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Displaced lognormal volatility skews : analysis and applications to stochastic volatility simulations
Lee, Roger; Wang, Dan - In: Annals of finance 8 (2012) 2/3, pp. 159-181
Persistent link: https://www.econbiz.de/10009548134
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Pricing temperature derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
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Modeling and pricing precipitation derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10011568818
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A practical guide to forecasting : financial markets volatility
Poon, Ser-Huang - 2005
Persistent link: https://www.econbiz.de/10013489917
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Modeling risk : applying Monte Carlo simulation, real options analysis, forecasting, and optimization techniques
Mun, Johnathan - 2006
Persistent link: https://www.econbiz.de/10003212058
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American option pricing with machine learning : an extension of the Longstaff-Schwartz method
Lin, Jingying; Almeida, Caio - In: Revista Brasileira de Finanças : RBFin 19 (2021) 3, pp. 85-109
Persistent link: https://www.econbiz.de/10012804834
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Deep learning volatility : a deep neural network perspective on pricing and calibration in (rough) volatility models
Horvath, Blanka Nora; Muguruza, Aitor; Tomas, Mehdi - In: Quantitative finance 21 (2021) 1, pp. 11-27
Persistent link: https://www.econbiz.de/10012424629
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Threshold stochastic volatility : properties and forecasting
Mao, Xiuping; Ruiz, Esther; Veiga, Helena - In: International journal of forecasting 33 (2017) 4, pp. 1105-1123
Persistent link: https://www.econbiz.de/10011746949
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A new unbiased additive robust volatility estimation using extreme values of asset prices
Shaik, Muneer; Maheswaran, S. - In: Financial markets and portfolio management 34 (2020) 3, pp. 313-347
Persistent link: https://www.econbiz.de/10012289673
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A machine learning approach to portfolio pricing and risk management for high-dimensional problems
Fernandez-Arjona, Lucio; Filipović, Damir - 2020
We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an effective low-dimensional representation, overcoming the curse...
Persistent link: https://www.econbiz.de/10012219260