Strategies and Techniques, 2nd Edition. McGraw-Hill Education.

[Nelsen, 1999]   Nelsen, R. B. (1999). An Introduction to Copulas. Springer.

[Nelson and Siegel, 1987]   Nelson, C. and Siegel, A. (1987). Parsimonious modeling of yield curve. Journal of Business, 60:473–489.

[Nesterov and Nemirovski, 1995]   Nesterov, Y. and Nemirovski, A. (1995). Interor-Point Polynomial Algorithms in Convex Programming. Society for Industrial and Applied Mathematics.

[Newey and Powell, 1987]   Newey, W. K. and Powell, J. L. (1987). Asymmetric least squares estimation and testing. Econometrica: Journal of the Econometric Society, pages 819–847.

[Newey and West, 1987]   Newey, W. K. and West, K. D. (1987). A simple, positive-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55:703–708.

[Nielsen, 2020]   Nielsen, F. (2020). An elementary introduction to information geometry. Entropy, 22.

[Nolde and Ziegel, 2017]   Nolde, N. and Ziegel, J. F. (2017). Elicitability and backtesting: Perspectives for banking regulation. The annuals of applied statistics, 11.

[NRS, 1992]   NRS (1988-1992). Numerical Recipes in C: The Art of Scientific Computing. Cambridge University Press.

[Obizhaeva and Wang, 2013]   Obizhaeva, A. A. and Wang, J. (2013). Optimal trading strategy and supply/demand dynamics. Journal of Financial Markets, 16(1):1–32.

[Oh and Patton, 2015]   Oh, D. H. and Patton, A. J. (2015). Modelling dependence in high dimensions with factor copulas. Journal of Business & Economic Statistics.

[O’Hagan, 1994]   O’Hagan, A. (1994). Kendall’s Advanced Theory of Statistics: Bayesian Inference, Vol 2B. Edward Arnold.

[O’Hara, 1998]   O’Hara, M. (1998). Market Microstructure Theory. Wiley.

[O’Hara et al., 2013]   O’Hara, M., Lopez de Prado, M., and Easley, D. (2013). High-frequency Trading. Risk Books.

[Oliveri and Pitacco, 2011]   Oliveri, A. and Pitacco, E. (2011). Introduction to insurance mathematics: technical and financial features of risk transfers. Springer Science & Business Media.

[Omberg, 2001]   Omberg, E. (2001). Non-myopic asset-allocation with stochastic interest rates. Working Paper.

[Osband and Reichelstein, 1985]   Osband, K. and Reichelstein, S. (1985). Information-eliciting compensation schemes. Journal of Public Economics, 27(1):107–115.

[Pascanu and Bengio, 2013]   Pascanu, R. and Bengio, Y. (2013). Revisiting natural gradient for deep networks. arXiv preprint arXiv:1301.3584.

[Pascucci, 2011]   Pascucci, A. (2011). PDE and martingale methods in option pricing, volume 2. Springer.

[Patton, 2009]   Patton, A. J. (2009). Copula-based models for financial time series. Handbook of Financial Time Series, pages 767–785.

[Patton, 2011]   Patton, A. J. (2011). Volatility forecast comparison using imperfect volatility proxies. Journal of Econometrics, 160(1):246–256.

[Patton, 2012]   Patton, A. J. (2012). Copula methods for forecasting multivariate time series. Handbook of economic forecasting, 2:899–960.

[Pearson, 1895]   Pearson, K. (1895). Memoir on skew variation in homogenous material. Philosophical Transactions of the Royal Society, 186:343–414.

[Pedro, 2000]   Pedro, D. (2000). A unified bias-variance decomposition and its applications. In 17th International Conference on Machine Learning, pages 231–238.

[Pelsser and Ghalehjooghi, 2016]   Pelsser, A. and Ghalehjooghi, A. S. (2016). Time-consistent actuarial valuations. Insurance: Mathematics and Economics, 66:97–112.

