Computational Finance

Authors and titles for q-fin.CP in Feb 2023

[1]  arXiv:2302.00434 [pdf, other]

Title: Convergence of the Euler--Maruyama particle scheme for a regularised McKean--Vlasov equation arising from the calibration of local-stochastic volatility models

Authors: Christoph Reisinger, Maria Olympia Tsianni

Subjects: Computational Finance (q-fin.CP)

[2]  arXiv:2302.00728 [pdf, other]

Title: Data-driven Approach for Static Hedging of Exchange Traded Options

Authors: Vikranth Lokeshwar Dhandapani, Shashi Jain

Comments: 42 pages, 11 figures

Subjects: Computational Finance (q-fin.CP); Risk Management (q-fin.RM)

[3]  arXiv:2302.00846 [pdf, other]

Title: A time-dependent Markovian model of a limit order book

Authors: Jonathan A. Chávez-Casillas

Comments: 23 pages, 43 figures

Subjects: Computational Finance (q-fin.CP); Probability (math.PR); Trading and Market Microstructure (q-fin.TR)

[4]  arXiv:2302.06682 [pdf, other]

Title: Parametric Differential Machine Learning for Pricing and Calibration

Authors: Arun Kumar Polala, Bernhard Hientzsch

Comments: 45 pages

Subjects: Computational Finance (q-fin.CP); Numerical Analysis (math.NA); Mathematical Finance (q-fin.MF)

[5]  arXiv:2302.07320 [pdf, other]

Title: Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing

Authors: Mohamed Hamdouche, Pierre Henry-Labordere, Huyen Pham

Comments: 19 pages, 6 figures

Subjects: Computational Finance (q-fin.CP); Optimization and Control (math.OC)

[6]  arXiv:2302.07822 [pdf, other]

Title: Silkswap: An asymmetric automated market maker model for stablecoins

Authors: Nicola Cantarutti, Alex Harker, Carter Woetzel

Subjects: Computational Finance (q-fin.CP); General Economics (econ.GN); Pricing of Securities (q-fin.PR); Trading and Market Microstructure (q-fin.TR)

[7]  arXiv:2302.07996 [pdf, other]

Title: A Comparison of Reinforcement Learning and Deep Trajectory Based Stochastic Control Agents for Stepwise Mean-Variance Hedging

Authors: Ali Fathi, Bernhard Hientzsch

Comments: 37 pages

Subjects: Computational Finance (q-fin.CP)

[8]  arXiv:2302.09176 [pdf, other]

Title: Generative Ornstein-Uhlenbeck Markets via Geometric Deep Learning

Authors: Anastasis Kratsios, Cody Hyndman

Comments: 9 Pages, 1 Figure

Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG); Neural and Evolutionary Computing (cs.NE)

[9]  arXiv:2302.12439 [pdf, other]

Title: Simultaneous upper and lower bounds of American option prices with hedging via neural networks

Authors: Ivan Guo, Nicolas Langrené, Jiahao Wu

Comments: 26 pages including references and the appendix, 8 figures, 7 tables

Subjects: Computational Finance (q-fin.CP); Probability (math.PR); Machine Learning (stat.ML)

[10]  arXiv:2302.12612 [pdf, other]

Title: Detecting Rough Volatility: A Filtering Approach

Authors: Camilla Damian, Rüdiger Frey

Subjects: Computational Finance (q-fin.CP)

[11]  arXiv:2302.04184 (cross-list from q-fin.TR) [pdf, other]

Title: Order book regulatory impact on stock market quality: a multi-agent reinforcement learning perspective

Authors: Johann Lussange, Boris Gutkin

Subjects: Trading and Market Microstructure (q-fin.TR); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

[12]  arXiv:2302.08758 (cross-list from q-fin.MF) [pdf, other]

Title: Tighter 'Uniform Bounds for Black-Scholes Implied Volatility' and the applications to root-finding

Authors: Jaehyuk Choi, Jeonggyu Huh, Nan Su

Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

[13]  arXiv:2302.08819 (cross-list from q-fin.MF) [pdf, other]

Title: SPX, VIX and scale-invariant LSV\footnote{Local Stochastic Volatility}

Authors: Alexander Lipton, Adil Reghai

Comments: 17 pages, 11 figures, 6 tables

Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP)

[14]  arXiv:2302.13646 (cross-list from q-fin.PM) [pdf, other]

Title: A Tale of Tail Covariances (and Diversified Tails)

Authors: Jan Rosenzweig

Subjects: Portfolio Management (q-fin.PM); Computational Finance (q-fin.CP); Risk Management (q-fin.RM)

[15]  arXiv:2302.00411 (cross-list from stat.AP) [pdf, ps, other]

Title: Electricity price forecasting with Smoothing Quantile Regression Averaging: Quantifying economic benefits of probabilistic forecasts

Authors: Bartosz Uniejewski

Subjects: Applications (stat.AP); Computational Finance (q-fin.CP)

[16]  arXiv:2302.05170 (cross-list from math.NA) [pdf, ps, other]

Title: GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations

Authors: Shuaiqiang Liu, Graziana Colonna, Lech A. Grzelak, Cornelis W. Oosterlee

Journal-ref: Chapter in Mathematics: Key Enabling Technology for Scientific Machine Learning by NDNS+, 2021 Cluster

Subjects: Numerical Analysis (math.NA); Computational Finance (q-fin.CP)

[17]  arXiv:2302.07758 (cross-list from math.PR) [pdf, other]

Title: Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation

Authors: Aurélien Alfonsi

Subjects: Probability (math.PR); Computational Finance (q-fin.CP)

[18]  arXiv:2302.08002 (cross-list from econ.EM) [pdf, ps, other]

Title: Deep Learning Enhanced Realized GARCH

Authors: Chen Liu, Chao Wang, Minh-Ngoc Tran, Robert Kohn

Comments: 47 pages, 12 tables

Subjects: Econometrics (econ.EM); Machine Learning (cs.LG); Computational Finance (q-fin.CP)