Results 31 to 40 of about 690,121 (120)

Mapping Generative Artificial Intelligence (GAI's) Exciting Future: From Gemini to Q* and Beyond

EAI Endorsed Transactions on AI and Robotics
This research investigates the transformative potential of Mixture of Experts (MoE) and multimodal learning within generative AI, exploring their roles in advancing towards Artificial General Intelligence (AGI). By leveraging a combination of specialized
Zarif Bin Akhtar
semanticscholar   +1 more source

Numerical Methods For Optimal Control Based Schemes For Volatility Calibration And Algorithmic Tradings

European Conference on Modelling and Simulation, 2011
Numerical schemes for inverse problems like volatility estimation or learning market neutral density are of prime importance for financial planning. Recent advances in numerical techniques like finite difference solvers based on parallel computation ...
Deepak Kumar
semanticscholar   +1 more source

Analytical and numerical solutions for the time and space-symmetric fractional diffusion equation

, 2009
We consider a time and space-symmetric fractional diffusion equation (TSS-FDE) under homogeneous Dirichlet conditions and homogeneous Neumann conditions.
Qianqian Yang, I. Turner, Fawang Liu
semanticscholar   +1 more source

Hedging of game options in discrete markets with transaction costs [PDF]

arXiv, 2012
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete markets both from the seller and the buyer points of view.
arxiv  

Unbiased estimators for the Heston model with stochastic interest rates

, 2023
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates.
Pan, Jiangtao, Zheng, Chao
core  

A New Trinomial Recombination Tree Algorithm and Its Applications [PDF]

arXiv, 2012
A New Trinomial Recombination Tree Algorithm and Its ...
arxiv  

A generalization of the rational rough Heston approximation [PDF]

Quantitative Finance, 2024, 2023
Previously, in [GR19], we derived a rational approximation of the solution of the rough Heston fractional ODE in the special case \lambda = 0, which corresponds to a pure power-law kernel. In this paper we extend this solution to the general case of the Mittag-Leffler kernel with \lambda \geq 0.
arxiv  

A path integral based model for stocks and order dynamics [PDF]

, 2018
We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability distribution of prices and compare the results with APPLE stocks prices and the S&P500 index.
arxiv   +1 more source

Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning

, 2023
A diversified risk-adjusted time-series momentum (TSMOM) portfolio can deliver substantial abnormal returns and offer some degree of tail risk protection during extreme market events. The performance of existing TSMOM strategies, however, relies not only
Herremans, Dorien, Ong, Joel
core   +1 more source

Nonlinear PDEs risen when solving some optimization problems in finance, and their solutions [PDF]

arXiv, 2015
We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and discuss the properties of these PDEs.
arxiv