3 citations · 4 across the 3 of their papers we have counts for
3 papers
Learning the Efficient Frontier
Philippe Chatigny, Ivan Sergienko, Ryan Ferguson +2
The efficient frontier (EF) is a fundamental resource allocation problem where one has to find an optimal portfolio maximizing a reward at a given level of risk. This optimal solut…
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs
Vedant Choudhary, Sebastian Jaimungal, Maxime Bergeron
We introduce a new approach for generating sequences of implied volatility (IV) surfaces across multiple assets that is faithful to historical prices. We do so using a combination…
Robust and Active Learning for Deep Neural Network Regression
Xi Li, George Kesidis, David J. Miller +3
We describe a gradient-based method to discover local error maximizers of a deep neural network (DNN) used for regression, assuming the availability of an "oracle" capable of provi…