| An optimal control strategy for execution of large stock orders using long short-term memory networks
|
2023 |
Papanicolaou, Andrew |
| Modeling the bid and ask prices of options
|
2023 |
Madan, Dilip B. |
| Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
|
2023 |
Mickel, Annalena |
| Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
|
2023 |
Hout, Karel J. in 't |
| Robust pricing and hedging via neural stochastic differential equations
|
2022 |
Gierjatowicz, Patrick |
| Estimating risks of European option books using neural stochastic differential equation market models
|
2022 |
Cohen, Samuel N. |
| Analytical conversion between implied volatilities based on different dividend models
|
2022 |
Lucic, Vladimir |
| Deep learning for efficient frontier calculation in finance
|
2022 |
Warin, Xavier |
| Pricing the correlation skew with normal mean-variance mixture copulas
|
2022 |
Luján Fernández, Ignacio |
| A general firm value model under partial information
|
2022 |
Mbaye, Cheikh |
| Optimal trade execution with uncertain volume target
|
2022 |
Vaes, Julien |
| Pricing barrier options with deep backward stochastic differential equation methods
|
2022 |
Ganesan, Narayan |
| Automatic differentiation for diffusion operator integral variance reduction
|
2022 |
Auster, Johan |
| Robust product Markovian quantization
|
2022 |
Rudd, Ralph |
| Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
|
2022 |
Gaß, Maximillian |
| Simulating the Cox-Ingersoll-Ross and Heston processes : matching the first four moments
|
2022 |
Okhrin, Ostap |
| Least squares Monte Carlo methods in stochastic Volterra rough volatility models
|
2022 |
Guerreiro, Henrique |
| Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
|
2022 |
Bourgey, Florian |
| Adjoint differentiation for generic matrix functions
|
2022 |
Goloubentsev, Andrei |
| Subsampling and other considerations for efficient risk estimation in large portfolios
|
2022 |
Giles, Michael B. |
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