[Pendse, 2011]   Pendse, G. V. (2011). A tutorial on the lasso and the” shooting algorithm”. URL http://www. gautampendse. com/software/lasso/webpage/lasso_shooting. html.

[Perlin, 2010]   Perlin, M. (2010). Ms regress - the matlab package for Markov regime switching models. http://ssrn.com/abstract=1714016. Working Paper.

[Perold, 1988]   Perold, A. F. (1988). The implementation shortfall: Paper vs. reality. Journal of Portfolio Management, 14(3):4–9.

[Perruchet and Peereman, 2004]   Perruchet, P. and Peereman, R. (2004). The exploitation of distributional information in syllable processing. Journal of Neurolinguistics, 17(2-3):97–119.

[Persson, 1994]   Persson, S. A. (1994). Pricing life insurance contracts under financial uncertainty. http://brage.bibsys.no/xmlui/bitstream/handle/11250/162622/Persson_1994.pdf?sequence=1. Dissertation submitted for the degree of dr. econ. at the Norwegian School of Economics and Business Administration, 77-104.

[Pesaran, 2015]   Pesaran, M. H. (2015). Time series and panel data econometrics. Oxford University Press.

[Petersen and Pedersen, 2006]   Petersen, K. B. and Pedersen, M. S. (2006). The matrix cookbook. Technical University of Denmark Working Paper.

[Peterson, 2008]   Peterson, M. (2008). Nonbayesian Decision Theory. Springer.

[Pezier, 2007]   Pezier, J. (2007). Global portfolio optimization revisited: A least discrimination alternantive to Black-Litterman. ICMA Centre Discussion Papers in Finance.

[Pickands, 1975]   Pickands, J. (1975). Statistical inference using extreme order statistics. Annals of Statistics, 3:119–131.

[Pliska, 1986]   Pliska, S. R. (1986). A stochastic calculus model of continuous trading: Optimal portfolios. Mathematics of Operations Research, 11:371–382.

[Poczos et al., 2011]   Poczos, B., Krishner, S., Pal, D., Szepesvari, C., and Schneider, J. (2011). Robust nonparametric copula based dependence estimators. NIPS 2011 Copula workshop.

[Poirot and Tankov, 2006]   Poirot, J. and Tankov, P. (2006). Monte carlo option pricing for tempered stable (cgmy) processes. Asia-Pacific Financial Markets, 13:327–344.

[Politis, 2007]   Politis, D. N. (2007). Model-free vs. model-based volatility prediction. Journal of Financial Econometrics, 5:358–389.

[Politis and Thomakos, 2008]    Politis, D. N. and Thomakos, D. D. (2008). NoVaS transformations: Flexible inference for volatility forecasting. http://escholarship.org/uc/item/982208kx. Recent Work, Department of Economics, UCSD, UC San Diego.

[Polyanin and Manzhirov, 1998]   Polyanin, A. D. and Manzhirov, A. V. (1998). Handbook of Integral Equations. CRC Press.

[Polyanin and Manzhirov, 2008]    Polyanin, A. D. and Manzhirov, A. V. (2008). Handbook of integral equations. Chapman and Hall/CRC.

[Poor, 1998]   Poor, H. (1998). An Introduction to Signal Detection and Estimation. Springer New York.

[Pospisil and Vecer, 2010]   Pospisil, L. and Vecer, J. (2010). Portfolio sensitivity to changes in the maximum and the maximum drawdown. Quantitative Finance, 10(6):617–627.

[Poston et al., 1997]   Poston, W. L., Wegman, E. J., Priebe, C. E., and Solka, J. L. (1997). A deterministic method for robust estimation of multivariate location and shape. Journal of Computational and Graphical Statistics, 6:300–313.

[Potters et al., 2005]   Potters, M., Bouchaud, J. P., and Laloux, L. (2005). Financial applications of random matrix theory: Old laces and new pieces. arXiv:physics, 0507111v1.

