相关论文: The Validity of Company Valuation Using Discounted…

Many power system operation and planning problems use the DC power flow approximation to address computational challenges from the nonlinearity of the AC power flow equations. The DC power flow simplifies the AC power flow equations to a…

In practical reinforcement learning (RL), the discount factor used for estimating value functions often differs from that used for defining the evaluation objective. In this work, we study the effect that this discrepancy of discount…

The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is essential to reflect the economic values of…

Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and…

Cash management is concerned with optimizing the short-term funding requirements of a company. To this end, different optimization strategies have been proposed to minimize costs using daily cash flow forecasts as the main input to the…

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American…

This work presents DCFlow, a novel unsupervised cross-modal flow estimation framework that integrates a decoupled optimization strategy and a cross-modal consistency constraint. Unlike previous approaches that implicitly learn flow…

In this article, a sensitivity analysis of long-term cash flows with respect to perturbations in the underlying process is presented. For this purpose, we employ the martingale extraction through which a pricing operator is transformed into…

User Defined Function(UDFs) are used increasingly to augment query languages with extra, application dependent functionality. Selection queries involving UDF predicates tend to be expensive, either in terms of monetary cost or latency. In…

At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...). Thus, in practice, market participants face the problem…

Machine-learning models, which are known to accurately predict patterns from large datasets, are crucial in decision making. Consequently, counterfactual explanations-methods explaining predictions by introducing input perturbations-have…

This paper provides intuition on the relationship of accrual and mark-to-market valuation for cash and forward interest rate trades. Discounted cashflow valuation is compared to spread-based valuation for forward trades, which explains the…

Portfolio Selection is an important real-world financial task and has attracted extensive attention in artificial intelligence communities. This task, however, has two main difficulties: (i) the non-stationary price series and complex asset…

The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…

The Direct Simulation Monte Carlo (DSMC) method was widely used to simulate low density gas flows with large Knudsen numbers. However, DSMC encounters limitations in the regime of lower Knudsen numbers (Kn<0.1). In such cases, approaches…

A fairly reliable trend in deep reinforcement learning is that the performance scales with the number of parameters, provided a complimentary scaling in amount of training data. As the appetite for large models increases, it is imperative…

We describe a machine learning method for predicting the value of a real-valued function, given the values of multiple input variables. The method induces solutions from samples in the form of ordered disjunctive normal form (DNF) decision…

Financial disclosure analysis and Knowledge extraction is an important financial analysis problem. Prevailing methods depend predominantly on quantitative ratios and techniques, which suffer from limitations like window dressing and past…

Traditional control-flow analysis (CFA) for higher-order languages, whether implemented by constraint-solving or abstract interpretation, introduces spurious connections between callers and callees. Two distinct invocations of a function…

The appropriate discount rate for evaluating policies is a critical consideration in economic decision-making. This paper presents a new model for calculating the derived discount rate for a society that includes different groups with…