Results 261 to 270 of about 5,976,249 (348)
Spanning Multi‐Asset Payoffs With ReLUs
Mathematical Finance, EarlyView.ABSTRACT We propose a distributional formulation of the spanning problem of a multi‐asset payoff by vanilla basket options. This problem is shown to have a unique solution if and only if the payoff function is even and absolutely homogeneous, and we establish a Fourier‐based formula to calculate the solution.
Sébastien Bossu +2 more
wiley +1 more source
Multi-Cluster Approaches to Radio Sensor Array Channel Modeling and Simulation. [PDF]
Sensors (Basel)Li X, Ekman T, Yang K.
europepmc +1 more source
Hyers–Ulam–Rassias stability of Cauchy equation in the space of Schwartz distributions
, 2004 Jaeyoung Chung
openalex +1 more source
Polar Coordinates for the 3/2 Stochastic Volatility Model
Mathematical Finance, EarlyView.ABSTRACT The 3/2 stochastic volatility model is a continuous positive process s with a correlated infinitesimal variance process ν$\nu $. The exact definition is provided in the Introduction immediately below. By inspecting the geometry associated with this model, we discover an explicit smooth map ψ$ \psi $ from (R+)2$({\mathbb{R}}^+)^2 $ to the ...
Paul Nekoranik
wiley +1 more source
Are Bayesian regularization methods a must for multilevel dynamic latent variables models? [PDF]
Behav Res MethodsAndriamiarana VV +3 more
europepmc +1 more source
Modified Half -Cauchy Chen (MHCC) Distribution with Applications to Lifetime Dataset
Arun Kumar Chaudhary +2 more
openalex +1 more source
A Pure Dual Approach for Hedging Bermudan Options
Mathematical Finance, EarlyView.ABSTRACT This paper develops a new dual approach to compute the hedging portfolio of a Bermudan option and its initial value. It gives a “purely dual” algorithm following the spirit of Rogers in the sense that it only relies on the dual pricing formula.
Aurélien Alfonsi +2 more
wiley +1 more source
Improved Osprey Optimization Algorithm with Multi-Strategy Fusion. [PDF]
Biomimetics (Basel)Lei W, Han J, Wu X.
europepmc +1 more source
Optimal Contracts for Delegated Order Execution
Mathematical Finance, EarlyView.ABSTRACT We determine the optimal affine contract for a client who delegates their order execution to a dealer. Existence and uniqueness are established for general linear price impact dynamics of the dealer's trades. Explicit solutions are available for the model of Obizhaeva and Wang, for example, and a simple gradient descent algorithm is applicable
Martin Larsson +2 more
wiley +1 more source