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Found 8 papers, 0 papers with code
Risk Budgeting Allocation for Dynamic Risk Measures
We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where risk is measured using a dynamic time-consistent risk measure.
Optimal Trading in Automatic Market Makers with Deep Learning
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges.
Statistical Learning and Inverse Problems: A Stochastic Gradient Approach
Inverse problems are paramount in Science and Engineering.
Functional Classification of Bitcoin Addresses
This paper proposes a classification model for predicting the main activity of bitcoin addresses based on their balances.
Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation
In this paper we derive a efficient Monte Carlo approximation for the price of path-dependent derivatives under the multiscale stochastic volatility models of Fouque \textit{et al}.
Avoiding zero probability events when computing Value at Risk contributions
This paper is concerned with the process of risk allocation for a generic multivariate model when the risk measure is chosen as the Value-at-Risk (VaR).
PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations
In this paper, we propose a novel numerical method for Path-Dependent Partial Differential Equations (PPDEs).
