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Article
Importance Sampling for Calculating the Value-at-Risk and Expected Shortfall of the Quadratic Portfolio with t-Distributed Risk Factors
In the banking industry, the calculation of regulatory capital by the Basel accords is directly related to the values of the Value-at-Risk (VaR) and expected shortfall (ES). The Monte Carlo simulation approach...
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Article
Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?
In asset pricing, most studies focus on finding new factors, such as macroeconomic factors or firm characteristics, to explain risk premiums. Investigating whether these factors help forecast stock returns rem...
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Article
On Accelerating Monte Carlo Integration Using Orthogonal Projections
Monte Carlo simulation is an indispensable tool in calculating high-dimensional integrals. Although Monte Carlo integration is notoriously known for its slow convergence, it could be improved by various varian...
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Article
Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events
Importance sampling is a powerful variance reduction technique for rare event simulation, and can be applied to evaluate a portfolio’s Value-at-Risk (VaR). By adding a jump term in the geometric Brownian motio...
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Article
Unbiased and efficient Greeks of financial options
The price of a derivative security equals the discounted expected payoff of the security under a suitable measure, and Greeks are price sensitivities with respect to parameters of interest. When closed-form fo...
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Article
The Impacts of Social Capital on Infant Mortality in the U.S.: A Spatial Investigation
One of the leading health mysteries in the U.S. is why the infant mortality rate is one of the highest among industrialized countries. Although the relationships of both maternal health and socioeconomic chara...
