Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Sarp Kaya Acar"'
Publikováno v:
Journal of Mathematics in Industry, Vol 12, Iss 1, Pp 1-19 (2022)
Abstract Deep learning is a powerful tool, which is becoming increasingly popular in financial modeling. However, model validation requirements such as SR 11-7 pose a significant obstacle to the deployment of neural networks in a bank’s production
Externí odkaz:
https://doaj.org/article/acffc18c8f3943c18289ae80b5a802dd
Publikováno v:
SSRN Electronic Journal.
We consider the application of a control variate technique for Deep Learning. In analogy to applications for Monte Carlo simulation or Fourier integration methods, this technique improves the quality of deep learning applied to option pricing problem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ead41061102bc570f9d3dd5c73457fee
https://doi.org/10.2139/ssrn.3527314
https://doi.org/10.2139/ssrn.3527314
Publikováno v:
SSRN Electronic Journal.
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options within the setting of interest rate term structure models. This aims to accelerate existing numerical methods which is important fo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e41b8a21b513e72462c9d9efb16ab8d8
https://doi.org/10.2139/ssrn.3498398
https://doi.org/10.2139/ssrn.3498398
Publikováno v:
SSRN Electronic Journal.
The estimation of dynamic initial margin (DIM) for general portfolios is a challenging problem. The present paper describes an accurate new approach, based on regression, that uses Johnson-type distributions, which are fitted to conditional moments e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be9376d3bbbc982d34f47120d42160e5
https://doi.org/10.2139/ssrn.3147811
https://doi.org/10.2139/ssrn.3147811
Publikováno v:
Asset and Liability Management Handbook ISBN: 9781349325733
With regard to asset liability management (ALM), the future evolution of the interest rate market plays a major role. This is natural, as with a deterministic evolution of the interest rate (in fact, only in a deterministic setting we could speak of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::231c59d81eac08dcebb63c424a5c5f1e
https://doi.org/10.1057/9780230307230_3
https://doi.org/10.1057/9780230307230_3
In this paper we apply Cheyette’s Markov representation of the Heath–Jarrow– Morton framework to the modeling of stochastic credit spreads. As an application of this framework, the volatility of the credit spread process is modeled by consideri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::67b2f743f5e3f921e59ff000c37145e2
https://publica.fraunhofer.de/handle/publica/220285
https://publica.fraunhofer.de/handle/publica/220285