2 citations · 2 across the 4 of their papers we have counts for
4 papers
Quantum Monte Carlo Integration for Simulation-Based Optimisation
Jingjing Cui, Philippe J. S. de Brouwer, Steven Herbert +7
We investigate the feasibility of integrating quantum algorithms as subroutines of simulation-based optimisation problems with relevance to and potential applications in mathematic…
Risk and return prediction for pricing portfolios of non-performing consumer credit
Siyi Wang, Xing Yan, Bangqi Zheng +4
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the n…
Ergodicity and scaling limit of a constrained multivariate Hawkes process
Ban Zheng, François Roueff, Frédéric Abergel
We introduce a multivariate Hawkes process with constraints on its conditional density. It is a multivariate point process with conditional intensity similar to that of a multivari…
Price Jump Prediction in Limit Order Book
Ban Zheng, Eric Moulines, Frédéric Abergel
A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bi…