[Press, 1982]   Press, S. J. (1982). Applied Multivariate Analysis. Krieger, 2nd edition.

[Priestley, 1981]   Priestley, M. B. (1981). Spectral Analysis and Time Series. Academic Press.

[Prono, 2011]   Prono, T. (2011). Simple, skewness-based GMM estimation of the semi-strong GARCH(1,1) model. Working Paper.

[Pykhtin and Rosen, 2010]   Pykhtin, M. and Rosen, D. (2010). Pricing counterparty risk at the trade level and cva allocations. https://www.moodys.com/microsites/crc2010/papers/cva_allocations.pdf.

[Qian and Gorman, 2001]   Qian, E. and Gorman, S. (2001). Conditional distribution in portfolio theory. Financial Analyst Journal, 57:44–51.

[Qian and Hua, 2006]   Qian, E. and Hua, R. (2006). Active risk and information ratio. In The World Of Risk Management, pages 151–167. World Scientific.

[Qian et al., 2007]   Qian, E., Hua, R., and Sorensen, E. H. (2007). Quantitative Equity Portfolio Management: Modern Techniques and Applications. Chapman and Hall/CRC Financial Mathematics Series.

[Quenouille, 1956]   Quenouille, M. H. (1956). Notes on bias in estimation. Biometrika, 43:353–360.

[Rakhlin and Sridharan, 2015]   Rakhlin, A. and Sridharan, K. (2015). Online nonparametric regression with general loss functions. arXiv preprint arXiv:1501.06598.

[Rao and Toutenburg, 1995]   Rao, C. R. and Toutenburg, H. (1995). Linear models. In Linear models, pages 3–18. Springer.

[Rao, 2004]   Rao, R. (2004). The mathematics of infinite random matrices: The stieltjes transform based approach. https://ocw.mit.edu/courses/mathematics/18-338j-infinite-random-matrix-theory-fall-2004/lecture-notes/handout4.pdf. Accessed: 5-3-2020.

[Reiss, 2003]   Reiss, O. (2003). Fourier inversion algorithm for generalized creditrisk+ model and an extension to incorporate market risk. Working Paper.

[Rencher, 2002]   Rencher, A. C. (2002). Methods of Multivariate Analysis. Wiley, 2nd edition.

[Richter, 2013]   Richter, W.-D. (2013). Geometric and stochastic representations for elliptically contoured distributions. Communications in Statistics-Theory and Methods, 42(4):579–602.

[Robert and Rosenbaum, 2011]   Robert, C. Y. and Rosenbaum, M. (2011). A new approach for the dynamics of ultra-high-frequency data: The model with uncertainty zones. Journal of Financial Econometrics, 9(2):344–366.

[Rockafellar and Uryasev, 2000]   Rockafellar, R. and Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2(3):21–41.

[Rockafellar, 2007]   Rockafellar, R. T. (2007). Coherent approaches to risk in optimization under uncertainty. In OR Tools and Applications: Glimpses of Future Technologies, pages 38–61. Informs.

[Rockafellar and Uryasev, 2013]   Rockafellar, R. T. and Uryasev, S. (2013). The fundamental risk quadrangle in risk management, optimization and statistical estimation. Surveys in Operations Research and Management Science, 18(1-2):33–53.

[Rockafellar et al., 2000]   Rockafellar, R. T., Uryasev, S., et al. (2000). Optimization of conditional value-at-risk. Journal of risk, 2:21–42.

[Roll, 1977]   Roll, R. (1977). A critique of the asset pricing theory’s tests part i: On past and potential testability of the theory. Journal of Financial Economics, 4:129–176.

[Roll, 1992]   Roll, R. (1992). A mean-variance analysis of tracking error. Journal of Portfolio Management, pages 13–22.

[Roncalli, 2013]   Roncalli, T. (2013). Introduction to Risk Parity and Budgeting. Chapman and Hall.

