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

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

5 May 2020

Christa Cuchiero

Josef Teichmann

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

13 / 13 papers shown

Title
Robust pricing and hedging via neural SDEs Patryk Gierjatowicz Marc Sabate Vidales David Siska Lukasz Szpruch Zan Zuric 52 34 0 08 Jul 2020
A Data-driven Market Simulator for Small Data Environments Hans Bühler Blanka Horvath Terry Lyons Imanol Perez Arribas Ben Wood 56 65 0 21 Jun 2020
Neural networks for option pricing and hedging: a literature review Johannes Ruf Weiguan Wang 37 125 0 13 Nov 2019
Deep Hedging: Learning to Simulate Equity Option Markets Magnus Wiese Lianjun Bai Ben Wood Hans Buehler GAN 58 67 0 05 Nov 2019
A neural network-based framework for financial model calibration Shuaiqiang Liu Anastasia Borovykh L. Grzelak C. Oosterlee 67 103 0 23 Apr 2019
Deep backward schemes for high-dimensional nonlinear PDEs Côme Huré H. Pham X. Warin AI4CE 50 98 0 05 Feb 2019
Pricing options and computing implied volatilities using neural networks Shuaiqiang Liu C. Oosterlee S. Bohté 40 120 0 25 Jan 2019
A* Tree Search for Portfolio Management Xiaojie Gao Shikui Tu L. Xu AIFin 29 3 0 07 Jan 2019
Deep calibration of rough stochastic volatility models Christian Bayer Benjamin Stemper 28 71 0 08 Oct 2018
Universal features of price formation in financial markets: perspectives from Deep Learning Justin A. Sirignano R. Cont AIFin 52 255 0 19 Mar 2018
Computation of optimal transport and related hedging problems via penalization and neural networks Stephan Eckstein Michael Kupper OT 61 49 0 23 Feb 2018
Stochastic Portfolio Theory: A Machine Learning Perspective Yves-Laurent Kom Samo A. Vervuurt 25 23 0 09 May 2016
Stochastic Compositional Gradient Descent: Algorithms for Minimizing Compositions of Expected-Value Functions Mengdi Wang Ethan X. Fang Han Liu 74 261 0 14 Nov 2014