3 citations · 5 across the 7 of their papers we have counts for
7 papers
Temporal Volatility Surface Projection: Parametric Surface Projection Method for Derivatives Portfolio Risk Management
Shiva Zamani, Alireza Moslemi Haghighi, Hamid Arian
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds,…
Investor base and idiosyncratic volatility of cryptocurrencies
Amin Izadyar, Shiva Zamani
This paper investigates how changes in investor base is related to idiosyncratic volatility in cryptocurrency markets. For each cryptocurrency, we set change in its subreddit follo…
BERT for Long Documents: A Case Study of Automated ICD Coding
Arash Afkanpour, Shabir Adeel, Hansenclever Bassani +11
Transformer models have achieved great success across many NLP problems. However, previous studies in automated ICD coding concluded that these models fail to outperform some of th…
Encoded Value-at-Risk: A Predictive Machine for Financial Risk Management
Hamidreza Arian, Mehrdad Moghimi, Ehsan Tabatabaei +1
Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced arti…
The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold
Hamidreza Arian, Hossein Poorvasei, Azin Sharifi +1
Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for measuring the downside risk of investment portfolios, especially during financial crises. In t…
Integration by Parts Formula and Smoothness of Densities of Solutions to SDEs with Locally Lipschitz Coefficients
M. Tahmasebi, S. Zamani
In this work we prove the existence of a smooth density for the solution to an SDE with locally Lipschitz and semimonotone drift, and will derive an exponential decay for this dens…
Weak Differentiability of Solutions to SDEs With Semi-Monotone Drifts
Mahdieh Tahmasebi, Shiva Zamani
In this work we prove Malliavin differentiability for the solution to an SDE with locally Lipschitz and semi-monotone drift. To this end we construct a sequence of SDEs with global…