[Roos et al., 2008]   Roos, H.-G., Stynes, M., and Tobiska, L. (2008). Robust numerical methods for singularly perturbed differential equations: convection-diffusion-reaction and flow problems, volume 24. Springer Science & Business Media.

[Rosasco, 2016]   Rosasco, L. (2016). Introductory machine learning notes1. University of Genoa ML, 2017.

[Rosen and Saunders, 2010]   Rosen, D. and Saunders, D. (2010). Risk factor contributions in portfolio credit risk models. Journal of Banking and Finance, 34(2):336–349.

[Rosen and Saunders, 2014]   Rosen, D. and Saunders, D. (2014). Re-thinking cva. valuations, counterparty credit risk, and model risk. Working paper.

[Rosenberg and Lanstein, 1985]   Rosenberg, B.and Reid, K. and Lanstein, R. (1985). Persuasive evidence of market inefficiency. Journal of Portfolio Management, 11:9–17.

[Ross, 1976]   Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13:341–360.

[Roth, 2012]   Roth, M. (2012). On the multivariate t distribution. http://users.isy.liu.se/en/rt/roth/student.pdf.

[Rousseeuw and Leroy, 1987]   Rousseeuw, P. J. and Leroy, A. M. (1987). Robust Regression and Outlier Detection. Wiley.

[Rousseeuw and VanDriessen, 1999]   Rousseeuw, P. J. and VanDriessen, K. (1999). A fast algorithm for the minimum covariance determinant estimator. Journal of the American Statistical Association, 41:212–223.

[Roy and Vetterli, 2007]   Roy, O. and Vetterli, M. (2007). The effective rank: A measure of effective dimensionality. In Signal Processing Conference, 2007 15th European, pages 606–610. IEEE.

[Rubinstein and Leland, 1981]   Rubinstein, M. and Leland, H. E. (1981). Replicating options with positions in stock and cash. Financial Analysts Journal, 37:63–72.

[Rudin, 1991]   Rudin, W. (1991). Functional Analysis. McGraw-Hill, 2nd edition.

[Ruhm, 2001]   Ruhm, D. L. (2001). Risk coverage ratio: A leverage-independent method of pricing based on distribution of return. In Presentation at the ASTIN Colloquium, July.

[Santa-Clara and Sornette, 2001]   Santa-Clara, P. and Sornette, D. (2001). The dynamics of the forward interest rate curve with stochastic string shocks. The Review of Financial Studies, 14(1):149–185.

[Santambrogio, 2015]   Santambrogio, F. (2015). Optimal transport for applied mathematicians. Birkäuser, NY, 55(58-63):94.

[Santin and Schaback, 2016]   Santin, G. and Schaback, R. (2016). Approximation of eigenfunctions in kernel-based spaces. Advances in Computational Mathematics, 42(4):973–993.

[Sargent, 1979]   Sargent, T. J. (1979). Macroeconomic Theory–Economic Theory, Econometrics, and Mathematical Economics. Academic Press–New York.

[Satchell and Scowcroft, 2000]   Satchell, S. and Scowcroft, A. (2000). A demystification of the Black-Litterman model: Managing quantitative and traditional construction. Journal of Asset Management, 1:138–150.

[Sato, 2011]   Sato, K. I. (2011). Lévy Processes and Infinitely Divisible Distributions. Cambridge University Press.

[Sbrana and Poloni, 2018]   Sbrana, G. and Poloni, F. (2018). Closed-form results for vector moving average models with a univariate estimation approach. Econometrics and Statistics.

[Scherer, 2004]   Scherer, B. (2004). Portfolio Construction and Risk Budgeting. Risk Books.

[Schoenemann, 1966]   Schoenemann, P. H. (1966). A generalized solution of the orthogonal procrustes problem. Psychometrika, 31:1–10.

[Schölkopf et al., 1999]   Schölkopf, B., Burges, C. J., Smola, A. J., et al. (1999). Advances in kernel methods: support vector learning. MIT press.

