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How do Scientists Formulate New Equations?
This question must have crossed your mind at least once, even though you may not be so much of a fan of mathematics. If you are a curious…Continue reading on Cantorâs Paradise »
View ArticleUnderstanding Monte Carlo Simulation
Understanding Monte Carlo Simulation by John Clements https://t.co/pC0pEoEa5S â Towards Data Science (@TDataScience) December 16, 2019
View ArticleMoneyScience: Seasons Greetings
Season's Greeting from the Team at MoneyScience! https://t.co/kh6mYCK5QZ pic.twitter.com/7cXJMnJo8E â moneyscience (@moneyscience) December 16, 2019
View ArticleSEC Charges Former Goldman Sachs Executive With FCPA Violations
The Securities and Exchange Commission today announced charges against former Goldman Sachs Group Inc. executive Tim Leissner for engaging in a corruption scheme, by which he obtained millions of...
View ArticleNeural network regression for Bermudan option pricing. (arXiv:1907.06474v2...
The pricing of Bermudan options amounts to solving a dynamic programming principle, in which the main difficulty, especially in high dimension, comes from the conditional expectation involved in the...
View ArticleFour-factor model of Quanto CDS with jumps-at-default and stochastic...
In this paper we modify the model of Itkin, Shcherbakov and Veygman, (2019) (ISV2019), proposed for pricing Quanto Credit Default Swaps (CDS) and risky bonds, in several ways. First, it is known since...
View ArticleA Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field....
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion mechanism provides an...
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After 2008, the reputation of bankers took a nosedive, but are bankers really...
âHonesty is the first chapter in the book of wisdom.â Thatâs what Thomas Jefferson, Founding Father and third president of the United States, once said. If thatâs true, then you might think...
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