相关论文: Machine Learning-based Relative Valuation of Munic…

Bond prices are a reflection of extremely complex market interactions and policies, making prediction of future prices difficult. This task becomes even more challenging due to the dearth of relevant information, and accuracy is not the…

Financial literature consists of ample research on similarity and comparison of financial assets and securities such as stocks, bonds, mutual funds, etc. However, going beyond correlations or aggregate statistics has been arduous since…

This paper explores the implications of using machine learning models in the pricing of catastrophe (CAT) bonds. By integrating advanced machine learning techniques, our approach uncovers nonlinear relationships and complex interactions…

We investigate the application of quantum cognition machine learning (QCML), a novel paradigm for both supervised and unsupervised learning tasks rooted in the mathematical formalism of quantum theory, to distance metric learning in…

In this paper, we propose an alternative valuation approach for CAT bonds where a pricing formula is learned by deep neural networks. Once trained, these networks can be used to price CAT bonds as a function of inputs that reflect both the…

This study investigates the application of machine learning techniques, specifically Neural Networks, Random Forests, and CatBoost for option pricing, in comparison to traditional models such as Black-Scholes and Heston Model. Using both…

Developing an accurate prediction model for housing prices is always needed for socio-economic development and well-being of citizens. In this paper, a diverse set of machine learning algorithms such as XGBoost, CatBoost, Random Forest,…

The special and important problems of default prediction for municipal bonds are addressed using a combination of text embeddings from a pre-trained transformer network, a fully connected neural network, and synthetic oversampling. The…

Traditional machine learning methods have been widely studied in financial innovation. My study focuses on the application of deep learning methods on asset pricing. I investigate various deep learning methods for asset pricing, especially…

This paper explores the application of Machine Learning techniques for pricing high-dimensional options within the framework of the Uncertain Volatility Model (UVM). The UVM is a robust framework that accounts for the inherent…

Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…

A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training…

Loan risk for small businesses has long been a complex problem worthy of exploring. Predicting the loan risk can benefit entrepreneurship by developing more jobs for the society. CatBoost (Categorical Boosting) is a powerful machine…

We study the problem of collaborative machine learning markets where multiple parties can achieve improved performance on their machine learning tasks by combining their training data. We discuss desired properties for these machine…

Auto-bidding systems are widely used in advertising to automatically determine bid values under constraints such as total budget and Return-on-Spend (RoS) targets. Existing works often assume that the value of an ad impression, such as the…

With the fast development of quantitative portfolio optimization in financial engineering, lots of AI-based algorithmic trading strategies have demonstrated promising results, among which reinforcement learning begins to manifest…

Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…

Robust yield curve estimation is crucial in fixed-income markets for accurate instrument pricing, effective risk management, and informed trading strategies. Traditional approaches, including the bootstrapping method and parametric…

Home sale prices are formed given the transaction actors economic interests, which include government, real estate dealers, and the general public who buy or sell properties. Generating an accurate property price prediction model is a major…

Introduced in the late 90s, the passport option gives its holder the right to trade in a market and receive any positive gain in the resulting traded account at maturity. Pricing the option amounts to solving a stochastic control problem…