Authors: Burkhard Heer, Alfred Maußner ABSTRACT We study the ability of three different projection methods to solve high-dimensional state space problems: Galerkin, collocation, and least squares projection. The curse of dimensionality can be reduced substantially for both Least Squares and … Continue reading
Authors: Seisuke Sugitomo, Shotaro Minami ABSTRACT Fundamental factor models are one of the important methods for the quantitative active investors (Quants), so many investors and researchers use fundamental factor models in their work. But often we come up against the … Continue reading
Author: Peter J. Zeitsch ABSTRACT The theory of trading with value adjustments, or XVA, is well established. However, the market still differs significantly in pricing practice with houses applying varying numbers of adjustments to the same trade; or none at … Continue reading
Author(s): Peter C. W. Fung, K. W. Wong ABSTRACT The consequence of the 5D projection theory [1] is extended beyond the Gell-Mann Standard Model for hadrons to cover astronomical objects and galaxies. The proof of Poincare conjecture by Pe-relman’s differential … Continue reading
Author(s)： Kian-Guan Lim, Hao Cheng, Nelson KL Yap ABSTRACT The key contribution in this paper is to provide a new approach in estimating the physical distribution of the underlying asset return by using a quadratic Radon-Nikodym derivative function. The latter … Continue reading