The proliferation of algorithmic high-frequency trading in financial markets has also led to an increase in new types of fraudulent activity. Since the flash-crash of 2010 first brought it to popular prominence, layering or spoofing fraud has become a major concern for financial regulators...

We present a numerically efficient approach for machine-learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be used to implement a stochastic implied volatility...

We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalise the duality results of Haugh-Kogan/Rogers and Jamshidian to the case where both parties of a contract have Bermudan optionality. It is shown that the...

The objective of this paper is to determine the cause of queues in hair dressing salons, the average time a customer spends in the salon as a result of the queue, the applicability of a mathematical model (Queuing Models) for use in the management of waiting line problems in hair-dressing salons...

A model is proposed of a population of competing companies that are in a coevolutionary race and whose evolutionary performance is evaluated by a financial market, composed of value investors and of a breed of arbitrageurs that perform bargain arbitrage, trying to identify 'bargains' in the form...

In 2007, the SAVI was launched as an index designed to measure the market's expectation of the 3-month market volatility. The SAVI soon became the benchmark for measuring the market sentiment, and in this light can be thought of as a market “fear” index.Two years later, in 2009 the...

This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

We propose a class of execution algorithms that consists of a strategic layer and a speculative layer. The strategic layer is an optimal trading schedule that encodes the trader's objective, her tolerance to risk, and the impact of her own trades in the market. The schedule of the strategic...

We propose a novel generative model for multivariate discrete-time time series data. Drawing inspiration from the construction of neural spline flows, our algorithm incorporates linear transformations and the signature transform as a seamless substitution for traditional neural networks. This...

This paper is the second of a series of 9 lecture notes in Algorithmic and Advanced Programming in Python that are part of the Syllabus of Dauphine PSL's Master in Computer Science, Decision Making & Data. It taught advanced data structure in python with a focus on core and practical details to...