arXiv 2016-10-06 EN Efficient Valuation of SCR via a Neural Network Approach Hejazi, Seyed Amir · Jackson, Kenneth R.
arXiv 2016-09-30 EN Biased Roulette Wheel: A Quantitative Trading Strategy Approach Martínez, Giancarlo Salirrosas
arXiv 2016-09-24 EN Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options Pirjol, Dan · Zhu, Lingjiong
arXiv 2016-09-13 EN Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization Li, Jonathan Yu-Meng
arXiv 2016-09-07 EN The characteristic function of rough Heston models Euch, Omar El · Rosenbaum, Mathieu
arXiv 2016-08-28 EN Causality and Correlations between BSE and NYSE indexes: A Janus Faced Relationship Neeraj · Panigrahi, Prasanta K.
arXiv 2016-08-23 EN RELARM: A rating model based on relative PCA attributes and k-means clustering Irmatova, Elnura
arXiv 2016-08-11 EN Some Contributions to Sequential Monte Carlo Methods for Option Pricing Sen, Deborshee · Jasra, Ajay · Zhou, Yan
arXiv 2016-08-11 EN A General Framework for Pairs Trading with a Control-Theoretic Point of View Deshpande, Atul · Barmish, B. Ross
arXiv 2016-07-18 EN Identification of market trends with string and D2-brane maps Bartoš, Erik · Pinčák, Richard
arXiv 2016-06-24 EN A Neural Network Approach to Efficient Valuation of Large Portfolios of Variable Annuities Hejazi, Seyed Amir · Jackson, Kenneth R.
arXiv 2016-06-20 EN Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options Pagès, Gilles · Pironneau, Olivier · Sall, Guillaume
arXiv 2016-06-20 EN Using String Invariants for Prediction Searching for Optimal Parameters Bundzel, Marek · Kasanicky, Tomas · Pincak, Richard
arXiv 2016-06-05 EN The Problem of Calibrating an Agent-Based Model of High-Frequency Trading Platt, Donovan · Gebbie, Tim
arXiv 2016-05-19 EN Some Mathematical Aspects of Price Optimisation Bai, Y. · Hashorva, E. · Ratovomirija, G. · Tamraz, M.
arXiv 2016-05-13 EN Empowering cash managers to achieve cost savings by improving predictive accuracy Salas-Molina, Francisco · Martin, Francisco J. · Rodríguez-Aguilar, Juan A. · Serrà, Joan +1
