Concept
Arbitrage
Related publications (34)
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In this thesis we present three closed form approximation methods for portfolio valuation and risk management.The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and EP ...
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The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...
2022The CDS-bond basis
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
WILEY2019