Manuel Maurette

Universidad Torcuato Di Tella - Finance

United States

Universidad del CEMA

Córdoba 374

Buenos Aires, 1044

Argentina

SCHOLARLY PAPERS

3

DOWNLOADS

154

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Optimal Market Making by Reinforcement Learning

Proceedings of the 2021 MACI
Number of pages: 4 Posted: 28 Apr 2021
Matias Selser, Javier Kreiner and Manuel Maurette
Universidad Torcuato Di Tella, affiliation not provided to SSRN and Universidad Torcuato Di Tella - Finance
Downloads 123 (293,494)

Abstract:

Loading...

reinforcement learning, market making, Q-Learning, quantitative finance

2.

Risk Measurement Using Extreme Values Theory

Proceedings of the 2017 MACI
Number of pages: 4 Posted: 28 Apr 2021
Sebastian Maio, pablo macri and Manuel Maurette
affiliation not provided to SSRN, affiliation not provided to SSRN and Universidad Torcuato Di Tella - Finance
Downloads 20 (657,826)

Abstract:

Loading...

Mathematical Finance, Market Risk Measures, Extreme Value Theory

3.

Counterparty Credit Risk and Wrong Way Risk; a Least Square Montecarlo Approach

Proceedings of VI MACI 2017
Number of pages: 4 Posted: 28 Apr 2021
Peter Joe Silva, Hernan Reisin and Manuel Maurette
CRISIL GR&A, Universidad del CEMA and Universidad Torcuato Di Tella - Finance
Downloads 11 (726,142)

Abstract:

Loading...

Counterparty Credit Risk, Least Squares Monte Carlo, Wrong Way Risk, CVA, Copula