We apply Reinforcement Learning algorithms to solve the classic quantitative finance Market Making problem, in which an agent provides liquidity to the market by placing buy and sell orders while maximizing a utility function. The optimal agent has to find a delicate balance between the price...

This article presents the use of Least Squares Monte Carlo (LSMC) and Copula methodology for derivative option pricing including Counterparty Credit Risk. Since the financial crisis of 2008, the financial industry and the regulatory authorities began adjust the price of derivatives due to...

Since 2008’s financial crisis, risk management has focused in extreme market movements, i.e. low probability but high impact financial returns. This requires to precisely know the far tails of the probability distribution function underlying the returns’ generation process. Extreme values...