On the public citation graph

Quantitative finance and risk management a physicist's approach

https://doi.org/10.1142/9003#t=toc
0 signed · 31 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.1992016openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.2274413openalex-extracted
Market Crises, Earthquakes, and the Reggeon Field Theory
inferred← citeshttps://doi.org/10.2139/ssrn.2368905openalex-extracted
Joining Risks and Rewards
inferred← citeshttps://doi.org/10.2139/ssrn.2808052openalex-extracted
Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA
inferred← citeshttps://doi.org/10.2139/ssrn.3028236openalex-extracted
Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis
inferred← citeshttps://doi.org/10.2139/ssrn.3223243openalex-extracted
'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
inferred← citeshttps://doi.org/10.2139/ssrn.924618openalex-extracted
inferred← citeshttps://doi.org/10.2139/ssrn.975131openalex-extracted
A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions: The Exponent Expansion
inferred← citeshttps://doi.org/10.1002/9781118650318.ch12openalex-snapshot
Estimation Methods for Value at Risk
inferred← citeshttps://doi.org/10.1007/978-1-4939-6792-6_8openalex-snapshot
Multidimensional Structural Default Models and Correlated Jumps
inferred← citeshttps://doi.org/10.1007/s10589-008-9231-4openalex-snapshot
Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
inferred← citeshttps://doi.org/10.1016/j.physa.2018.09.134openalex-snapshot
The quantum dark side of the optimal control theory
inferred← citeshttps://doi.org/10.1016/j.physa.2019.122187openalex-snapshot
“Quantum Equilibrium-Disequilibrium”: Asset price dynamics, symmetry breaking, and defaults as dissipative instantons
inferred← citeshttps://doi.org/10.1016/j.physa.2021.126231openalex-snapshot
Path integral Monte Carlo method for option pricing
inferred← citeshttps://doi.org/10.1016/j.physrep.2014.12.003openalex-snapshot
Scale invariance vs conformal invariance
inferred← citeshttps://doi.org/10.1051/m2an/2019064openalex-snapshot
A new methodology to create valid time-dependent correlation matrices via isospectral flows
inferred← citeshttps://doi.org/10.1080/00207160.2016.1188923openalex-snapshot
LSV models with stochastic interest rates and correlated jumps
inferred← citeshttps://doi.org/10.1080/14697680500510878openalex-snapshot
Pricing exotic options in a path integral approach
inferred← citeshttps://doi.org/10.1080/14697688.2013.816766openalex-snapshot
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
inferred← citeshttps://doi.org/10.1080/14697688.2017.1301677openalex-snapshot
Option pricing under short-lived arbitrage: theory and tests
inferred← citeshttps://doi.org/10.1080/15427560.2014.943227openalex-snapshot
Psychology, Stock/FX Trading and Option Prices
inferred← citeshttps://doi.org/10.1109/tbdata.2018.2847629openalex-snapshot
QuantCloud: Enabling Big Data Complex Event Processing for Quantitative Finance Through a Data-Driven Execution
inferred← citeshttps://doi.org/10.1140/epjb/e2010-00109-3openalex-snapshot
Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model
inferred← citeshttps://doi.org/10.1142/s0219024906003925openalex-snapshot
THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
inferred← citeshttps://doi.org/10.1142/s0219024907004652openalex-snapshot
MULTIVARIATE INTEGRAL PERTURBATION TECHNIQUES I: THEORY
inferred← citeshttps://doi.org/10.1504/ijram.2013.057102openalex-snapshot
Managing risk of liquidity: a new dimension of risk management
inferred← citeshttps://doi.org/10.31812/0564/1134openalex-snapshot
Relativistic quantum econophysics – new paradigms in complex systems modelling
inferred← citeshttps://doi.org/10.4236/jmf.2016.64042openalex-snapshot
Calibration and Simulation of Arbitrage Effects in a Non-Equilibrium Quantum Black-Scholes Model by Using Semi-Classical Methods
inferred← citeshttps://doi.org/10.48550/arxiv.1008.4841openalex-snapshot
Path Integral and Asian Options
inferred← citeshttps://doi.org/10.48550/arxiv.2102.05029openalex-snapshot
Schwinger-Keldysh path integral for the quantum harmonic oscillator
inferred← citeshttps://doi.org/10.48550/arxiv.cond-mat/0407321openalex-snapshot
Pricing Exotic Options in a Path Integral Approach
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.