no code implementations • 30 Oct 2020 • Derek Singh, Shuzhong Zhang
This paper expands the work on distributionally robust newsvendor to incorporate moment constraints.
no code implementations • 18 Jun 2020 • Derek Singh, Shuzhong Zhang
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure.
no code implementations • 20 Apr 2020 • Derek Singh, Shuzhong Zhang
A relaxation is introduced for which we coin the term statistical arbitrage.
no code implementations • 4 Oct 2019 • Derek Singh, Shuzhong Zhang
This paper investigates calculations of robust XVA, in particular, credit valuation adjustment (CVA) and funding valuation adjustment (FVA) for over-the-counter derivatives under distributional uncertainty using Wasserstein distance as the ambiguity measure.