[Schonbucher, 2003]   Schonbucher, P. J. (2003). Credit Derivatives Pricing Models - Models, Pricing & Implementation. Wiley.

[Schöttle et al., 2010]   Schöttle, K., Werner, R., and Zagst, R. (2010). Comparison and robustification of bayes and black-litterman models. Mathematical Methods of Operations Research, 71(3):453–475.

[Schoutens, 2003]   Schoutens, W. (2003). Levy Processes in Finance. Wiley.

[Serfling, 2008]   Serfling, R. (2008). A mahalanobis multivariate quantile function. http://www.utdallas.edu/~serfling/papers/Mahalanobis.pdf. Working Paper - University of Texas at Dallas.

[Shapiro, 1985]   Shapiro, A. (1985). Identifiability of factor analysis: Some results and open problems. Linear Algebra and its Applications, 70:1–7.

[Sharpe, 1964]   Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19:425–442.

[Shea, 1985]    Shea, G. S. (1985). Long memory models of interest rate, the term structure, and variance bounds tests. http://www.federalreserve.gov/pubs/ifdp/1985/258/ifdp258.pdf. International Finance Discussion Paper.

[Sheather and Marron, 1990]   Sheather, S. and Marron, J. (1990). Kernel quantile estimators. Journal of the American Statistical Association, 85:410–416.

[Shirayaev, 1989]   Shirayaev, A. N. (1989). Probability. Springer, 2nd edition.

[Shreve, 2004]   Shreve, S. E. (2004). Stochastic Calculus Models for Finance II: Continuous-Time Models. Springer.

[Shumway and Stoffer, 2006]   Shumway, R. and Stoffer, D. (2006). Time Series Analysis And Its Applications: With R Examples. Springer Texts in Statistics Series. Springer-Verlag GmbH.

[Silverman, 1986]   Silverman, B. W. (1986). Density Estimation for Statistics and Data Analysis. Chapman and Hall.

[Simpson et al., 2011]   Simpson, D., Lindgren, F., and Rue, H. (2011). Think continuous: Markovian gaussian models in spatial statistics.

[Sinclair, 2013]   Sinclair, E. (2013). Volatility Trading. Wiley.

[Skoglund, 2001]   Skoglund, J. (2001). A simple efficient GMM estimator of GARCH models. Working Paper.

[Skovgaard, 1984]   Skovgaard, L. T. (1984). A riemannian geometry of the multivariate normal model. Scandinavian Journal of Statistics, pages 211–223.

[Smith et al., 2003]   Smith, E., Farmer, J. D., Gillemot, L., and Krishnamurthya, S. (2003). Statistical theory of the continuous double auction. Quantitative Finance, 3:481–514.

[Smyth, 2017]   Smyth, P. (2017). Mixture models and the em algorithm. Department of Computer Science, University of California, Irvine.

[Sobehart and Keenan, 2001]   Sobehart, J. and Keenan, S. (2001). Measuring the cumulative accuracy of credit risk models. Risk, pages 84–88.

[Song et al., 2014]   Song, D., Park, H. J., and Kim, H. M. (2014). A note on the characteristic function of multivariate t distribution. Communications for Statistical Applications and Methods, 21(1):81–91.

[Sotiropoulos, 2011]   Sotiropoulos, M. (2011). Order execution using trading signals. http://orfe.princeton.edu/QuantTrading/2012/presentations/Michael%20Sotiropoulos.pdf.

[Stambaugh, 1997]   Stambaugh, R. F. (1997). Analyzing investments whose histories differ in length. Journal of Financial Economics, 45:285–331.

[Stein, 1955]   Stein, C. (1955). Inadmissibility of the usual estimator for the mean of a multivariate normal distribution. Proceedings of the 3rd Berkeley Symposium on Probability and Statistics.

[Stein, 1999]   Stein, M. (1999). Interpolation of Spatial Data: Some Theory for Kriging. Springer New York.

