Reinforcement learning and stochastic optimisation

Author:

Jaimungal Sebastian

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference122 articles.

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2. Al-Aradi, A., Jaimungal, S.: Outperformance and tracking: dynamic asset allocation for active and passive portfolio management. Appl. Math. Finance 25, 268–294 (2018)

3. Al-Aradi, A., Jaimungal, S.: Active and passive portfolio management with latent factors. Quant. Finance 21, 1437–1459 (2021)

4. Bálint, D.Á., Schweizer, M.: Making no-arbitrage discounting-invariant: a new FTAP beyond NFLVR and NUPBR. Swiss Finance Institute Research Paper no. 18–23 (2020). Available online at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=3141770

5. Bayer, C., Horvath, B., Muguruza, A., Stemper, B., Tomas, M.: On deep calibration of (rough) stochastic volatility models. Preprint (2019). Available online at https://arxiv.org/abs/1908.08806

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