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Genus Aconitum (Ranunculaceae) in the Ukrainian Carpathians and adjacent territories. 乌克兰喀尔巴阡山脉及邻近地区的 Aconitum 属（Ranunculaceae）。
IF 1 4区 经济学
Journal of Computational Finance Pub Date : 2023-01-19 eCollection Date: 2023-01-01 DOI: 10.3897/BDJ.11.e98828
Andriy Novikov, Oleh Prylutskyi
{"title":"Genus <i>Aconitum</i> (Ranunculaceae) in the Ukrainian Carpathians and adjacent territories.","authors":"Andriy Novikov, Oleh Prylutskyi","doi":"10.3897/BDJ.11.e98828","DOIUrl":"10.3897/BDJ.11.e98828","url":null,"abstract":"<p><strong>Background: </strong>The dataset represents a comprehensive collection of occurrence records concerning the genus <i>Aconitum</i> (Ranunculaceae) in the Ukrainian Carpathians and adjacent territories. It is based primarily on the results of critical revision of the main herbarium collections of the Carpathian region (i.e. LW, LWS, LWKS, KRA, KRAM, CHER, KW, UU and KWHU). Besides this, the dataset contains the data parsed (and taxonomically revised) from the published materials and other available sources (e.g. Karel Domin's Card Index).</p><p><strong>New information: </strong>In total, 2,280 occurrence records of the genus <i>Aconitum</i> representatives distributed in the Ukrainian Carpathians were published.</p>","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"16 1","pages":"e98828"},"PeriodicalIF":1.0,"publicationDate":"2023-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10848784/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89821407","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estimating risks of European option books using neural stochastic differential equation market models 用神经随机微分方程市场模型估计欧洲期权的风险
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2022.028
Samuel N. Cohen, C. Reisinger, Sheng Wang
{"title":"Estimating risks of European option books using neural stochastic differential equation market models","authors":"Samuel N. Cohen, C. Reisinger, Sheng Wang","doi":"10.21314/jcf.2022.028","DOIUrl":"https://doi.org/10.21314/jcf.2022.028","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67703201","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A general control variate method for time-changed Lévy processes: an application to options pricing 时变lsamvy过程的一般控制变量方法:在期权定价中的应用
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2023.006
Kenichiro Shiraya, Cong Wang, A. Yamazaki
{"title":"A general control variate method for time-changed Lévy processes: an application to options pricing","authors":"Kenichiro Shiraya, Cong Wang, A. Yamazaki","doi":"10.21314/jcf.2023.006","DOIUrl":"https://doi.org/10.21314/jcf.2023.006","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67703471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric 使用Signature-Wasserstein-1度量生成条件时间序列的神经随机微分方程
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2023.005
Pere Díaz Lozano, Toni Lozano Bagén, J. Vives
{"title":"Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric","authors":"Pere Díaz Lozano, Toni Lozano Bagén, J. Vives","doi":"10.21314/jcf.2023.005","DOIUrl":"https://doi.org/10.21314/jcf.2023.005","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67702970","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Automatic adjoint differentiation for special functions involving expectations 包含期望的特殊函数的自动伴随微分
4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2023.007
José Brito, Andrei Goloubentsev, Evgeny Gonacharov
{"title":"Automatic adjoint differentiation for special functions involving expectations","authors":"José Brito, Andrei Goloubentsev, Evgeny Gonacharov","doi":"10.21314/jcf.2023.007","DOIUrl":"https://doi.org/10.21314/jcf.2023.007","url":null,"abstract":"In this paper we explain how to compute gradients of functions of the form G = ½∑mi=1(Eyi - Ci)2, which often appear in the calibration of stochastic models, using automatic adjoint differentiation and parallelization. We expand on the work of Goloubentsev and Lakshtanov and give approaches that are faster and easier to implement. We also provide an implementation of our methods and apply the technique to calibrate European options.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135550769","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Hedging of financial derivative contracts via Monte Carlo tree search 通过蒙特卡洛树搜索对冲金融衍生品合约
4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2023.009
Oleg Szehr