[Steiner, 2011]   Steiner, A. (2011). Ambiguity in calculating and interpreting maximum drawdown. SSRN Working Paper Series.

[Stewart, 2016]   Stewart, J. (2016). Calculus, 8th Edition. Cengage Learning.

[Stock and Watson, 2016]   Stock, J. H. and Watson, M. W. (2016). Factor models and structural vector autoregressions in macroeconomics. forthcoming in the Handbook of Macroeconomics.

[Stoikov and Waeber, 2012]   Stoikov, S. and Waeber, R. (2012). Optimal asset liquidation using limit order book information. Working Paper. Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2113827.

[Straumann and Garidi, 2007]   Straumann, D. and Garidi, T. (2007). Developing an equity factor model for risk. Riskmetrics Journal, 7(1):89–128.

[Studer, 1997]   Studer, G. (1997). Maximum loss for measurement of market risk. http://www2.risklab.ch/ftp/papers/ThesisGeroldStuder.pdf. Dissertation submitted for the degree of Mathematics at the ETH Zurich.

[Studer, 1999]   Studer, G. (1999). Market risk computation for nonlinear portfolios. Journal of Risk, 1(4):33–53.

[Suraj, 2008]   Suraj, D. (2008). Approximating early exercise boundaries for american options. http://statmath.wu.ac.at/research/talks/resources/Suraj.pdf. Working Paper.

[Taleb, 1997]   Taleb, N. N. (1997). Dynamic Hedging: Managing Vanilla and Exotic Options. Wiley.

[Tan et al., 2022]   Tan, V., Firoozye, N., and Zohren, S. (2022). Canonical portfolios: Optimal asset and signal combination. arXiv preprint arXiv:2202.10817.

[Tao, 2011]   Tao, T. (2011). An Introduction to Measure Theory. Graduate studies in mathematics. American Mathematical Society.

[Taqqu et al., 1995]   Taqqu, M., Teverovsky, V., and Willinger, W. (1995). Estimators for long-range dependence: an empirical study. Fractals, 3(4):785–798.

[Tasche, 2002a]   Tasche, D. (2002a). Expected shortfall and beyond. Journal of Banking and Finance, 26:1519–1533.

[Tasche, 2002b]   Tasche, D. (2002b). Remarks on the monotonicity of default probabilities. arXiv preprint cond-mat/0207555.

[Tasche, 2008]   Tasche, D. (2008). Capital allocation to business units and sub-portfolios: the euler principle. In In: ”Pillar II in the New Basel Accord: The Challenge of Economic Capital, pages 423–453.

[Taylor, 1986]   Taylor, S. (1986). Modelling Financial Time Series. Wiley.

[Teodorescu et al., 2013]   Teodorescu, P., Kecs, W., and Toma, A. (2013). Distribution Theory: With Applications in Engineering and Physics. Wiley.

[Thorin, 1977]   Thorin, O. (1977). On the infinite divisibility of the lognormal distribution. Scandinavian Actuarial Journal, pages 121–148.

[Tibshirani, 1996]   Tibshirani, R. (1996). Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society: Series B (Methodological), 58(1):267–288.

[Tibshirani and Taylor, 2011]   Tibshirani, R. J. and Taylor, J. (2011). The solution path of the generalized lasso. Ann. Statist., 39(3):1335–1371.

[Tipping and Bishop, 1999]   Tipping, M. E. and Bishop, C. M. (1999). Probabilistic principal component analysis. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 61(3):611–622.

[Toth et al., 2011a]   Toth, B., Lemperiere, Y., Deremble, C., De Lataillade, J., Kockelkoren, J., and Bouchaud, J. P. (2011a). Anomalous price impact and the critical nature of liquidity in financial markets. http://arxiv.org/abs/1105.1694v1. Working Paper.

[Toth et al., 2011b]   Toth, B., Palit, I., Lillo, F., and Farmer, J. D. (2011b). Why is order flow so persistent? http://arxiv.org/abs/1108.1632v1. Working Paper.

