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High frequency data, limit order book, financial engineering, Laplace transform

levy process, jump-diffusion models, implied volatility, option pricing, model calibration, non-parametric methods, inverse problems, relative entropy, regularization

high frequency data, order book, market microstructure, queueing systems, limit order markets, transaction data, trades and quotes, heavy traffic limit, diffusion, price impact, TAQ

systemic risk, default contagion, network models, macro-prudential regulation, insolvency, bank regulation

limit order book, market microstructure, liquidity, price impact, trading volume, equity markets, eletronic markets, high frequency data

Portfolio insurance, CPPI, Levy process, hedging, CPPI option, Value at Risk, jump-diffusion models

volatility derivatives, jump processes, variance swap, VIX, Levy process, affine processes

variance swap, volatility derivative, VIX, VIX options, stochastic volatility, jump process, jumps, index options.

limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process

collateralized debt obligation, duality, portfolio credit derivatives, reduced‐form models, default risk, intensity control, top‐down credit risk models, relative entropy, inverse problem, model calibration, stochastic control

CDO, portfolio credit derivatives, model calibration, default risk, inverse problem

hedging, portfolio credit derivatives, index default swaps, collateralized debt obligations, top-down credit risk models, default contagion, spread risk, sensitivity-based hedging, risk minimization

interest rate swap, central clearing, convexity, swap futures, price alignment interest, net present value effect

systemic risk, banking network, stress test, counterparty risk, macro-prudential regulation, complex network, scale-free network

Implied volatility, volatility risk, risk management, portfolios of options

limit order book, limit order market, queueing systems, heavy traffic limit, functional central limit theorem, diffusion limit, high-frequency data, market microstructure, point process, limit order market

systemic risk, contagion, default, macroprudential regulation, financial stability, random graph, network model, financial networks, interconnectedness, balance-sheet contagion

risk measure, Value at Risk, statistical estimation, robustness

Jump-diffusion models, integro-differential equations, finite difference methods, Levy process, jump risk, option pricing, viscosity solutions

CPDO, credit risk, top down models, credit rating, structured product, credit derivatives

credit default swaps, credit risk, stylized properties, risk management, autocorrelation, heavy tails, heteroscedasticity, principal component analysis, credit events, loss distribution, Value-at-Risk, expected shortfall, CDS

Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche

credit risk, portfolio credit derivatives, CDO, derivative pricing, tranche

Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality

model uncertainty, Knightian uncertainty, option pricing, model risk, coherent risk measures, convex risk measures

probabilistic, option pricing model, observed option prices, stochastic, algorithm, global minima, calibrated models, vanilla

Option pricing, inverse problems, nonparametric estimation, stochastic modeling, derivatives

volatility clustering, long range dependence, fractal, fractional Brownian motion, artbitrage, agent-based models

optimal order execution, market microstructure, optimal order placement, limit order market, order routing, fragmented market, stochastic approximation

risk measures, robustness, loss-based risk measures, quantile estimation

Discrete choice models, social interactions, random utility models, aggregation, limit theorems, heterogeneity, externalities

fire sales, endogenous risk, systemic risk, liquidity, financial econometrics, correlation, volatility

financial econometrics, jumps, exchange rates, high-frequency data, time series

Option Pricing, PDE, Numerical Methods, PIDE, Jumps, Diffusion Models

central clearing, OTC markets, derivatives, CCP, counterparty risk, Dodd-Frank Act

arbitrage, pricing rule, martingale, fundamental theorem of asset pricing

Risk-management, Liquidity, Central Counterparties, Central Clearing

Implied volatility, options, volatility risk, stochastic volatility, principal component analysis, random field, factor model