Arbitrage-free neural-SDE market models

24 May 2021

Papers citing "Arbitrage-free neural-SDE market models"

4 / 4 papers shown

Title
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs Vedant Choudhary S. Jaimungal Maxime Bergeron 45 13 0 01 Mar 2023
Hedging option books using neural-SDE market models Samuel N. Cohen C. Reisinger Sheng Wang 13 4 0 31 May 2022
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 generative adversarial network approach to calibration of local stochastic volatility models Christa Cuchiero Wahid Khosrawi Josef Teichmann GAN 91 69 0 05 May 2020