Explicit Computations for Delayed Semistatic Hedging

no code implementations • 21 Aug 2023 • Yan Dolinsky, Or Zuk

In this work we consider the exponential utility maximization problem in the framework of semistatic hedging.

Exponential Utility Maximization in a Discrete Time Gaussian Framework

1 code implementation • 29 May 2023 • Yan Dolinsky, Or Zuk

The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution.

Testing Independence under Biased Sampling

1 code implementation • 12 Dec 2019 • Yaniv Tenzer, Micha Mandel, Or Zuk

In some applications, data are subject to selection bias that causes dependence between observations even when it is absent from the population.

Methodology

Clustering Noisy Signals with Structured Sparsity Using Time-Frequency Representation

1 code implementation • 18 Oct 2015 • Tom Hope, Avishai Wagner, Or Zuk

We propose a simple and efficient time-series clustering framework particularly suited for low Signal-to-Noise Ratio (SNR), by simultaneous smoothing and dimensionality reduction aimed at preserving clustering information.

Clustering Dimensionality Reduction +3

Low-Rank Matrix Recovery from Row-and-Column Affine Measurements

1 code implementation • 23 May 2015 • Avishai Wagner, Or Zuk

We propose and study a row-and-column affine measurement scheme for low-rank matrix recovery.