Results 11 to 20 of about 160 (43)
A novel approach to quantify volatility prediction
, 2022 Volatility prediction in the financial market helps to understand the profit and involved risks in investment. However, due to irregularities, high fluctuations, and noise in the time series, predicting volatility poses a challenging task.
Gopaliya, Shiv Manjaree +2 more
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Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling
, 2023 Deep hedging is a deep-learning-based framework for derivative hedging in incomplete markets. The advantage of deep hedging lies in its ability to handle various realistic market conditions, such as market frictions, which are challenging to address ...
Hirano, Masanori +2 more
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Unbiased estimators for the Heston model with stochastic interest rates
, 2023 We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates.
Pan, Jiangtao, Zheng, Chao
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The importance of being scrambled: supercharged Quasi Monte Carlo
, 2023 In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, unlike MC QMC lacks a practical error estimate.
Hok, J., Kucherenko, S.
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High-order short-time expansions for ATM option prices of exponential L\'evy models
, 2014 In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component.
Figueroa-López, José E. +2 more
core +1 more source
Physics-Informed Convolutional Transformer for Predicting Volatility Surface
, 2022 Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market.
Bae, Hyeong-Ohk +4 more
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Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning
, 2022 Understanding non-linear relationships among financial instruments has various applications in investment processes ranging from risk management, portfolio construction and trading strategies.
Mehta, Dhagash +3 more
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Derivatives Sensitivities Computation under Heston Model on GPU
, 2023 This report investigates the computation of option Greeks for European and Asian options under the Heston stochastic volatility model on GPU. We first implemented the exact simulation method proposed by Broadie and Kaya and used it as a baseline for ...
Arsaguet, Pierre-Antoine, Bilokon, Paul
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Fast and Stable Credit Gamma of CVA
, 2023 Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, which is the vector of default intensities of the counterparty, affects in a ...
Daluiso, Roberto
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Error Analysis of Option Pricing via Deep PDE Solvers: Empirical Study
, 2023 Option pricing, a fundamental problem in finance, often requires solving non-linear partial differential equations (PDEs). When dealing with multi-asset options, such as rainbow options, these PDEs become high-dimensional, leading to challenges posed by ...
Assabumrungrat, Rawin +2 more
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