{"title":"Hedging of financial derivative contracts via Monte Carlo tree search","authors":"Oleg Szehr","doi":"10.21314/jcf.2023.009","DOIUrl":"https://doi.org/10.21314/jcf.2023.009","url":null,"abstract":"The construction of replication strategies for the pricing and hedging of derivative contracts in incomplete markets is a key problem in financial engineering. We interpret this problem as a “game with the world”, where one player (the investor) bets on what will happen and the other player (the market) decides what will happen. Inspired by the success of the Monte Carlo tree search (MCTS) in a variety of games and stochastic multiperiod planning problems, we introduce this algorithm as a method for replication in the presence of risk and market friction. Unlike model-free reinforcement learning methods (such as Q-learning), MCTS makes explicit use of an environment model. The role of this model is taken by a market simulator, which is frequently adopted even in the training of model-free methods, but its use allows MCTS to plan for the consequences of decisions prior to the execution of actions. We conduct experiments with the AlphaZero variant of MCTS on toy examples of simple market models and derivatives with simple payoff structures. We show that MCTS is capable of maximizing the utility of the investor’s terminal wealth in a setting where no external pricing information is available and rewards are granted only as a result of contractual cashflows. In this setting, we observe that MCTS has superior performance compared with the deep Q-network algorithm and comparable performance to “deep-hedging” methods.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135181001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Refined analysis of the no-butterfly-arbitrage domain for SSVI slices SSVI切片无蝴蝶套利域的精细化分析
4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2023.008
Claude Martini, Arianna Mingone
{"title":"Refined analysis of the no-butterfly-arbitrage domain for SSVI slices","authors":"Claude Martini, Arianna Mingone","doi":"10.21314/jcf.2023.008","DOIUrl":"https://doi.org/10.21314/jcf.2023.008","url":null,"abstract":"The no-butterfly-arbitrage domain of the Gatheral stochastic-volatility-inspired (SVI) five-parameter formula for the volatility smile has recently been described. It requires in general a numerical minimization of two functions together with a few root-finding procedures. We study here the case of the famous surface SVI (SSVI) model with three parameters, to which we apply the SVI results in order to provide the nobutterfly- arbitrage domain. As side results, we prove that, under simple requirements on parameters, SSVI slices always satisfy Fukasawa’s weak conditions of no arbitrage (ie, the corresponding Black–Scholes functions d1 and d2 are always decreasing), and we find a simple subdomain of no arbitrage for the SSVI model that we compare with the well-known subdomain of Gatheral and Jacquier. We simplify the obtained no-arbitrage domain into a parameterization that requires only one immediate numerical procedure, leading to an easy-to-implement calibration algorithm. Finally, we show that the long-term Heston SVI model is in fact an SSVI model, and we characterize the horizon beyond which it is arbitrage free.","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136003058","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Toward a unified implementation of regression Monte Carlo algorithms 实现了统一的蒙特卡罗回归算法
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2023.004
M. Ludkovski
{"title":"Toward a unified implementation of regression Monte Carlo algorithms","authors":"M. Ludkovski","doi":"10.21314/jcf.2023.004","DOIUrl":"https://doi.org/10.21314/jcf.2023.004","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67702916","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robust pricing and hedging via neural stochastic differential equations 基于神经随机微分方程的稳健定价和对冲
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2022.025
Patrick Gierjatowicz, Marc Sabaté-Vidales, D. Šiška, Łukasz Szpruch, Zan Zuric
{"title":"Robust pricing and hedging via neural stochastic differential equations","authors":"Patrick Gierjatowicz, Marc Sabaté-Vidales, D. Šiška, Łukasz Szpruch, Zan Zuric","doi":"10.21314/jcf.2022.025","DOIUrl":"https://doi.org/10.21314/jcf.2022.025","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"130 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67703046","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
An optimal control strategy for execution of large stock orders using long short-term memory networks 基于长短期记忆网络的大额库存订单执行最优控制策略
IF 0.9 4区 经济学
Journal of Computational Finance Pub Date : 2023-01-01 DOI: 10.21314/jcf.2023.003
A. Papanicolaou, Hau Fu, Prasanth Krishnamurthy, B. Healy, F. Khorrami
{"title":"An optimal control strategy for execution of large stock orders using long short-term memory networks","authors":"A. Papanicolaou, Hau Fu, Prasanth Krishnamurthy, B. Healy, F. Khorrami","doi":"10.21314/jcf.2023.003","DOIUrl":"https://doi.org/10.21314/jcf.2023.003","url":null,"abstract":"","PeriodicalId":51731,"journal":{"name":"Journal of Computational Finance","volume":"1 1","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67703281","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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