Quant Letter: May 2024, Week-5
Weekly (48th Edition)
ArXiv
Finance
Gaussian Split Tree: The article introduces a new Gaussian Recombining Split Tree (GRST) for valuing securities, improving on traditional binomial trees and aligning with market option prices. (2024-05-25, shares: 4)
DSPO Sorted Portfolio Optimization: The paper showcases Direct Sorted Portfolio Optimization (DSPO), a framework using neural n…
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