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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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0111 · Nov 202219922001200920172026
1 result for “Mogrifier-LSTM”
Inflexible Multi-Asset Hedging of incomplete marketq-fin.ST

This paper solves hedging in incomplete markets using neural networks.

problem Hedging in incomplete markets with risk factor, illiquidity, and discrete transaction dates.
method Proposes a jump-diffusion model and uses RNN, LSTM, and Mogrifier-LSTM neural networks for hedging strategies.
result Mogrifier-LSTM is the fastest and most effective model for hedging.
HedgingIncomplete MarketsJump-DiffusionNeural NetworksMogrifier-LSTM
2022-11-02abs ↗pdf ↗