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q-fin.CP2023
Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation
Sumanjay Dutta, Shashi Jain
In this paper, we perform a comprehensive study of different covariance and precision matrix estimation methods in the context of minimum variance portfolio allocation. The set of…
q-fin.CP2022★ 1 cited
A semi-static replication approach to efficient hedging and pricing of callable IR derivatives
Jori Hoencamp, Shashi Jain, Drona Kandhai
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replicat…
q-fin.CP2019
Neural network for pricing and universal static hedging of contingent claims
Vikranth Lokeshwar, Vikram Bhardawaj, Shashi Jain
We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neur…