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Learning, investments and derivatives


  • Andrei N. Soklakov


The recent crisis and the following flight to simplicity put most derivative businesses around the world under considerable pressure. We argue that the traditional modeling techniques must be extended to include product design. We propose a quantitative framework for creating products which meet the challenge of being optimal from the investors point of view while remaining relatively simple and transparent.

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  • Andrei N. Soklakov, 2011. "Learning, investments and derivatives," Papers 1106.2882,
  • Handle: RePEc:arx:papers:1106.2882

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    References listed on IDEAS

    1. Lux, T. & M. Marchesi, "undated". "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
    2. M. Cristelli & L. Pietronero & A. Zaccaria, 2011. "Critical Overview of Agent-Based Models for Economics," Papers 1101.1847,
    3. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
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