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Regular version of the site

International Laboratory of Quantitative Finance

Publications
Book
Stochastic Calculus for Quantitative Finance

Gushchin A. A.

L.; Kidlington: ISTE, Elsevier, 2015.

Article
Stabilization of Linear Stochastic Systems with a Discount: Modeling and Estimation of the Long-Term Effects from the Application of Optimal Control Strategies

Palamarchuk E. S.

Mathematical Models and Computer Simulations. 2015. Vol. 7. No. 4. P. 381-388.

Book chapter
Implied volatility of basket options at extreme strikes

Gulisashvili A., Tankov P.

In bk.: Springer Proceedings in Mathematics and Statistics. Large Deviations and Asymptotic Methods in Finance. Vol. 110. Zürich: Springer International Publishing, 2015. P. 175-212.

Working paper
Autocorrelation in an unobservable global trend: Does it help to forecast market returns?

Peresetsky A., Yakubov R.

MPRA Paper. University Library of Munich, Germany, 2015. No.  64579.

Intraday Trading Invariance in the E-mini S&P 500 Futures Market

On April 6 a research seminar of the International Laboratory of Quantitative Finance took place at HSE. Anna Obizhaeva (NES) spoke on 'Intraday Trading Invariance in the E-mini S&P 500 Futures Market'.

On Multi-step MLE-process for Some Models of Stochastic Processes

On February 20, 2015, Yury Kutoyants (Université du Maine, Le Mans, France and ILQF HSE, Moscow, Russia) spoke at a speciall session of the ILQF seminar 'On Multi-step MLE-process for Some Models of Stochastic Processes'.

Effcient solution of structural default models with correlated jumps and mutual obligations

Andrey Itkin (New York University, USA) spoke on 'Effcient solution of structural default models with correlated jumps and mutual obligations' at a special ILQF seminar.

Monte Carlo Methods; Discretization of diffusion

From November 26 to December 2, 2014, Professor Emmanuel Lepinette (Université Paris-Dauphine, France) read a mini course at the International Laboratory of Quantitative Finance. The course included lectures and workshops with the use of SciLab software.

Option pricing and hedging with heteroscedastic underlying price processes. Discrete and continuous time approaches

On November 25, 2014, Professor Juan-Pablo Ortega (Université de Franche-Comté, Besançon, France) spoke on 'Option pricing and hedging with heteroscedastic underlying price processes. Discrete and continuous time approaches' at the ILQF research seminar.

Long Memory and Periodicity in Intraday Volatility

On November 24, 2014, Professor Dean Fantazzini (HSE) spoke on 'Long Memory and Periodicity in Intraday Volatility' at the ILQF regular research seminar.

International conference "Science of the Future"

Academic Supervisor of the ILQF Yuri Kabanov tells about the conference.

Market Microstructure Invariance: Theory and Empirical Tests

On September 23, 2014, Anna Obizhaeva from the New Economic School, Russia, spoke at the ILQF weekly seminar.

A coherent performance measurebased on the Sharpe ratio

On September 8, 2014, Mikhail Zhitlukhin from the Steklov Mathematical Institute, Russia, spoke at the ILQF weekly seminar.

ILQF Weekly Seminar on ‘Arbitrages in a Progressive Enlargement of Filtrations’

On April 21, 2014, Monique Jeanblanc from the Université d'Evry Val D'Essonne, France, spoke at the ILQF weekly seminar.