Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...
Crane, D. B. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management." Journal of Financial and Quantitative Analysis 6, no. 3 (June 1971).
Inspired by the work of Wang et al. [2025] on Deep self-consistent learning of local volatility, this repository extends that approach to Stochastic Volatility (SV) models. This requires handling ...
We propose dual decomposition and solution schemes for multistage CVaRconstrained problems. These schemes meet the need for handling multiple CVaR constraints for different time frames and at ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...
An intelligent electric vehicle charging system that uses reinforcement learning and stochastic dynamic programming to minimize charging costs while maintaining optimal battery health under uncertain ...
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