Quantitative Finance authors titles recent submissions
Teks penuh
Gambar
Dokumen terkait
On the existence of optimal portfolios for the utility maxi- mization problem in discrete time financial market models. In From stochastic calculus to mathematical finance ,
report the results of the proposed probabilistic active trading strategy for both the Deep-Learning model. and the SVM model., as well as the buy-and-hold investing strategy are
Figure 2: Slope of a simple linear regression as a function of past horizon τ < (in log scale) for (black symbols) futures daily data and (grey symbols) spot monthly data.. Plain
if a country appears in a large number of dif- ferent communities in the multi-network (and thus is never isolated) then it relies on several different clusters of country-product
If poor agents pay higher tax rates than rich agents, eventually all wealth becomes concentrated in the hands of a single agent.. By contrast, if poor agents are subject to lower
Keywords and phrases: multivariate risk measure, multi-objective risk-averse two-stage stochastic programming, risk-averse scalarization problems, convex Benson algorithm,
(There is also a paper by Cox and Hoeggerl [9] which asks about the possible shapes of the price of an American put, considered as a function of strike, given the prices of
We apply the theory to set up a variance-optimal semi-static hedging strategy for a variance swap in both the Heston and the 3/2-model, the latter of which is a non-affine
