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Machine Learning for Financial Engineering
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Machine Learning for Financial Engineering (2011)Machine Learning for Financial EngineeringA General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Risk Aversion or Myopia? Choices in Repeated Gambles and Retirement Investments (1999)Risk Aversion or Myopia? Choi…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…How to use expert advice (1997)How to use expert adviceOptimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…The equity premium: A puzzle (1985)The equity premium: A puzzleMartingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Risk and uncertainty: a fallacy of large numbers (1963)Risk and uncertainty: a falla…Exposition of a New Theory on the Measurement of Risk (1954)Exposition of a New Theory on…Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)Martingales and arbitrage in multiperiod securities markets (1979)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Optimum consumption and portfolio rules in a continuous-time model (1971)Arbitrage Theory in Continuous Time (1998)Optimal control of execution costs (1998)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Tails, Fears, and Risk Premia (2011)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Risk Aversion and Incentive Effects (2002)A perspective on judgment and choice: Mapping bounded rationality. (2003)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 1998The fundamental theorem of asset pricing for unbounded stochastic processes710 cited
  • 1997How to use expert advice631 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 1963Risk and uncertainty: a fallacy of large numbers615 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 1999

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Risk Aversion or Myopia? Choices in Repeated Gambles and Retirement Investments
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