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  2. Quantitative Finance Conference

    https://www.statslab.cam.ac.uk/~mike/QF2023/
    4 Jul 2023: 17:30-18:00 Meeting of Associate Editors. Friday April 14. 9:00-10:00 (new time) Damien Challet - École Centrale Paris. ... Saturday April 15. 9:00-10:00 (new time) Claudio Tebaldi - Università Bocconi.
  3. 77 Paper 1, Section II29J Principles of Statistics State ...

    https://www.statslab.cam.ac.uk/~lab85/resources/PoS2020.pdf
    28 Apr 2023: For m N and given ϑm, generate a new draw sm q(|ϑm).• Define.
  4. Home Articles Slides Images CV Jason P. Miller University ...

    https://www.statslab.cam.ac.uk/~jpm205/cv.html
    24 Feb 2023: New trends in Mathematical Physics, at the interface of Analysis and Probability (Convergence of the self-avoiding walk on random quadrangulations to SLE(8/3) on sqrt(8/3)-Liouville quantum
  5. ITC 12 Torino, June 1988 Dynamic Alternative Routing - ...

    https://www.statslab.cam.ac.uk/~frank/PAPERS/darmb.pdf
    4 Oct 2023: is successful, but when a call fails a new route is chosen from some feasible set.
  6. The inelastic market hypothesis explains many market anomalies

    https://www.statslab.cam.ac.uk/~mike/QF2023/Bouchaud.pdf
    13 Apr 2023: EMH says: because of unanticipated exogenous news• Most financial economists speak about the “fundamental” price• Is this the way we should think about markets? ... Slide Number 2. A slew of (old & new) market “anomalies” at odds with EMH.
  7. 45 Paper 1, Section I 7H StatisticsLet X1, . ...

    https://www.statslab.cam.ac.uk/~lab85/resources/Stats2016.pdf
    28 Apr 2023: Paper 2, Section I. 8H StatisticsThe efficacy of a new medicine was tested as follows.
  8. Advanced Probability Perla Sousi∗ November 6, 2023 Contents 1 ...

    https://www.statslab.cam.ac.uk/~ps422/mynotes.pdf
    6 Nov 2023: The natural thing to do is to define a new random variable X′ = E[X|G] as follows. ... So for allA Fn we have. E[Xn1(A)] = E[X1(A)]. Hence if we now define a new probability measure Q̃(A) = E[X1(A)], then Q(A) =
  9. Modern Statistical MethodsRajen D. Shah r.shah@statslab.cam.ac.uk…

    https://www.statslab.cam.ac.uk/~rds37/teaching/modern_stat_methods/notes2.pdf
    15 Jan 2023: It thusseems we have improved things by a factor of p using our new approach. ... The result also tells us how to form predictions: given a new observation x, our predic-tion for f(x) is.
  10. STATISTICS Part IBExample Sheet 1 (of 3) Lent 2022 ...

    https://www.statslab.cam.ac.uk/~lab85/resources/StatsL23a.pdf
    27 Apr 2023: Find an injective function h on (0,) such that, writing ψ = h(θ), the maximumlikelihood estimator ψ̂ of the new parameter ψ is unbiased.
  11. Christian Bayer Title: Optimal stopping with signatures We propose ...

    https://www.statslab.cam.ac.uk/~mike/QF2023/Abstracts.pdf
    12 Apr 2023: Blanka Horvath. Title: Robust hedging GANS. The deep hedging framework presented in BuehlerGononTeichmannWood19 has opened new horizons for solving hedging problems under a large variety of models and market conditions. ... In particular, a new
  12. 45 Paper 1, Section I 6H StatisticsLet X1, . ...

    https://www.statslab.cam.ac.uk/~lab85/resources/Stats2021.pdf
    27 Apr 2023: Paper 2, Section I. 6H StatisticsThe efficacy of a new drug was tested as follows.
  13. 42 Paper 1, Section I 7H StatisticsConsider an estimator ...

    https://www.statslab.cam.ac.uk/~lab85/resources/Stats2014.pdf
    28 Apr 2023: Paper 2, Section I. 8H StatisticsThere are 100 patients taking part in a trial of a new surgical procedure for a. ... New procedure 31 19. The doctor is interested in whether there is a difference in full recovery rates for patientsreceiving the two
  14. Benchmarking stochastic optimization approaches for pension fund…

    https://www.statslab.cam.ac.uk/~mike/QF2023/Consigli2.pdf
    14 Apr 2023: I would like to conclude by pointing out few recent contributions related to modelling andmethodological challenges likely to attract new research in SO and DRO.
  15. Pathwise Methods and Robust GANs for Pricing and Hedging -…

    https://www.statslab.cam.ac.uk/~mike/QF2023/Horvath.pdf
    17 Apr 2023: The challenge that market generators face is to produce new data samples that havethe same distribution as test data they will later be exposed to.
  16. Volatility Is (Mostly) Path-Dependent Julien Guyon Ecole des Ponts ...

    https://www.statslab.cam.ac.uk/~mike/QF2023/Guyon.pdf
    11 Apr 2023: As a result of this analysis, we propose a new, simple PDV modelthat performs better than existing models. ... VIXVIX. 9DVST. OXX IVI. VDAX. -NEW. Nikkei. 225 V. I0.4. 0.5.
  17. Beyond convexity

    https://www.statslab.cam.ac.uk/~mike/QF2023/James.pdf
    12 Apr 2023: On the whole it's good news! Overall the hedge has performed well, with only a few percent hedge error for even thelonger dated bond.
  18. Origins of scaling and power law fluctuations in acompetitive ...

    https://www.statslab.cam.ac.uk/~mike/QF2023/Tebaldi.pdf
    17 Apr 2023: 2 / 36. The challenge of Critical Phenomena in Economics. • Quantitative Finance community is setting new benchmarks and newchallenges to mainstream economic sciences! • ... This sheds new light on the supposed long memory in thevolatility of
  19. UNIVERSITY OF CAMBRIDGE Faculty of Mathematics SCHEDULES OF LECTURE…

    https://www.statslab.cam.ac.uk/~lab85/resources/schedules2324.pdf
    31 Oct 2023: UNIVERSITY OF CAMBRIDGE. Faculty of Mathematics. SCHEDULES OF LECTURE COURSES. AND FORM OF EXAMINATIONS. FOR THE MATHEMATICAL TRIPOS 2023-24. Revised 21 August 2023. TERM COURSES. 24 24 24 24 101 Vectors and Matrices Differential Equations Groups
  20. Microsoft PowerPoint - Deep Financial Planning - Woo Chang Kim

    https://www.statslab.cam.ac.uk/~mike/QF2023/Kim.pdf
    13 Apr 2023: This is the novel algorithm that generates cuts using neural network. • Drawbacks:– Previously generated cuts are not considered to generate new ones.– Only linear programs can be solved by 𝜈‐SDDP.– ... In SDDP,
  21. Michael's major contributions to stochastic optimization and…

    https://www.statslab.cam.ac.uk/~mike/QF2023/Consigli1.pdf
    18 Apr 2023: Few years after [MAHD with Medova and Tang(2018)]propose an importance state space form (ISSF) and develop a new econometric approach to isolatejumps in a latent factor model.

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