[Treynor, 1962]   Treynor, J. L. (1962). Toward a theory of market value of risky assets. Unpublished manuscript.

[Tsay, 2005]   Tsay, R. (2005). Analysis of Financial Time Series. Wiley.

[Tukey, 1958]   Tukey, J. (1958). Bias and confidence in not-quite large samples. Annals of Mathematical Statistics, 29:614.

[Tukey, 1977]   Tukey, J. (1977). Exploratory Data Analysis. Addison-Wesley.

[Tzikas et al., 2008]   Tzikas, D., Likas, A., and Galatsanos, N. (2008). The variational approximation for bayesian inference. IEEE Signal Processing Magazine, pages 131–146.

[Ushakov, 1999]   Ushakov, N. G. (1999). Selected topics in characteristic functions. Walter de Gruyter.

[Van der Vaart, 1998]   Van der Vaart, A. W. (1998). Asymptotic statistics. Cambridge Series in Statistical and Probabilistic Mathematics. Cambridge University Press.

[Van Dyk et al., 2017]   Van Dyk, F., van Vuuren, G., and Heymans, A. (2017). Hedge fund performance evaluation using the sharpe and omega ratios. The International Business & Economics Research Journal (Online), 13(3).

[Vapnik, 1999]   Vapnik, V. (1999). The nature of statistical learning theory. Springer science & business media.

[Vapnik, 2006]   Vapnik, V. (2006). Estimation of dependences based on empirical data. Springer Science & Business Media.

[Vasicek, 1977]   Vasicek, O. (1977). An equilibrium characterisation of the term structure. Journal of Financial Economics, 5:177–188.

[Vasicek, 2002]   Vasicek, O. (2002). Loan portfolio value. http://www.risk.net/data/Pay_per_view/risk/technical/2002/1202_loan.pdf. Risk, 160-162.

[Vazquez and Farinelli, 2012]   Vazquez, S. and Farinelli, S. (2012). Gauge invariance, geometry and arbitrage. Geometry and Arbitrage (March 2, 2012).

[Vicente et al., 2005]   Vicente, R., de Toledo, C. M., Leite, V. B. P., and Caticha, N. (2005). Underlying dynamics of typical fluctuations of an emerging market price index: The Heston model from minutes to months. arXiv:physics/0506101v1 [physics.soc-ph].

[Von Neumann and Morgenstern, 2007]   Von Neumann, J. and Morgenstern, O. (2007). Theory of games and economic behavior. Princeton University Press.

[Wainwright and Jordan, 2008]   Wainwright, M. J. and Jordan, M. I. (2008). Graphical models, exponential families, and variational inference. Now Publishers Inc.

[Wald, 1939]   Wald, A. (1939). Contributions to the theory of statistical estimation and testing hypotheses. The Annals of Mathematical Statistics, 10(4):299–326.

[Walters, 2008]   Walters, J. (2008). The Black-Litterman model: A detailed exploration. blacklitterman.org.

[Wang, 1998a]   Wang, S.and Dhaene, J. (1998a). Comonotonicity, correlation order and premium principles. Insurance: Mathematics and Economics, 22(3):235–242.

[Wang, 2012]   Wang, Q. (2012). Kernel principal component analysis and its applications in face recognition and active shape models. arXiv preprint arXiv:1207.3538.

[Wang, 1998b]   Wang, S. (1998b). Implementation of proportional hazards transforms in ratemaking. Proceedings of the Casualty Actuarial Society Casualty Actuarial Society, 85, pages 940–979.

[Wang, 2000]   Wang, S. S. (2000). A class of distortion operators for pricing financial and insurance risks. Journal of risk and insurance, pages 15–36.

[Wedderburn, 1975]   Wedderburn, R. (1975). Random rotations and multivariate normal simulation. Unpublished Working Paper.

