Browsing Computer Science by Author "Nian, Ke"
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Data-Driven Models: An Alternative Discrete Hedging Strategy
Nian, Ke (University of Waterloo, 2023-08-16)Options hedging is a critical problem in financial risk management. The prevailing approach in financial derivative pricing and hedging has been to first assume a parametric model describing the underlying price dynamics. ... -
Unsupervised Spectral Ranking For Anomaly Detection
Nian, Ke (University of Waterloo, 2014-09-10)Anomaly detection is the problem of finding deviations from expected normal patterns. A wide variety of applications, such as fraud detection for credit cards and insurance, medical image monitoring, network intrusion ...