One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Options with embedded early exercise features are of fundamental importance in finance. A simple example is the hedge of a multi-callable bond. This instrument is hedged using a Bermudan swaption.Bermudan swaptions also play a key role when pricing callable constant maturity swaps or flexible...

The main objective of this study is to present a two-step approach to generate estimates of economic growth based on agents' expectations from tendency surveys. First, we design a genetic programming experiment to derive mathematical functional forms that approximate the target variable by...

The main objective of this study is to present a two-step approach to generate estimates of economic growth based on agents' expectations from tendency surveys. First, we design a genetic programming experiment to derive mathematical functional forms that approximate the target variable by...

In this paper we examine feed-forward neural networks using genetic algorithms in the training process instead of error backpropagation algorithm. Additionally real encoding is preferred to binary encoding as it is more appropriate to find the optimum weights. We use learning and momentum rates...

We propose a new method for solving high-dimensional dynamic programming problems and recursive competitive equilibria with a large (but finite) number of heterogeneous agents using deep learning. The "curse of dimensionality" is avoided due to four complementary techniques: (1) exploiting...

This paper proposes a novel method of global optimization based on host-parasite co-evolution. It also develops a Fortran-77 code for the algorithm. The algorithm has been tested on 100 benchmark functions (of which the results of 32 relatively harder problems have been reported). In its search...

This note is intended to demonstrate that median (a well-known measure of central tendency) is a weighted arithmetic mean of all sample observations and such (non-trivial) weights may be computed by an optimization method such as the host-parasite co-evolutionary algorithm