[Weithers, 2013]   Weithers, T. (2013). Foreign Exchange: A Practical Guide to the FX Markets. Wiley.

[Welling, 2003]   Welling, M. (2003). Kernel principal components analysis. classnote of Univerity of Toronto.

[Wellner, 2018]   Wellner, J. A. (2018). Bayes methods and elementary decision theory. https://sites.stat.washington.edu/people/jaw/COURSES/580s/581/LECTNOTES/ch5b.pdf.

[Werbos, 1974]   Werbos, P. (1974). Beyond regression: New tools for prediction and analysis in the behavioral sciences. Ph. D. dissertation, Harvard University.

[Wiberg, 2002]   Wiberg, P. (2002). Computation of value-at-risk: The fast convolution method, dimension reduction and perturbation theory.

[Wiener and Masani, 1957]   Wiener, N. and Masani, P. (1957). The prediction theory of multivariate stochastic processes, i: The regularity condition. https://projecteuclid.org/euclid.acta/1485892246.

[Wiener and Masani, 1958]   Wiener, N. and Masani, P. (1958). The prediction theory of multivariate stochastic processes, ii: The linear predictor. https://projecteuclid.org/euclid.acta/1485892261.

[Williams, 1991]   Williams, D. (1991). Probability with Martingales. Cambridge University Press.

[Wilmott et al., 1995]   Wilmott, P., Howison, S., and Dewyne, J. (1995). The Mathematics of Financial Derivatives: A Student Introduction. Cambridge University Press.

[Wilson, 1997]   Wilson, T. C. (1997). Portfolio credit risk.

[Wirch and Hardy, 2001]   Wirch, J. L. and Hardy, M. R. (2001). Distortion risk measures. coherence and stochastic dominance. International Congress on Insurance: Mathematics and Economics, pages 15–17.

[Wojt, 2009]   Wojt, A. (2009). Portfolio selection and lower partial moments. Stockholm: Royal Institute of Technology.

[Wystup, 2007]   Wystup, U. (2007). FX Options and Structured Products. Wiley.

[Yamai and Yoshiba, 2002]   Yamai, Y. and Yoshiba, T. (2002). Comparative analyses of expected shortfall and value-at-risk (2): Expected utility maximization and tail risk. Monetary and Economic Studies.

[Yao and Tong, 1996]   Yao, Q. and Tong, H. (1996). Asymmetric least squares regression estimation: a nonparametric approach. Journal of nonparametric statistics, 6(2-3):273–292.

[Yuan, 1933]   Yuan, P. T. (1933). On the logarithmic frequency distribution and the semi-logarithmic correlation surface. The Annals of Mathematical Statistics, 4(1):pp. 30–74.

[Yule, 1927]   Yule, G. (1927). On a method of investigating periodicities in disturbed series with special reference to Wolfer’s sunspot numbers. Phil. Trans. Roy. Soc., A, 226:267–298.

[Zhang and Fu, 2006]   Zhang, C. and Fu, H. (2006). Masking effects on linear regression in multi-class classification. Statistics & probability letters, 76(16):1800–1807.

[Zhang, 2005]   Zhang, L. (2005). The value premium. http://fisher.osu.edu/~zhang.1868/Zhang05JF.pdf. The Journal of Finance, Volume 60, Issue 1, pages 67–103, February 2005.

[Zhou et al., 2006]   Zhou, X., Huang, J., Friedman, C., Cangemi, R., and Sandow, S. (2006). Private firm default probabilities via statistical learning theory and utility maximization. http://www.risk.net/digital_assets/4463/v2n1_zhou.pdf. Journal of Credit Risk, 2(1), 51-65.

[Zhu and Pykhtin, 2007]   Zhu, S. and Pykhtin, M. (2007). A guide to modeling counterparty credit risk. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1032522. GARP Risk Review, July/August 2007.

[Ziegel, 2014]   Ziegel, J. F. (2014). Coherence and elicitability. https://arxiv.org/abs/1303.1690.


External Links