Ali Hirsa

Columbia University

Professor

500 West 120th Street

New York, NY 10027

http://www.ieor.columbia.edu/faculty/ali-hirsa

SCHOLARLY PAPERS

9

DOWNLOADS

465

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (9)

1.

Explainable AI in Credit Risk Management

Number of pages: 16 Posted: 29 Mar 2021
Zurich University of Applied Sciences, Columbia University, Zurich University of Applied Sciences, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 172 (224,397)

Abstract:

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Explainable AI, Credit Lending, Machine Learning, LIME, SHAP

2.

Predicting Status of Pre and Post M&A Deals Using Machine Learning and Deep Learning Techniques

Number of pages: 21 Posted: 26 Oct 2021
Tugce Karatas and Ali Hirsa
Columbia University and Columbia University
Downloads 62 (445,783)

Abstract:

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M&A, takeover success, neural networks, PCA, MCA, kNN, LSTM autoencoder, SMOTE

3.

Deep Reinforcement Learning on a Multi-Asset Environment for Trading

Number of pages: 18 Posted: 28 Jun 2021
Columbia University, Zurich University of Applied Sciences, Zurich University of Applied Sciences and ZHAW School of Management and Law
Downloads 58 (460,447)

Abstract:

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Reinforcement Learning, Deep Learning, Finance, Trading Strategies

4.

Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility

Number of pages: 20 Posted: 20 Apr 2017
Caspian Capital Management, LLC, Columbia University and University of Maryland
Downloads 54 (475,586)

Abstract:

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Affine Term Structure Models; Charateristic Function; FFT; Swaptions; Straddles

5.

Derivative Approximation by Finite Differences in Higher Dimensional Cases

Number of pages: 9 Posted: 03 Oct 2019 Last Revised: 09 Oct 2019
Ali Hirsa and Siyu Jiang
Columbia University and affiliation not provided to SSRN
Downloads 43 (522,917)

Abstract:

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multi-dimensional Taylor expansion, finite differences

6.

Double Gamma Stochastic Volatility Model in Discrete Time

Number of pages: 21 Posted: 22 Apr 2017
Columbia University, Caspian Capital Management, LLC and University of Maryland
Downloads 37 (552,420)

Abstract:

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Affine Term Structure Models; Characteristic Function; FFT; Swaptions; Gamma Process

7.

Alternating Line Multigrid for the Two Dimensional Convection-Diffusion Equation

Number of pages: 18 Posted: 12 Mar 2018
Ali Hirsa and Howard C. Elman
Columbia University and University of Maryland - Department of Computer Science
Downloads 20 (657,613)

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8.

Regularized Generative Adversarial Network

Number of pages: 18 Posted: 03 Mar 2021
Princeton University, Columbia University and Columbia University
Downloads 19 (664,848)

Abstract:

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9.

Fast Pricing of American Options Under Variance Gamma

Journal of Computational Finance, Vol. 25, No. 1
Number of pages: 22 Posted: 24 Aug 2021
Weilong Fu and Ali Hirsa
Columbia University - Department of Industrial Engineering and Operations Research and Columbia University
Downloads 0 (829,320)
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American options; variance gamma; quadratic approximation; machine learning; kernel regression.

Other Papers (1)

Total Downloads: 142
1.

THE VIX INDEX UNDER SCRUTINY OF MACHINE LEARNING TECHNIQUES AND NEURAL NETWORKS

Number of pages: 19 Posted: 03 Mar 2021
Columbia University, Zurich University of Applied Sciences, Zurich University of Applied Sciences, Columbia University, Columbia University, Columbia University and Columbia University
Downloads 142 (380,082)

Abstract:

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VIX, Machine Learning, Deep Learning, VIX futures