6 citations · 12 across the 6 of their papers we have counts for
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q-fin.PM2018
Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning
Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts +1
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the pro…
q-fin.PR2018
Risk-neutral valuation under differential funding costs, defaults and collateralization
Damiano Brigo, Cristin Buescu, Marco Francischello +2
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has…