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Articles about Computational Finance

Tokenizing Stock Prices for Enhanced Multi-Step Forecast and Prediction

2 days ago by Zhuohang Zhu and others

Computational Engineering, Finance, and Science, Computational Finance

Bridging Econometrics and AI: VaR Estimation via Reinforcement Learning and GARCH Models

2 days ago by Fredy Pokou and others

Artificial Intelligence, Computational Finance

The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs

2 days ago by Kristoffer Andersson and others

Numerical Analysis, Optimization and Control

Automated Market Makers: A Stochastic Optimization Approach for Profitable Liquidity Concentration

2 days ago by Simon Caspar Zeller and others

Trading and Market Microstructure, Computational Finance

Modern Computational Methods in Reinsurance Optimization: From Simulated Annealing to Quantum Branch & Bound

2 days ago by George Woodman and others

Optimization and Control, Computational Finance

Towards a fast and robust deep hedging approach

3 days ago by Fabienne Schmid and Daniel Oeltz

Computational Finance

Unbiased simulation of Asian options

3 days ago by Bruno Bouchard and Xiaolu Tan

Probability, Computational Finance

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices

3 days ago by Fabien Floc'h

Computational Finance, Mathematical Finance

A Line Graph-Based Framework for Identifying Optimal Routing Paths in Decentralized Exchanges

3 days ago by Yu Zhang and others

Computational Finance, Computer Science and Game Theory

Breaking the Dimensional Barrier: A Pontryagin-Guided Direct Policy Optimization for Continuous-Time Multi-Asset Portfolio

3 days ago by Jeonggyu Huh and others

Portfolio Management, Computational Finance

Boundary conditions at infinity for Black-Scholes equations

4 days ago by Yukihiro Tsuzuki

Mathematical Finance, Computational Finance

Realized Local Volatility Surface

4 days ago by Yuming Ma and others

Risk Management, Optimization and Control

Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options

5 days ago by Christian Bayer and others at

Utrecht University

Computational Finance, Numerical Analysis

Numerical analysis of a particle system for the calibrated Heston-type local stochastic volatility model

6 days ago by Christoph Reisinger and Maria Olympia Tsianni

Computational Finance, Numerical Analysis

Risk-aware black-box portfolio construction using Bayesian optimization with adaptive weighted Lagrangian estimator

18 April 2025 by Zinuo You and others

Machine Learning, Systems and Control

Cross-Modal Temporal Fusion for Financial Market Forecasting

18 April 2025 by Yunhua Pei and others

Machine Learning, Neural and Evolutionary Computing

Learning parameter dependence for Fourier-based option pricing with tensor trains

18 April 2025 by Rihito Sakurai and others at

University of Tokyo

Computational Finance, Quantum Physics

Deep Reinforcement Learning Algorithms for Option Hedging

17 April 2025 by Andrei Neagu and others

Computational Finance, Artificial Intelligence

Effective dimensionality reduction for Greeks computation using Randomized QMC

15 April 2025 by Luca Albieri and others

Computational Finance

Can Large Language Models Trade? Testing Financial Theories with LLM Agents in Market Simulations

15 April 2025 by Alejandro Lopez-Lira at

University of Florida

Computational Finance, General Economics

Are Generative AI Agents Effective Personalized Financial Advisors?

15 April 2025 by Takayoshi Takayanagi and others

Artificial Intelligence, Computation and Language

Robust Reinforcement Learning with Dynamic Distortion Risk Measures

14 April 2025 by Anthony Coache and Sebastian Jaimungal

Machine Learning, Computational Finance

Mathematical Modeling of Option Pricing with an Extended Black-Scholes Framework

13 April 2025 by Nikhil Shivakumar Nayak

Numerical Analysis, Machine Learning

Specialized text classification: an approach to classifying Open Banking transactions

10 April 2025 by Duc Tuyen Ta and others

Information Retrieval, Artificial Intelligence

Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis

10 April 2025 by Luca Galimberti and others

Dynamical Systems, Machine Learning

Numerical analysis of American option pricing in a two-asset jump-diffusion model

10 April 2025 by Hao Zhou and Duy-Minh Dang

Computational Finance

A monotone piecewise constant control integration approach for the two-factor uncertain volatility model

10 April 2025 by Duy-Minh Dang and Hao Zhou at

University of Queensland

Computational Finance

Volatility models in practice: Rough, Path-dependent or Markovian?

9 April 2025 by Eduardo Abi Jaber and Shaun

Mathematical Finance, Computational Finance

Alleviating Non-identifiability: a High-fidelity Calibration Objective for Financial Market Simulation with Multivariate Time Series Data

8 April 2025 by Chenkai Wang and others

Computational Finance

A Mean-Reverting Model of Exchange Rate Risk Premium Using Ornstein-Uhlenbeck Dynamics

8 April 2025 by Seungjae Hwang

Computational Finance, Statistical Finance

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