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How to change the paradigm in finance to incorporate a changing environment
Climate change poses existential threats to global prosperity, but political and economic systems are unprepared for responding to that risk. Governance, incentives and thinking are still misaligned....
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To meet its ambitious ‘net zero’ target, the UK will need to ramp...
UK greenhouse gas emissions are declining and have been declining for some time. The UK has a framework of long-run targets developed by the Committee on Climate Change, an independent body of experts...
View ArticleMoneyScience: Online Training - Financial Derivatives: A Quantitative Finance...
Resource: Online Training: Financial Derivatives: A Quantitative Finance View https://t.co/Kv4nj1xpY8 â moneyscience (@moneyscience) December 2, 2019
View ArticleVirgil Griffith arrested over North Korea visit — engineer arrogance,...
âAfter a well-received technical talk to a keen audience on the other side of the world, Ethereum Foundation developer Virgil Griffith is on the short list forâ¦
View ArticleMoneyScience: Quantitative Finance in Javascript
Resource: Quantitative Finance in Javascript https://t.co/tJNhSjiqcH â moneyscience (@moneyscience) December 2, 2019
View ArticleQuantLib Download Page
QuantLib 1.17 has been released and is available for download at https://t.co/vSeX4O37zd #QuantLib #quant #quantfinance #finance â moneyscience (@moneyscience)â¦
View ArticleMoneyScience: Online Training - Quantitative Investment Analysis in Excel
Resource: Online Training - Quantitative Investment Analysis in Excel https://t.co/e11ttfTIin â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Book: Financial Instrument Pricing Using C++
Resource: Book: Financial Instrument Pricing Using C++ https://t.co/YIEUQkcybX â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Book: Financial Instrument Pricing Using C++ - Daniel Duffy
Resource: Book: Financial Instrument Pricing Using C++ - Daniel Duffy https://t.co/i7sFfwwFpK â moneyscience (@moneyscience) December 3, 2019
View ArticleMoneyScience: Selena Gomez & Richard Thaler explain Synthetic CDOs
Resource: Selena Gomez & Richard Thaler explain Synthetic CDOs https://t.co/yYsueiUHnK â moneyscience (@moneyscience) December 3, 2019
View ArticleVariance Reduction Applied to Machine Learning for Pricing Bermudan/American...
In this paper we propose an efficient method to compute the price of multi-asset American options, based on Machine Learning, Monte Carlo simulations and variance reduction technique. Specifically, the...
View ArticleA unified Framework for Robust Modelling of Financial Markets in discrete...
We unify and establish equivalence between the pathwise and the quasi-sure approaches to robust modelling of financial markets in discrete time. In particular, we prove a Fundamental Theorem of Asset...
View ArticleQuantization goes Polynomial. (arXiv:1710.11435v3 [q-fin.PR] UPDATED)
Quantization algorithms have been successfully adopted to option pricing in finance thanks to the high convergence rate of the numerical approximation. In particular, very recently, recursive marginal...
View ArticleApplications of the Deep Galerkin Method to Solving Partial...
We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations (PDEs) that arise in the context of optimal stochastic...
View ArticlePricing FX Options under Intermediate Currency. (arXiv:1912.01387v1 [q-fin.MF])
We introduce a new pricing mechanism for FX options, which is based on the idea of an intermediate pseudo-currency market. This approach allows us to price options on all FX markets simultaneously...
View ArticleTime-inconsistent consumption-investment problems in incomplete markets under...
In this paper we study a time-inconsistent consumption-investment problem with random endowments in a possibly incomplete market under general discount functions. We provide a necessary condition and a...
View ArticleSpeed-up credit exposure calculations for pricing and risk management....
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure...
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