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q-fin.CP2023
Failure of Fourier pricing techniques to approximate the Greeks
Tobias Behrens, Gero Junike, Wim Schoutens
The Greeks Delta and Gamma of plain vanilla options play a fundamental role in finance, e.g., in hedging or risk management. These Greeks are approximated in many models such as th…
q-fin.CP2022
Nowcasting Stock Implied Volatility with Twitter
Thomas Dierckx, Jesse Davis, Wim Schoutens
In this study, we predict next-day movements of stock end-of-day implied volatility using random forests. Through an ablation study, we examine the usefulness of different sources…
q-fin.CP2020
Using Machine Learning and Alternative Data to Predict Movements in Market Risk
Thomas Dierckx, Jesse Davis, Wim Schoutens
Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historic…