9 citations · 25 across the 9 of their papers we have counts for
10 papers
Generative Ornstein-Uhlenbeck Markets via Geometric Deep Learning
Anastasis Kratsios, Cody Hyndman
We consider the problem of simultaneously approximating the conditional distribution of market prices and their log returns with a single machine learning model. We show that an in…
Optimal annuitization post-retirement with labor income
Xiang Gao, Cody Hyndman, Traian A. Pirvu +1
Evidence shows that the labor participation rate of retirement age cohorts is non-negligible, and it is a widespread phenomenon globally. In the United States, the labor force part…
NEU: A Meta-Algorithm for Universal UAP-Invariant Feature Representation
Anastasis Kratsios, Cody Hyndman
Effective feature representation is key to the predictive performance of any algorithm. This paper introduces a meta-procedure, called Non-Euclidean Upgrading (NEU), which learns f…
Non-Euclidean Conditional Expectation and Filtering
Anastasis Kratsios, Cody B. Hyndman
A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The…
Deep Learning in a Generalized HJM-type Framework Through Arbitrage-Free Regularization
Anastasis Kratsios, Cody B. Hyndman
We introduce a regularization approach to arbitrage-free factor-model selection. The considered model selection problem seeks to learn the closest arbitrage-free HJM-type model to…
Trading against disorderly liquidation of a large position under asymmetric information and market impact
Caroline Hillairet, Cody Hyndman, Ying Jiao +1
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquida…
The Entropic Measure Transform
Renjie Wang, Cody Hyndman, Anastasis Kratsios
We introduce the entropic measure transform (EMT) problem for a general process and prove the existence of a unique optimal measure characterizing the solution. The density process…
A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations
Polynice Oyono Ngou, Cody Hyndman
The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs), introduced in [21], uses a uniform space grid. In this paper we ut…
Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
Cody Hyndman, Xinghua Zhou
We provide explicit solutions of certain forward-backward stochastic differential equations (FBSDEs) with quadratic growth. These particular FBSDEs are associated with quadratic te…
A convolution method for numerical solution of backward stochastic differential equations
Cody Blaine Hyndman, Polynice Oyono Ngou
We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an Euler…