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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
In fact, to price options on stock indices or currency options, we need to generalize our new formula by replacing S by Se − qT so that it can deal with options.. on stocks paying
The studies reveal at least four fundamentally distinct channels for the propagation and amplification of shocks within the financial system and to the macroeconomy: (i)
In Table 1 , the assets were splitted into two groups, (a) containing the mean returns of the 20 assets with the highest and lowest eigenvector cen- trality, and (b) the mean
(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
particular, we compare the performance of the different solution methods for the subset selection problem, analyze the dependency of optimal hedging portfolio and hedging error on
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formu- lations for the scalar-state stochastic system with multiplicative noise, which
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
