Results 41 to 50 of about 690,121 (120)
AI in Finance: Challenges, Techniques and Opportunities [PDF]
arXiv, 2021 AI in finance broadly refers to the applications of AI techniques in financial businesses. This area has been lasting for decades with both classic and modern AI techniques applied to increasingly broader areas of finance, economy and society. In contrast to either discussing the problems, aspects and opportunities of finance that have benefited from ...
arxiv
arXiv, 2012 Finance has benefited from the Wolfram's NKS approach but it can and will benefit even more in the future, and the gains from the influence may actually be concentrated among practitioners who unintentionally employ those principles as a group.
arxiv
High-order short-time expansions for ATM option prices of exponential L\'evy models
, 2014 In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component.
Figueroa-López, José E. +2 more
core +1 more source
Multilevel Monte Carlo methods for applications in finance [PDF]
arXiv, 2012 Since Giles introduced the multilevel Monte Carlo path simulation method [18], there has been rapid development of the technique for a variety of applications in computational finance. This paper surveys the progress so far, highlights the key features in achieving a high rate of multilevel variance convergence, and suggests directions for future ...
arxiv
DEP : a computer program for evaluating lumber drying costs and investments
, 1983 The DEP computer program is a modified discounted cash flow computer program designed for analysis of problems involving economic analysis of wood drying processes.
semanticscholar +1 more source
Error estimates for binomial approximations of game put options [PDF]
arXiv, 2012 We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.
arxiv
Fast and Stable Credit Gamma of CVA
, 2023 Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, which is the vector of default intensities of the counterparty, affects in a ...
Daluiso, Roberto
core
Symmetries of the Black-Scholes equation [PDF]
Methods Appl. Anal. 19, 2 (2012) 147--160, 2011 We determine the algebra of isovectors for the Black--Scholes equation. As a consequence, we obtain some previously unknown families of transformations on the solutions.
arxiv
Monte Carlo approximation to optimal investment [PDF]
arXiv, 2013 This paper sets up a methodology for approximately solving optimal investment problems using duality methods combined with Monte Carlo simulations. In particular, we show how to tackle high dimensional problems in incomplete markets, where traditional methods fail due to the curse of dimensionality.
arxiv
The importance of being scrambled: supercharged Quasi Monte Carlo
, 2023 In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, unlike MC QMC lacks a practical error estimate.
Hok, J., Kucherenko, S.
core