36 citations · 36 across the 2 of their papers we have counts for
3 papers
Generative AI-enhanced Sector-based Investment Portfolio Construction
Alina Voronina, Oleksandr Romanko, Ruiwen Cao +2
This paper investigates how Large Language Models (LLMs) from leading providers (OpenAI, Google, Anthropic, DeepSeek, and xAI) can be applied to quantitative sector-based portfolio…
Time-changed CIR default intensities with two-sided mean-reverting jumps
Rafael Mendoza-Arriaga, Vadim Linetsky
The present paper introduces a jump-diffusion extension of the classical diffusion default intensity model by means of subordination in the sense of Bochner. We start from the bi-v…
Variance Swaps on Defaultable Assets and Market Implied Time-Changes
Matthew Lorig, Oriol Lozano Carbasse, Rafael Mendoza-Arriaga
We compute the value of a variance swap when the underlying is modeled as a Markov process time changed by a Lévy subordinator. In this framework, the underlying may exhibit jumps…