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Computational Finance

Authors and titles for recent submissions

[ total of 11 entries: 1-11 ]
[ showing up to 25 entries per page: fewer | more ]

Fri, 1 Mar 2024

[1]  arXiv:2402.18764 (cross-list from physics.soc-ph) [pdf, other]
Title: An Analytical Approach to (Meta)Relational Models Theory, and its Application to Triple Bottom Line (Profit, People, Planet) -- Towards Social Relations Portfolio Management
Comments: 41 pages, 8 pdf figures and tables
Subjects: Physics and Society (physics.soc-ph); Computational Finance (q-fin.CP); General Finance (q-fin.GN); Portfolio Management (q-fin.PM)

Thu, 29 Feb 2024

[2]  arXiv:2402.17941 (cross-list from q-fin.PM) [pdf, other]
Title: Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
Comments: 21 Pages, 8 Figures, 2 Tables
Subjects: Portfolio Management (q-fin.PM); Computational Finance (q-fin.CP); Risk Management (q-fin.RM)

Wed, 28 Feb 2024

[3]  arXiv:2402.17684 (cross-list from q-fin.PR) [pdf, other]
Title: Stochastic expansion for the pricing of Asian options
Authors: Fabien Le Floc'h
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF)
[4]  arXiv:2402.17359 (cross-list from q-fin.TR) [pdf, other]
Title: Limit Order Book Simulations: A Review
Comments: To be submitted to Quantitative Finance
Subjects: Trading and Market Microstructure (q-fin.TR); Computational Finance (q-fin.CP)
[5]  arXiv:2402.17148 (cross-list from quant-ph) [pdf, other]
Title: Time series generation for option pricing on quantum computers using tensor network
Comments: 15 pages, 2 figures
Subjects: Quantum Physics (quant-ph); Machine Learning (cs.LG); Computational Finance (q-fin.CP)

Tue, 27 Feb 2024

[6]  arXiv:2402.15994 [pdf, ps, other]
Title: Optimizing Portfolio Management and Risk Assessment in Digital Assets Using Deep Learning for Predictive Analysis
Comments: 10 pages, 5 figures
Subjects: Computational Finance (q-fin.CP); Computational Engineering, Finance, and Science (cs.CE); Machine Learning (cs.LG)
[7]  arXiv:2402.15936 [pdf, other]
Title: Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk
Comments: 34 pages
Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)
[8]  arXiv:2402.16724 (cross-list from q-fin.PR) [pdf, ps, other]
Title: Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)
[9]  arXiv:2402.16118 (cross-list from q-fin.PM) [pdf, other]
Title: Finding Near-Optimal Portfolios With Quality-Diversity
Comments: Preprint of an article accepted for publication in Applications of Evolutionary Computation, 27th International Conference, EvoApplications 2024
Subjects: Portfolio Management (q-fin.PM); Computational Finance (q-fin.CP)
[10]  arXiv:2402.15588 (cross-list from q-fin.PM) [pdf, ps, other]
Title: Sizing the bets in a focused portfolio
Subjects: Portfolio Management (q-fin.PM); Computational Finance (q-fin.CP)

Fri, 23 Feb 2024

[11]  arXiv:2402.14100 [pdf, other]
Title: A Note on Optimal Liquidation with Linear Price Impact
Subjects: Computational Finance (q-fin.CP); Probability (math.PR)
[ total of 11 entries: 1-11 ]
[ showing up to 25 entries per page: fewer | more ]

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