Applications of the Deep Galerkin Method to Solving Partial...
We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations (PDEs) that arise in the context of optimal stochastic...
View ArticlePricing FX Options under Intermediate Currency. (arXiv:1912.01387v1 [q-fin.MF])
We introduce a new pricing mechanism for FX options, which is based on the idea of an intermediate pseudo-currency market. This approach allows us to price options on all FX markets simultaneously...
View ArticleTime-inconsistent consumption-investment problems in incomplete markets under...
In this paper we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a...
View ArticleSpeed-up credit exposure calculations for pricing and risk management....
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure...
View ArticleMarket making and incentives design in the presence of a dark pool: a deep...
We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fees policy to attract transactions on...
View ArticleA Simple Proof of the Fundamental Theorem of Asset Pricing....
A simple statement and accessible proof of a version of the Fundamental Theorem of Asset Pricing in discrete time is provided. Careful distinction is made between prices and cash flows in order to...
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Cyber risk governance should take centre stage in financial services
It feels as though cyber risk has crept up on us without warning and with great intensity. We have come a long way from the days when our palm pilots had to be hot-syncâd through a docking station...
View ArticleRuin probabilities for a Lévy-driven generalised...
Abstract We study the asymptotics of the ruin probability for a process which is the solution of a linear SDE defined by a pair of independent Lévy processes. Our main interest is a model describing...
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The Golden Age of Quantum Physics
The 1927 Solvay International ConferenceContinue reading on Cantorâs Paradise »
View ArticleRemarks to the Greater Cincinnati Mutual Fund Association
Remarks to the Greater Cincinnati Mutual Fund Association by Alison Staloch, Chief Accountant, Division of Investment Management (Cincinnati, OH; December 3, 2019)
View ArticleRemarks at the Elder Justice Coordinating Council Fall 2019 Meeting
Remarks at the Elder Justice Coordinating Council Fall 2019 Meeting, by Commissioner Elad L. Roisman, Washington, DC, December 3, 2019
View ArticleWhy is the world's financial plumbing under pressure?
"Swift isn't interested in geopolitics, but geopolitics is interested in Swift." BBC News - Why is the world's financial plumbing under pressure?â¦
View ArticleA Survey of Distributed Consensus Protocols for Blockchain Networks
A Survey of Distributed Consensus Protocols for Blockchain Networks https://t.co/PTMPfWwg0k â CryptAssets (@CryptAssets) December 3, 2019
View ArticleMoneyScience: Online Training - Scala and Akka for Finance
Resource: Online Training - Scala and Akka for Finance https://t.co/sIO3zQ9zh8 â moneyscience (@moneyscience) December 4, 2019
View ArticleMoneyScience: Book: F# for Quantitative Finance - Johan Astborg
Resource: Book: F# for Quantitative Finance - Johan Astborg https://t.co/V5uGFgXA5m â moneyscience (@moneyscience) December 4, 2019
View ArticleFinancial Contagion and the Role of Firm Characteristics
Publication date: Available online 4 December 2019Source: Finance Research LettersAuthor(s): Alper Kara, Yavuz Selim Hacihasanoglu, Deren UnalmisAbstractUsing the Borsa Istanbul sector indices, this...
View ArticleSEC Issues Agenda for Dec. 11 Meeting of Small Business Capital Formation...
The Securities and Exchange Commission today released the agenda for a Dec. 11 telephonic meeting of its Small Business Capital Formation Advisory Committee. The committee provides the Commission with...
View ArticleHomebody in a Hoodie: Hedge Fund Founder Builds Quant Paradise
Hedge Fund manager, Steven Schonfeld lets his quant traders keep what they cherish most -- intellectual property -- as long as they exclusively manage theâ¦
View ArticlePro-Cyclicality of Traditional Risk Measurements: Quantifying and...
Since the introduction of risk-based solvency regulation, pro-cyclicality has been a subject of concerns from all market participants. Here, we lay down a methodology to evaluate the amount of...
View ArticleNumerical stability of a hybrid method for pricing options....
We develop and study stability properties of a hybrid approximation of functionals of the Bates jump model with stochastic interest rate that uses a tree method in the direction of the volatility and...
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