Urban Ulrych

École Polytechnique Fédérale de Lausanne (EPFL)

Switzerland

University of Zurich - Department of Banking and Finance

Plattenstr 32

Zurich, 8032

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • École Polytechnique Fédérale de Lausanne (EPFL)

  • University of Zurich - Department of Banking and Finance

  • Swiss Finance Institute

SCHOLARLY PAPERS

6

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Top 38,992

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2,057

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Scholarly Papers (6)

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1.

Accelerated American Option Pricing with Deep Neural Networks

Quantitative Finance and Economics, 2023, 7(2): 207-228. doi: 10.3934/QFE.2023011
Number of pages: 22 Posted: 04 Jan 2022 Last Revised: 08 May 2023
David Anderson and Urban Ulrych
University of Zurich and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 608 (71,807)

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American Option Pricing, Deep Neural Networks, Explainable Artificial Intelligence, Speed-Accuracy Trade-Off, Market Making, Heston Model.

2.

Pricing Autocallables under Local-Stochastic Volatility

Swiss Finance Institute Research Paper No. 22-71, Frontiers of Mathematical Finance, Vol. 1, No. 4, December 2022, pp. 575-610
Number of pages: 38 Posted: 12 Sep 2022 Last Revised: 09 Jan 2023
Walter Farkas, Francesco Ferrari and Urban Ulrych
University of Zurich - Department of Banking and Finance, University of Zurich and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 349 (138,708)

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Exotic Derivatives Pricing, Local-Stochastic Volatility, Implied Volatility Smile Dynamics, Barrier Reverse Convertibles, Quasi-Monte Carlo Methods.

3.

Portfolio Construction with Hierarchical Momentum

Number of pages: 26 Posted: 07 Jun 2022 Last Revised: 05 May 2023
Antonello Cirulli, Michal Kobak and Urban Ulrych
OLZ AG, University of Zurich - Department of Banking and Finance and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 307 (159,019)

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Portfolio Construction, Hierarchical Clustering, Momentum, Sparsity, Dimensionality Reduction.

4.

Global Currency Hedging with Ambiguity

Swiss Finance Institute Research Paper No. 20-73
Number of pages: 54 Posted: 31 Aug 2020 Last Revised: 21 Nov 2022
Urban Ulrych and Nikola Vasiljevic
École Polytechnique Fédérale de Lausanne (EPFL) and University of Zurich, Department of Banking and Finance
Downloads 283 (173,147)
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Ambiguity Aversion, Currency Hedging, Ridge Regression, International Asset Allocation.

5.

Sparse and Stable International Portfolio Optimization and Currency Risk Management

Swiss Finance Institute Research Paper No. 22-07
Number of pages: 36 Posted: 12 Jan 2022
Raphael Burkhardt and Urban Ulrych
University of Zurich - Department of Banking and Finance and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 260 (188,611)

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International Asset Allocation, Currency Risk Management, Currency Overlay, Shrinkage Estimation, Regularization, Mean-Variance Optimization

6.

Dynamic Currency Hedging with Non-Gaussianity and Ambiguity

Swiss Finance Institute Research Paper No. 21-60
Number of pages: 43 Posted: 19 Aug 2021 Last Revised: 06 Feb 2023
Pawel Polak and Urban Ulrych
Stony Brook University-Department of Applied Mathematics and Statistics and École Polytechnique Fédérale de Lausanne (EPFL)
Downloads 250 (196,123)

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Currency Hedging, Non-Gaussianity, Ambiguity, Filtered Historical Simulation, Expected Shortfall, Currency Risk Management.