Mikko S. Pakkanen | DeepAI

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∙ 07/24/2023

Estimation and Inference for Multivariate Continuous-time Autoregressive Processes

The aim of this paper is to develop estimation and inference methods for...

0 Lorenzo Lucchese, et al. ∙

∙ 10/25/2022

The uncertainty of infectious disease outbreaks is underestimated

Uncertainty can be classified as either aleatoric (intrinsic randomness)...

0 Matthew J. Penn, et al. ∙

∙ 07/15/2022

Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions

We present a method for finding optimal hedging policies for arbitrary i...

0 Phillip Murray, et al. ∙

∙ 11/15/2021

Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures

We present a numerically efficient approach for learning minimal equival...

0 Hans Buehler, et al. ∙

∙ 07/12/2021

Unifying the effective reproduction number, incidence, and prevalence under a stochastic age-dependent branching process

Renewal equations are a popular approach used in modelling the number of...

0 Tresnia Berah, et al. ∙

∙ 03/22/2021

Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics

We present a numerically efficient approach for learning a risk-neutral ...

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∙ 10/09/2020

Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures

In this paper, we develop a generalized method of moments approach for j...

0 Anine E. Bolko, et al. ∙

∙ 07/13/2020

Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes

This article studies the finite sample behaviour of a number of estimato...

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∙ 09/21/2018

State-dependent Hawkes processes and their application to limit order book modelling

We study statistical aspects of state-dependent Hawkes processes, which ...

0 Maxime Morariu-Patrichi, et al. ∙

∙ 09/05/2017

Hybrid simulation scheme for volatility modulated moving average fields

We develop a simulation scheme for a class of spatial stochastic process...

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