no code implementations • 26 Feb 2024 • Huy N. Chau, Duy Nguyen, Thai Nguyen
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure.
1 code implementation • 3 Dec 2020 • Vijay Janapa Reddi, David Kanter, Peter Mattson, Jared Duke, Thai Nguyen, Ramesh Chukka, Ken Shiring, Koan-Sin Tan, Mark Charlebois, William Chou, Mostafa El-Khamy, Jungwook Hong, Tom St. John, Cindy Trinh, Michael Buch, Mark Mazumder, Relia Markovic, Thomas Atta, Fatih Cakir, Masoud Charkhabi, Xiaodong Chen, Cheng-Ming Chiang, Dave Dexter, Terry Heo, Gunther Schmuelling, Maryam Shabani, Dylan Zika
This paper presents the first industry-standard open-source machine learning (ML) benchmark to allow perfor mance and accuracy evaluation of mobile devices with different AI chips and software stacks.
no code implementations • 28 May 2020 • Christian Dehm, Thai Nguyen, Mitja Stadje
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain.
no code implementations • 8 May 2020 • Thai Nguyen, Mitja Stadje
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous permanent market impacts.
no code implementations • 23 May 2018 • Thai Nguyen, Mitja Stadje
This result is contrary to the situation where the insurer maximizes the utility of the total wealth of the company (without distinguishing between contributions of equity holders and policyholders), in which case a VaR constraint may induce the insurer to take excessive risks leading to higher losses than in the case of no regulation.
