Quant Letter: July 2024, Week-4

Weekly (55th Edition)

ArXiv

Finance

Deep Learning for Initial Margin: The study introduces a method for training neural networks for Dynamic Initial Margin computation in counterparty credit risk, which reduces dataset generation costs and eliminates the need for repeated training. (2024-07-23, shares: 4)

Negative Drift of LO Fill: The research identifies a negative drift in ma…