p7q-fin.CP

Category

q-fin.CP

13 papers

DGM: A deep learning algorithm for solving partial differential equations

Justin Sirignano, Konstantinos Spiliopoulos

1708.07469

A path-dependent PDE solver based on signature kernels

Alexandre Pannier, Cristopher Salvi

2403.11738

Copula Processes

Andrew Gordon Wilson, Zoubin Ghahramani

1006.1350

A generative adversarial network approach to calibration of local stochastic volatility models

Christa Cuchiero, Wahid Khosrawi, Josef Teichmann

2005.02505

Sig-SDEs model for quantitative finance

Imanol Perez Arribas, Cristopher Salvi, Lukasz Szpruch

2006.00218

Deep Hedging: Learning to Simulate Equity Option Markets

Magnus Wiese, Lianjun Bai, Ben Wood, Hans Buehler

1911.01700

Generalised Wishart Processes

Andrew Gordon Wilson, Zoubin Ghahramani

1101.0240

Machine Learning for Pricing American Options in High-Dimensional Markovian and non-Markovian models

Ludovic Goudenège, Andrea Molent, Antonino Zanette

1905.09474

Black-box model risk in finance

Samuel N. Cohen, Derek Snow, Lukasz Szpruch

2102.04757

Solving path dependent PDEs with LSTM networks and path signatures

Marc Sabate-Vidales, David Šiška, Lukasz Szpruch

2011.10630

A note on the option price and 'Mass at zero in the uncorrelated SABR model and implied volatility asymptotics'

Jaehyuk Choi, Lixin Wu

2011.00557

Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options

Jaehyuk Choi

1805.03172

Designing Universal Causal Deep Learning Models: The Case of Infinite-Dimensional Dynamical Systems from Stochastic Analysis

Luca Galimberti, Anastasis Kratsios, Giulia Livieri

2210.13300