Zobrazeno 1 - 10
of 476
pro vyhledávání: '"A. Hirsa"'
Autor:
Yeung, Chun Yat, Hirsa, Ali
We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications in classical models. As long as characteristic function fulfills a L\'e
Externí odkaz:
http://arxiv.org/abs/2212.05671
Autor:
Hirsa, Ali, Heidari, Massoud
Individual trade orders are often bunched into a block order for processing efficiency, where in post execution, they are allocated into individual accounts. Since Regulators have not mandated any specific post trade allocation practice or methodolog
Externí odkaz:
http://arxiv.org/abs/2210.15499
Autor:
Fu, Weilong, Hirsa, Ali
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained to satisfy the PDE as well as the boundary conditions. Two singular ter
Externí odkaz:
http://arxiv.org/abs/2207.00524
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the complex statistical properties of the real financial data. We introduc
Externí odkaz:
http://arxiv.org/abs/2207.00493
Autor:
Yalim, Jason, Lopez, Juan M., Griffin, Shannon R., Adam, Joe A., Brown, Kaleb D., McMackin, Patrick M., Hirsa, Amir H.
Publikováno v:
In Physica D: Nonlinear Phenomena July 2024 463
Autor:
Karatas, Tugce, Hirsa, Ali
Risk arbitrage or merger arbitrage is a well-known investment strategy that speculates on the success of M&A deals. Prediction of the deal status in advance is of great importance for risk arbitrageurs. If a deal is mistakenly classified as a complet
Externí odkaz:
http://arxiv.org/abs/2110.09315
Institutional investors have been increasing the allocation of the illiquid alternative assets such as private equity funds in their portfolios, yet there exists a very limited literature on cash flow forecasting of illiquid alternative assets. The n
Externí odkaz:
http://arxiv.org/abs/2108.02853
Autor:
Karatas, Tugce, Hirsa, Ali
Market indicators such as CPI and GDP have been widely used over decades to identify the stage of business cycles and also investment attractiveness of sectors given market conditions. In this paper, we propose a two-stage methodology that consists o
Externí odkaz:
http://arxiv.org/abs/2108.02838
Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant succ
Externí odkaz:
http://arxiv.org/abs/2106.08437
Artificial Intelligence (AI) has created the single biggest technology revolution the world has ever seen. For the finance sector, it provides great opportunities to enhance customer experience, democratize financial services, ensure consumer protect
Externí odkaz:
http://arxiv.org/abs/2103.00949