相关论文: Mathematical models and numerical methods for a ca…

The paper develops a calculus for a class of real-valued functions having a quadratic variation. The main result is a solution of the representation problem for a class of evolutions having a quadratic variation. The result is applied to…

Continuous-variable (CV) quantum systems offer a natural framework for continuous optimization through their infinite-dimensional Hilbert spaces. In this paper, we propose the Complex Continuous-Variable Quantum Approximate Optimization…

The Shapley value is the prevalent solution for fair division problems in which a payout is to be divided among multiple agents. By adopting a game-theoretic view, the idea of fair division and the Shapley value can also be used in machine…

We investigate the feasibility of integrating quantum algorithms as subroutines of simulation-based optimisation problems with relevance to and potential applications in mathematical finance. To this end, we conduct a thorough analysis of…

We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…

We reformulate the Cavity Approximation (CA), a class of algorithms recently introduced for improving the Bethe approximation estimates of marginals in graphical models. In our new formulation, which allows for the treatment of multivalued…

Portfolio optimization is a financial task which requires the allocation of capital on a set of financial assets to achieve a better trade-off between return and risk. To solve this problem, recent studies applied multi-objective…

Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all the trades with each counterparty under both market and credit risk. We present a multi-Gaussian process regression approach,…

We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential L\'evy models. Our method extends the effective approach developed by Wang, Wan & Forsyth (2007) for the 1-dimensional…

This paper presents a numerical model to solve the problem of cash accumulation strategies for products with an unknown future price, like assets. Stock prices are modeled by a discretized Wiener Process, and by the means of ordinary…

In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the sum of the cash flows, can be represented as a solution of a…

For a given statistical model, it often happens that it is necessary to intervene the model to reduce the variances of the output variables. In structural equation models, this can be done by changing the values of the path coefficients by…

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random…

We consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follows a multidimensional exponential Levy model. We carefully examine the relation between the option prices, related partial…

We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…

We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. The trader encounters a trade-off between the transaction costs…

There are no known exact formulas for the valuation of a number of exotic options, and this is particularly true for options under discrete monitoring and for American style options. Therefore, one usually recourses to a Monte Carlo…

Quantum algorithms have gained increasing attention for addressing complex combinatorial problems in finance, notably portfolio optimization. This study systematically benchmarks two prominent variational quantum approaches, Variational…

The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on…

We formulate banks' capital optimization problem as a classic mean variance optimization, by leveraging an accurate linear approximation to the Shapely or Constrained Aumann-Shapley (CAS) allocation of max or nested max cost functions. This…