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q-fin.RM2022
Risk Sharing with Deep Neural Networks
Matteo Burzoni, Alessandro Doldi, Enea Monzio Compagnoni
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infima…
cs.LG2022★ 1 cited
On the effectiveness of Randomized Signatures as Reservoir for Learning Rough Dynamics
Enea Monzio Compagnoni, Anna Scampicchio, Luca Biggio +3
Many finance, physics, and engineering phenomena are modeled by continuous-time dynamical systems driven by highly irregular (stochastic) inputs. A powerful tool to perform time se…