Computational Finance

Authors and titles for recent submissions

[ total of 10 entries: 1-10 ]
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[1] arXiv:2004.14149 (cross-list from q-fin.RM) [pdf, other]: Title: A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Authors: Lucio Fernandez-Arjona (University of Zurich), Damir Filipović (EPFL and Swiss Finance Institute)

Comments: 18 pages (main), 16 pages (appendix), 3 figures, 18 tables

Subjects: Risk Management (q-fin.RM); Computational Finance (q-fin.CP)
Error with 2004.14048
Error with 2004.13871
[4] arXiv:2004.13797 (cross-list from q-fin.TR) [pdf, ps, other]: Title: A Stochastic LQR Model for Child Order Placement in Algorithmic Trading

Authors: Jackie Jianhong Shen

Subjects: Trading and Market Microstructure (q-fin.TR); Optimization and Control (math.OC); Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Applications (stat.AP)

[9] arXiv:2004.10951 [pdf, other]: Title: Optimal execution with liquidity risk in a diffusive order book market

Authors: Hyoeun Lee, Kiseop Lee

Subjects: Computational Finance (q-fin.CP); Trading and Market Microstructure (q-fin.TR)

[10] arXiv:2004.09591 [pdf, ps, other]: Title: Semi-closed form prices of barrier options in the Hull-White model

Authors: Andrey Itkin, Dmitry Muravey

Comments: 15 pages, 4 figures, 1 table

Subjects: Computational Finance (q-fin.CP); Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

[ total of 10 entries: 1-10 ]
[ showing up to 25 entries per page: fewer | more ]