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Aldridge, Irene - 2014

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

Persistent link: https://www.econbiz.de/10013061277

Optimal liquidation under stochastic liquidity

Becherer, Dirk; Bilarev, Todor; Frentrup, Peter - In: Finance and stochastics 22 (2018) 1, pp. 39-68

Persistent link: https://www.econbiz.de/10011945624

Optimizing portfolio liquidation under risk-based margin requirements

Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of finance and investment analysis 2 (2013) 1, pp. 121-153

This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...

Persistent link: https://www.econbiz.de/10009746034

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …

Persistent link: https://www.econbiz.de/10012932264

Weak approximation of G-expectations

Dolinsky, Yan; Nutz, Marcel; Soner, Halil Mete - 2011

We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This can be seen as a Donsker-type result for the G-Brownian...

Persistent link: https://www.econbiz.de/10009009518

Forecasting of future stock prices using neural networks and genetic algorithms

Mitilineos, Stelios A.; Artikis, Panayiotis G. - In: International journal of decision sciences, risk and … 7 (2017) 1/2, pp. 2-25

Persistent link: https://www.econbiz.de/10011797297

Optimizing the Compression Cycle : Algorithms for Multilateral Netting in OTC Derivatives Markets

O'Kane, Dominic - 2014

Concerns about the fragility of the financial system caused by the OTC derivatives market has encouraged the increased use of counterparty risk mitigation techniques including the use of market compression. In this process groups of market participants share position information via a third...

Persistent link: https://www.econbiz.de/10013063807

Extensions on Stochastic Dominance Efficiency Tests

Kallio, Markku - 2018

We consider second, third, fourth and fifth order stochastic dominance (SSD, TSD, FOSD and FISD, respectively) as well as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider stochastic dominance (ESD) based on CARA utility functions....

Persistent link: https://www.econbiz.de/10012928166

Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Homescu, Cristian - 2011

Two of the most important areas in computational finance: Greeks and, respectively, calibration, are based on efficient and accurate computation of a large number of sensitivities. This paper gives an overview of adjoint and automatic differentiation (AD), also known as algorithmic...

Persistent link: https://www.econbiz.de/10013125827

An Artificial Intelligence Approach to the Valuation of American-style Derivatives : A Use of Particle Swarm Optimization

Chen, Ren-Raw - 2020

In this paper, we evaluate American-style, path-dependent derivatives with an artificial intelligence technique. Specifically we use swarm intelligence to find the optimal exercise boundary for an American-style derivative. Swarm intelligence is particularly efficient (computation and accuracy)...

Persistent link: https://www.econbiz.de/10012825647