Related papers: An Introduction to Hedge Funds
While Indices, Index tracking funds and ETFs have grown in popularity during then last ten years, there are many structural problems inherent in Index calculation methodologies and the legal/economic structure of ETFs. These problems raise…
This is a review about financial dependencies which merges efforts in econophysics and financial economics during the last few years. We focus on the most relevant contributions to the analysis of asset markets' dependencies, especially…
We present a unified framework for computing CVA sensitivities, hedging the CVA, and assessing CVA risk, using probabilistic machine learning meant as refined regression tools on simulated data, validatable by low-cost companion Monte Carlo…
The paper examines in the context of financial reporting, the controls that organisations have in place to manage spreadsheet risk and errors. There has been widespread research conducted in this area, both in Ireland and internationally.…
Nowadays, the global booming of FinTech can be seen everywhere. FinTech has created innovative disruptions to traditional, long-established financial institutions (e.g., banks and insurance companies) in financial services markets. Despite…
Financial and gambling markets are ostensibly similar and hence strategies from one could potentially be applied to the other. Financial markets have been extensively studied, resulting in numerous theorems and models, while gambling…
Spreadsheets are ubiquitous, heavily relied on throughout vast swathes of finance, commerce, industry, academia and Government. They are also acknowledged to be extraordinarily and unacceptably prone to error. If these two points are…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
In general, underestimation of risk is something which should be avoided as far as possible. Especially in financial asset management, equity risk is typically characterized by the measure of portfolio variance, or indirectly by quantities…
The option is a financial derivative, which is regularly employed in reducing the risk of its underlying securities. However, investing in option is still risky. Such risk becomes much severer for speculators who utilize option as a means…
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal…
Deep hedging uses recurrent neural networks to hedge financial products that cannot be fully hedged in incomplete markets. Previous work in this area focuses on minimizing some measure of quadratic hedging error by calculating pathwise…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second…
Data heterogeneity plays a pivotal role in determining the performance of machine learning (ML) systems. Traditional algorithms, which are typically designed to optimize average performance, often overlook the intrinsic diversity within…
Thanks to their flexibility and capability to perform different tasks and organize data in the best form and format, spreadsheets are widely used in different organizations and by different end users. Many business organizations rely on…
Financial statement fraud detection is an important problem with a number of design aspects to consider. Issues such as (i) problem representation, (ii) feature selection, and (iii) choice of performance metrics all influence the perceived…
Financial AI empowers sophisticated approaches to financial market forecasting, portfolio optimization, and automated trading. This survey provides a systematic analysis of these developments across three primary dimensions: predictive…
Hedge has been proposed as an adaptive scheme, which guides an agent's decision in resource selection and distribution problems that can be modeled as a multi-armed bandit full information game. Such problems are encountered in the areas of…
In this paper we study mean-variance hedging under the G-expectation framework. Our analysis is carried out by exploiting the G-martingale representation theorem and the related probabilistic tools, in a contin- uous financial market with…
Minimum market transparency requirements impose Hedge Fund (HF) managers to use the statement declared strategy in practice. However each declared strategy may actually origin a multiplicity of implemented management decisions. Is then the…