2 papers
econ.EM2025
Covariance Matrix Estimation for Positively Correlated Assets
Weilong Liu, Yanchu Liu
The comovement phenomenon in financial markets creates decision scenarios with positively correlated asset returns. This paper addresses covariance matrix estimation under such con…
q-fin.GN2025
Neural Jumps for Option Pricing
Duosi Zheng, Hanzhong Guo, Yanchu Liu +1
Recognizing the importance of jump risk in option pricing, we propose a neural jump stochastic differential equation model in this paper, which integrates neural networks as parame…