Sound deposit insurance pricing using a machine learning approach... The process of removing the static risk is as follows: Using a machine learning approach with a regularized cost function, we update the parameters in such a way that butterfly arbitrage is ruled out and also implementing a calibration method, we make some conditions on the parameters of each time slice to rule out calendar spread arbitrage....
Sound deposit insurance pricing using a machine learning approach... The process of removing the static risk is as follows: Using a machine learning approach with a regularized cost function, we update the parameters in such a way that butterfly arbitrage is ruled out and also implementing a calibration method, we make some conditions on the parameters of each time slice to rule out calendar spread arbitrage....
Calendar spread trading and the efficiency of australian bank accepted bill futures marketThis paper is concerned with the potential profit opportunities in trading calendar spreads of 90-day Bank Accepted Bill (BAB) futures contracts on the Sydney Futures Exchange (SFE) during the 1990s....
Calendar spread exchange options pricing with gaussian random fields... This failure to replicate the covariance introduces a bias in the valuation of calendar spread exchange options....
