Related papers: An Introduction to Hedge Funds
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
The document provides an overview of financial climate risks. It delves into how climate change impacts the global financial system, distinguishing between physical risks (such as extreme weather events) and transition risks (stemming from…
In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and the central limit theorems. Such an assumption may not be…
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated…
As the complexity and dynamism of financial markets continue to grow, traditional financial risk prediction methods increasingly struggle to handle large datasets and intricate behavior patterns. This paper explores the feasibility and…
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss…
We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government…
This work models the interconnection of company's investment managers' representations and the market attraction of its shares. The models that reflect the connection of the company's market effectiveness indices and parameters of its…
Cloud computing is an emerging computing model where IT and computing operations are delivered as services in highly scalable and cost effective manner. Recently, embarking this new model in business has become popular. Companies in diverse…
This review systematically examines deep learning applications in financial asset management. Unlike prior reviews, this study focuses on identifying emerging trends, such as the integration of explainable artificial intelligence (XAI) and…
Natural hedging allows life insurers to manage longevity risk internally by offsetting the opposite exposures of life insurance and annuity liabilities. Although many studies have proposed natural hedging strategies under different…
Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic…
Concept-based Models are a class of inherently explainable networks that improve upon standard Deep Neural Networks by providing a rationale behind their predictions using human-understandable `concepts'. With these models being highly…
In this work we are concerned with valuing optionalities associated to invest or to delay investment in a project when the available information provided to the manager comes from simulated data of cash flows under historical (or…
Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In this article, we expand the close connection between…
Cloud computing has been attracting the attention of several researchers both in the academia and the industry as it provides many opportunities for organizations by offering a range of computing services. For cloud computing to become…
Decentralized trust management is used as a referral benchmark for assisting decision making by human or intelligence machines in open collaborative systems. During any given period of time, each participant may only interact with a few of…
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
The paper examines financial management challenges faced by organizations operating under remote and hybrid work models. It investigates how these flexible arrangements influence budgeting, reporting, and financial transparency in…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…