3 papers
q-fin.TR2020
A central bank strategy for defending a currency peg
Eyal Neuman, Alexander Schied, Chengguo Weng +1
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep…
q-fin.CP2019
A Backward Simulation Method for Stochastic Optimal Control Problems
Zhiyi Shen, Chengguo Weng
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular nu…
stat.ME2018
Test of Covariance and Correlation Matrices
Longyang Wu, Chengguo Weng, Xu Wang +2
Based on a generalized cosine measure between two symmetric matrices, we propose a general framework for one-sample and two-sample tests of covariance and correlation matrices. We…