Recent Papers
- Model-Free Hedging of Impermanent Loss in Geometric Mean Market Makers with Proportional Transaction Fees
- Fintech lending and firm bankruptcies
- Deep Learning: Foundations and Concepts
- Spanning Multi‐Asset Payoffs With ReLUs
- Dissecting initial margin forecasts: models, limitations and backtesting
- Incorporating financial reports and deep learning for financial distress prediction: empirical evidence from Chinese listed companies
- Rough PDEs for Local Stochastic Volatility Models
- Operational risk modeling under the loss distribution approach: estimation of operational risk capital by business line versus risk category
- Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies
- Operational risk and non-life insurers’ performance
- Lessons for academic research from model risk management in financial institutions
- Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing
- A semi-parametric dynamic conditional correlation framework for risk forecasting
- A new test of factor model for asset returns: based on pleiotropy model
- Quantitative Fundamental Theorem of Asset Pricing
- Issue Information
- Operational risks: trends and challenges
- NN de-Americanization: an efficient method to facilitate calibration of American-style options
- Pricing time-capped American options using a least squares Monte Carlo method
- Multiple equilibria in mean-field game models of firm competition with strategic complementarities
- Determination of the fraction of losses and their probabilities by type of risk and business line from aggregate loss data
- The effects of climate transition risk on an investment portfolio
- Earnings moves and pre-earnings implied volatility
- The prediction of mortgage prepayment risks in the early stages of loan origination: a machine learning approach
- Herding behavior in energy commodity futures markets amid turmoil and turmoil-free periods