Deep neural networks algorithms for stochastic control problems on finite...
This paper presents several numerical applications of deep learning-based algorithms that have been introduced in [HPBL18]. Numerical and comparative tests using TensorFlow illustrate the performance...
View ArticleConvolutional Feature Extraction and Neural Arithmetic Logic Units for Stock...
Stock prediction is a topic undergoing intense study for many years. Finance experts and mathematicians have been working on a way to predict the future stock price so as to decide to buy the stock or...
View ArticleSpectral risk measures and uncertainty. (arXiv:1905.07716v1 [q-fin.RM])
Risk assessment under different possible scenarios is a source of uncertainty that may lead to concerning financial losses. We address this issue, first, by adapting a robust framework to the class of...
View ArticleHedging crop yields against weather uncertainties -- a weather derivative...
The effects of weather on agriculture in recent years have become a major concern across the globe. Hence, the need for an effective weather risk management tool (weather derivatives) for agricultural...
View ArticleRisk-Sensitive Credit Portfolio Optimization under Partial Information and...
This paper studies the finite time risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. The Markovian regime-switching...
View ArticleConformal Prediction Interval Estimations with an Application to Day-Ahead...
We discuss a concept denoted as Conformal Prediction (CP) in this paper. While initially stemming from the world of machine learning, it was never applied or analyzed in the context of short-term...
View ArticleDriver Surge Pricing. (arXiv:1905.07544v1 [cs.GT])
Uber and Lyft ride-hailing marketplaces use dynamic pricing, often called surge, to balance the supply of available drivers with the demand for rides. We study pricing mechanisms for such marketplaces...
View ArticlePredicting and Forecasting the Price of Constituents and Index of...
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated...
View ArticleAn Optimal Dividend Problem with Capital Injections over a Finite Horizon....
In this paper we propose and solve an optimal dividend problem with capital injections over a finite time horizon. The surplus dynamics obeys a linearly controlled drifted Brownian motion that is...
View ArticleThe perils of automated fitting of datasets: the case of a wind turbine cost...
Rinne et al. conduct an interesting analysis of the impact of wind turbine technology and land-use on wind power potentials, which allows profound insights into each factors contribution to overall...
View ArticleDiagnosis and Prediction of the 2015 Chinese Stock Market Bubble....
In this study, we perform a detailed analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock...
View ArticleDetection of Chinese Stock Market Bubbles with LPPLS Confidence Indicator....
This paper aims to present an advance bubble detection methodology based on LPPLS confidence indicator for the early causal identification of positive and negative bubbles in the Chinese stock market...
View ArticleVariable annuities in a L\'evy-based hybrid model with surrender risk....
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a...
View ArticleReal-time Prediction of Bitcoin bubble Crashes. (arXiv:1905.09647v1 [q-fin.ST])
In the past decade, Bitcoin has become an emerging asset class well known to most people because of their extraordinary return potential in phases of extreme price growth and their unpredictable...
View ArticleMachine Learning Tree and Exact Integration for Pricing American Options in...
In this paper we modify the Gaussian Process Regression Monte Carlo (GPR-MC) method introduced by Gouden\`ege et al. proposing two efficient techniques which allow one to compute the price of American...
View ArticleTechnological Learning and Innovation Gestation Lags at the Frontier of...
This paper contributes to the literature on the impact of Big Science Centres on technological innovation. We exploit a unique dataset with information on CERN's procurement orders to study the...
View ArticleHow big should a Stress Shock be?. (arXiv:1905.10164v1 [q-fin.RM])
Stress shocks are often calculated as multiples of the standard deviation of a history set. This paper investigates how many standard deviations are required to guarantee that this shock exceeds any...
View ArticleLearning Choice Functions: Concepts and Architectures. (arXiv:1901.10860v2...
We study the problem of learning choice functions, which play an important role in various domains of application, most notably in the field of economics. Formally, a choice function is a mapping from...
View ArticlePricing of counterparty risk and funding with CSA discounting, portfolio...
In this paper we extend the existing literature on xVA along three directions. First, we extend existing BSDE-based xVA frameworks to include initial margin by following the approach of Cr\'epey...
View ArticleContest Architecture with Public Disclosures. (arXiv:1905.11004v1 [econ.TH])
I study optimal disclosure policies in sequential contests. A contest designer chooses at which periods to publicly disclose the efforts of previous contestants. I provide results for a wide range of...
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