arXiv 2018-01-24 EN Spurious seasonality detection: a non-parametric test proposal Bariviera, Aurelio F. · Plastino, Angelo · Judge, George
arXiv 2018-01-24 EN Stock returns forecast: an examination by means of Artificial Neural Networks Caride, Martin Iglesias · Bariviera, Aurelio F. · Lanzarini, Laura
arXiv 2018-01-24 EN Target volatility option pricing in lognormal fractional SABR model Alos, Elisa · Chatterjee, Rupak · Tudor, Sebastian · Wang, Tai-Ho
arXiv 2018-01-22 EN Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts Rudd, Ralph · McWalter, Thomas A. · Kienitz, Joerg · Platen, Eckhard
arXiv 2018-01-18 EN A First Option Calibration of the GARCH Diffusion Model by a PDE Method Papadopoulos, Yiannis A. · Lewis, Alan L.
arXiv 2018-01-17 EN Numerical analysis on quadratic hedging strategies for normal inverse Gaussian models Arai, Takuji · Imai, Yuto · Nakashima, Ryo
arXiv 2018-01-17 EN The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios Halperin, Igor
arXiv 2018-01-09 EN Predict Forex Trend via Convolutional Neural Networks Tsai, Yun-Cheng · Chen, Jun-Hao · Wang, Jun-Jie
arXiv 2018-01-09 EN Generative Models for Stochastic Processes Using Convolutional Neural Networks Neto, Fernando Fernandes
arXiv 2017-12-21 EN Efficient European and American option pricing under a jump-diffusion process Gaudenzi, Marcellino · Spangaro, Alice · Stucchi, Patrizia
arXiv 2017-12-21 EN Pricing double barrier options on homogeneous diffusions: a Neumann series of Bessel functions representation Kravchenko, Igor V. · Kravchenko, Vladislav V. · Torba, Sergii M. · Dias, José Carlos
arXiv 2017-12-13 EN Optimal Stochastic Decensoring and Applications to Calibration of Market Models Kratsios, Anastasis
arXiv 2017-12-04 EN A particle model for the herding phenomena induced by dynamic market signals Bae, Hyeong-Ohk · Cho, Seung-yeon · Lee, Sang-hyeok · Yun, Seok-Bae
arXiv 2017-11-30 EN Fluctuation identities with continuous monitoring and their application to price barrier options Phelan, Carolyn E. · Marazzina, Daniele · Fusai, Gianluca · Germano, Guido
arXiv 2017-11-27 EN Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model Pablo, Olivares · Enrique, Villamor
arXiv 2017-11-20 EN Influence of jump-at-default in IR and FX on Quanto CDS prices Itkin, A. · Shcherbakov, V. · Veygman, A.
arXiv 2017-10-30 EN The implied volatility of Forward-Start options: ATM short-time level, skew and curvature Alos, Elisa · Jacquier, Antoine · Leon, Jorge
arXiv 2017-10-28 EN Dual control Monte Carlo method for tight bounds of value function under Heston stochastic volatility model Ma, Jingtang · Li, Wenyuan · Zheng, Harry
arXiv 2017-10-19 EN Frequency Based Index Estimating the Subclusters' Connection Strength Pastorek, Lukas
