Playlist

Quantitative Finance

Financial markets, trading, risk management, and computational finance

PaperCast•26 episodes•about 5 hr
Investigating Conditional Restricted Boltzmann Machines in Regime Detection
Investigating Conditional Restricted Boltzmann Machines in Regime Detection

Siddhartha Srinivas Rentala

3 days ago•9:54
Chaos, Ito-Stratonovich dilemma, and topological supersymmetry
Chaos, Ito-Stratonovich dilemma, and topological supersymmetry

Igor V. Ovchinnikov

4 days ago•10:22
Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint
Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint

Suparna Biswas & Rituparna Sen

5 days ago•9:38
Switching between states and the COVID-19 turbulence
Switching between states and the COVID-19 turbulence

Ilias Aarab

6 days ago•8:26•Failed
Pricing of wrapped Bitcoin and Ethereum on-chain options
Pricing of wrapped Bitcoin and Ethereum on-chain options

Anastasiia Zbandut

6 days ago•8:18
Optimal Catastrophe Risk Pooling
Optimal Catastrophe Risk Pooling

Minh Chau Nguyen et al.

1 week ago•12:15
Modelling financial time series with $φ^{4}$ quantum field theory
Modelling financial time series with $φ^{4}$ quantum field theory

Dimitrios Bachtis et al.

1 week ago•11:22
Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management
Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management

Travon Lucius et al.

2 weeks ago•12:16
Universal Dynamics of Financial Bubbles in Isolated Markets: Evidence from the Iranian Stock Market
Universal Dynamics of Financial Bubbles in Isolated Markets: Evidence from the Iranian Stock Market

Ali Hosseinzadeh

2 weeks ago•7:48
Institutionalizing risk curation in decentralized credit
Institutionalizing risk curation in decentralized credit

Anastasiia Zbandut & Carolina Goldstein

2 weeks ago•8:48
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns

Graham L Giller

2 weeks ago•8:32
Pareto-optimal reinsurance under dependence uncertainty
Pareto-optimal reinsurance under dependence uncertainty

Tim J. Boonen et al.

2 weeks ago•8:03
Exploratory Mean-Variance with Jumps: An Equilibrium Approach
Exploratory Mean-Variance with Jumps: An Equilibrium Approach

Yuling Max Chen et al.

2 weeks ago•8:51
Analysis of Contagion in China's Stock Market: A Hawkes Process Perspective
Analysis of Contagion in China's Stock Market: A Hawkes Process Perspective

Junwei Yang

3 weeks ago•11:14
Standard and stressed value at risk forecasting using dynamic Bayesian networks
Standard and stressed value at risk forecasting using dynamic Bayesian networks

Eden Gross et al.

3 weeks ago•8:26
A Theoretical Framework Bridging Model Validation and Loss Ratio in Insurance
A Theoretical Framework Bridging Model Validation and Loss Ratio in Insurance

C. Evans Hedges

3 weeks ago•7:38
Monopoly Pricing of Weather Index Insurance
Monopoly Pricing of Weather Index Insurance

Tim J. Boonen et al.

4 weeks ago•9:12
The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)
The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)

Hamoon Soleimani

4 weeks ago•9:25
An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts
An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts

Sotirios D. Nikolopoulos

4 weeks ago•7:34
Convergence Rates of Turnpike Theorems for Portfolio Choice in Stochastic Factor Models
Convergence Rates of Turnpike Theorems for Portfolio Choice in Stochastic Factor Models

Hiroki Yamamichi

1 month ago•8:54
Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero
Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero

Yhlas Sovbetov

1 month ago•8:38
Portfolio Optimization via Transfer Learning
Portfolio Optimization via Transfer Learning

Kexin Wang et al.

1 month ago•9:43
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information

Katia Colaneri et al.

1 month ago•9:45
Random processes for long-term market simulations
Random processes for long-term market simulations

Gilles Zumbach

1 month ago•7:16
Scaling Conditional Autoencoders for Portfolio Optimization via Uncertainty-Aware Factor Selection
Scaling Conditional Autoencoders for Portfolio Optimization via Uncertainty-Aware Factor Selection

Ryan Engel et al.

1 month ago•9:52
Financial Information Theory
Financial Information Theory

Miquel Noguer i Alonso

1 month ago•8:07