Related papers: Delta Hedging in Financial Engineering: Towards a …
This article studies the financial time series data processing for machine learning. It introduces the most frequent scaling methods, then compares the resulting stationarity and preservation of useful information for trend forecasting. It…
During the last decade, the information technology industry has adopted a data-driven culture, relying on online metrics to measure and monitor business performance. Under the setting of big data, the majority of such metrics approximately…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
This article introduces the groundbreaking concept of the financial differential machine learning algorithm through a rigorous mathematical framework. Diverging from existing literature on financial machine learning, the work highlights the…
We revisit the well-studied superhedging problem under proportional transaction costs in continuous time using the recently developed tools of set-valued stochastic analysis. By relying on a simple Black-Scholes-type market model for…
We study \emph{optimal insider control problems}, i.e. optimal control problems of stochastic systems where the controller at any time $t$ in addition to knowledge about the history of the system up to this time, also has additional…
This dissertation investigates the ability of the Ising model to replicate statistical characteristics, or stylized facts, commonly observed in financial assets. The study specifically examines in the S&P500 index the following features:…
Index tracking, also known as passive investing, has gained significant traction in financial markets due to its cost-effective and efficient approach to replicating the performance of a specific market index. This review paper provides a…
We describe an abstract control-theoretic framework in which the validity of the dynamic programming principle can be established in continuous time by a verification of a small number of structural properties. As an application we treat…
This paper develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time mathematical finance, does not rely on stochastic integrals or other…
The heterogeneity in the organization of software engineering (SE) research historically exists, i.e., funded research model and hands-on model, which makes software engineering become a thriving interdisciplinary field in the last 50…
Security issues have gathered growing interest within the control systems community, as physical components and communication networks are increasingly vulnerable to cyber attacks. In this context, recent literature has studied increasingly…
We revisit optimal execution of an active portfolio in the presence of slippage (aka linear, proportional, or absolute-value) costs. Market efficiency implies a close balance between active alphas and trading costs, so even small changes to…
Data-driven control offers a powerful alternative to traditional model-based methods, particularly when accurate system models are unavailable or prohibitively complex. While existing data-driven control methods primarily aim to construct…
Funnel control achieves output tracking with guaranteed tracking performance for unknown systems and arbitrary reference signals. In particular, the tracking error is guaranteed to satisfy time-varying error bounds for all times (it evolves…
By treating data and models as the source code, Foundation Models (FMs) become a new type of software. Mirroring the concept of software crisis, the increasing complexity of FMs making FM crisis a tangible concern in the coming decade,…
Recent advances in machine learning, coupled with low-cost computation, availability of cheap streaming sensors, data storage and cloud technologies, has led to widespread multi-disciplinary research activity with significant interest and…
Suppose an investor aims at Delta hedging a European contingent claim $h(S(T))$ in a jump-diffusion model, but incorrectly specifies the stock price's volatility and jump sensitivity, so that any hedging strategy is calculated under a…
We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying…
The model-based control of building heating systems for energy saving encounters severe physical, mathematical and calibration difficulties in the numerous attempts that has been published until now. This topic is addressed here via a new…