p7q-fin.MF

Category

q-fin.MF

10 papers

DGM: A deep learning algorithm for solving partial differential equations

Justin Sirignano, Konstantinos Spiliopoulos

1708.07469

Global universal approximation of functional input maps on weighted spaces

Christa Cuchiero, Philipp Schmocker, Josef Teichmann

2306.03303

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

Robust pricing and hedging via neural SDEs

Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška, Lukasz Szpruch, Žan Žurič

2007.04154

Signature Methods in Stochastic Portfolio Theory

Christa Cuchiero, Janka Möller

2310.02322

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

Tim Leung, Xin Li

1411.5062

A Black-Scholes user's guide to the Bachelier model

Jaehyuk Choi, Minsuk Kwak, Chyng Wen Tee, Yumeng Wang

2104.08686

A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices

Wieger Hinderks, Andreas Wagner, Ralf Korn

1803.08831

Joint calibration to SPX and VIX options with signature-based models

Christa Cuchiero, Guido Gazzani, Janka Möller, Sara Svaluto-Ferro

2301.13235