Playlist

Quantitative Finance

Financial markets, trading, risk management, and computational finance

PaperCast•13 episodes•about 3 hr
Chaos, Ito-Stratonovich dilemma, and topological supersymmetry
Chaos, Ito-Stratonovich dilemma, and topological supersymmetry

Igor V. Ovchinnikov

4 days ago•10:22
Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint
Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint

Suparna Biswas & Rituparna Sen

5 days ago•9:38
Switching between states and the COVID-19 turbulence
Switching between states and the COVID-19 turbulence

Ilias Aarab

6 days ago•8:26•Failed
Optimal Catastrophe Risk Pooling
Optimal Catastrophe Risk Pooling

Minh Chau Nguyen et al.

1 week ago•12:15
Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management
Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management

Travon Lucius et al.

2 weeks ago•12:16
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns

Graham L Giller

2 weeks ago•8:32
Exploratory Mean-Variance with Jumps: An Equilibrium Approach
Exploratory Mean-Variance with Jumps: An Equilibrium Approach

Yuling Max Chen et al.

2 weeks ago•8:51
Standard and stressed value at risk forecasting using dynamic Bayesian networks
Standard and stressed value at risk forecasting using dynamic Bayesian networks

Eden Gross et al.

3 weeks ago•8:26
A Theoretical Framework Bridging Model Validation and Loss Ratio in Insurance
A Theoretical Framework Bridging Model Validation and Loss Ratio in Insurance

C. Evans Hedges

3 weeks ago•7:38
An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts
An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts

Sotirios D. Nikolopoulos

4 weeks ago•7:34
Convergence Rates of Turnpike Theorems for Portfolio Choice in Stochastic Factor Models
Convergence Rates of Turnpike Theorems for Portfolio Choice in Stochastic Factor Models

Hiroki Yamamichi

1 month ago•8:54
Portfolio Optimization via Transfer Learning
Portfolio Optimization via Transfer Learning

Kexin Wang et al.

1 month ago•9:43
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information

Katia Colaneri et al.

1 month ago•9:45