Model risk in mean-variance portfolio selection: an analytic solution to the...
In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research problem. In particular,...
View ArticleFinancial Market Directional Forecasting With Stacked Denoising Autoencoder....
Forecasting stock market direction is always an amazing but challenging problem in finance. Although many popular shallow computational methods (such as Backpropagation Network and Support Vector...
View ArticleArtificial boundary method for the solution of pricing European options under...
This paper considers the valuation of a European call option under the Heston stochastic volatility model. We present the asymptotic solution to the option pricing problem in powers of the volatility...
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To meet its ambitious ‘net zero’ target, the UK will need to ramp...
UK greenhouse gas emissions are declining and have been declining for some time. The UK has a framework of long-run targets developed by the Committee on Climate Change, an independent body of experts...
View ArticleMoneyScience: Online Training - Financial Derivatives: A Quantitative Finance...
Resource: Online Training: Financial Derivatives: A Quantitative Finance View https://t.co/Kv4nj1xpY8 â moneyscience (@moneyscience) December 2, 2019
View ArticleVirgil Griffith arrested over North Korea visit — engineer arrogance,...
âAfter a well-received technical talk to a keen audience on the other side of the world, Ethereum Foundation developer Virgil Griffith is on the short list forâ¦
View ArticleMoneyScience: Quantitative Finance in Javascript
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View ArticleQuantLib Download Page
QuantLib 1.17 has been released and is available for download at https://t.co/vSeX4O37zd #QuantLib #quant #quantfinance #finance â moneyscience (@moneyscience)â¦
View ArticleMoneyScience: Online Training - Quantitative Investment Analysis in Excel
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View ArticleMoneyScience: Book: Financial Instrument Pricing Using C++
Resource: Book: Financial Instrument Pricing Using C++ https://t.co/YIEUQkcybX â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Book: Financial Instrument Pricing Using C++ - Daniel Duffy
Resource: Book: Financial Instrument Pricing Using C++ - Daniel Duffy https://t.co/i7sFfwwFpK â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Selena Gomez & Richard Thaler explain Synthetic CDOs
Resource: Selena Gomez & Richard Thaler explain Synthetic CDOs https://t.co/yYsueiUHnK â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Online Training - Clojure: The Complete Beginner's Guide
Resource: Online Training - Clojure: The Complete Beginner's Guide https://t.co/oy3E8qkjjl â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: How To Perform Sentiment Analysis in Python 3 Using the Natural...
Resource: How To Perform Sentiment Analysis in Python 3 Using the Natural Language Toolkit (NLTK) https://t.co/3An5DVLmXh â moneyscience (@moneyscience)â¦
View ArticleStatistical mechanics and time-series analysis by L'evy-parameters with the...
We develop a method that relates the truncated cumulant-function of the fourth order with the L'evian cumulant-function. This gives us explicit formulas for the L'evy-parameters, which allow a...
View ArticleVariance Reduction Applied to Machine Learning for Pricing Bermudan/American...
In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction technique. Specifically, the...
View ArticleA unified Framework for Robust Modelling of Financial Markets in discrete...
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset...
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