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Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.; Feng, Y.; Fouque, Jean-Pierre; Frittelli, Marco - In: Quantitative finance 23 (2023) 10, pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
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American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
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Dynamic patterns of daily lead-lag networks in stock markets
Li, Yongli; Liu, Chao; Wang, Tianchen; Sun, Baiqing - In: Quantitative finance 21 (2021) 12, pp. 2055-2068
Persistent link: https://www.econbiz.de/10012696814
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Learning minimum variance discrete hedging directly from the market
Nian Ke; Coleman, Thomas F.; Li, Yuying - In: Quantitative finance 18 (2018) 7, pp. 1115-1128
Persistent link: https://www.econbiz.de/10011911526
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Optimal asset allocation for outperforming a stochastic benchmark target
Ni, Chendi; Li, Yuying; Forsyth, Peter; Carroll, Ray - In: Quantitative finance 22 (2022) 9, pp. 1595-1626
Persistent link: https://www.econbiz.de/10013367937
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Neural network approach to portfolio optimization with leverage constraints : a case study on high inflation investment
Ni, Chendi; Li, Yuying; Forsyth, Peter - In: Quantitative finance 24 (2024) 6, pp. 753-777
Persistent link: https://www.econbiz.de/10015050794