13 citations · 30 across the 13 of their papers we have counts for
14 papers
Saddle-Point Approach to Large-Time Volatility Smile
Chun Yat Yeung, Ali Hirsa
We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications i…
Post trade allocation: how much are bunched orders costing your performance?
Ali Hirsa, Massoud Heidari
Individual trade orders are often bunched into a block order for processing efficiency, where in post execution, they are allocated into individual accounts. Since Regulators have…
Solving barrier options under stochastic volatility using deep learning
Weilong Fu, Ali Hirsa
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained t…
Simulating financial time series using attention
Weilong Fu, Ali Hirsa, Jörg Osterrieder
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the…
Predicting Status of Pre and Post M&A Deals Using Machine Learning and Deep Learning Techniques
Tugce Karatas, Ali Hirsa
Risk arbitrage or merger arbitrage is a well-known investment strategy that speculates on the success of M&A deals. Prediction of the deal status in advance is of great importance…
Supervised Neural Networks for Illiquid Alternative Asset Cash Flow Forecasting
Tugce Karatas, Federico Klinkert, Ali Hirsa
Institutional investors have been increasing the allocation of the illiquid alternative assets such as private equity funds in their portfolios, yet there exists a very limited lit…
Two-Stage Sector Rotation Methodology Using Machine Learning and Deep Learning Techniques
Tugce Karatas, Ali Hirsa
Market indicators such as CPI and GDP have been widely used over decades to identify the stage of business cycles and also investment attractiveness of sectors given market conditi…
Deep reinforcement learning on a multi-asset environment for trading
Ali Hirsa, Joerg Osterrieder, Branka Hadji-Misheva +1
Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement…
Explainable AI in Credit Risk Management
Branka Hadji Misheva, Joerg Osterrieder, Ali Hirsa +2
Artificial Intelligence (AI) has created the single biggest technology revolution the world has ever seen. For the finance sector, it provides great opportunities to enhance custom…
Regularized Generative Adversarial Network
Gabriele Di Cerbo, Ali Hirsa, Ahmad Shayaan
We propose a framework for generating samples from a probability distribution that differs from the probability distribution of the training set. We use an adversarial process that…
The VIX index under scrutiny of machine learning techniques and neural networks
Ali Hirsa, Joerg Osterrieder, Branka Hadji Misheva +4
The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the market's expected volatility on the SP 500 Index, calculated and published by the Chicago Boa…
An unsupervised deep learning approach in solving partial integro-differential equations
Ali Hirsa, Weilong Fu
We investigate solving partial integro-differential equations (PIDEs) using unsupervised deep learning in this paper. To price options, assuming underlying processes follow Levy pr…
A fast method for pricing American options under the variance gamma model
Weilong Fu, Ali Hirsa
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar…
Supervised Deep Neural Networks (DNNs) for Pricing/Calibration of Vanilla/Exotic Options Under Various Different Processes
Ali Hirsa, Tugce Karatas, Amir Oskoui
We apply supervised deep neural networks (DNNs) for pricing and calibration of both vanilla and exotic options under both diffusion and pure jump processes with and without stochas…