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Robust Pricing and Hedging via Neural SDEs
16 references·0 citing·42 second hop
Robust Pricing and Hedging via Neural SDEs (2020)Robust Pricing and Hedging via Neural SDEsWeak quantitative propagation of chaos via differential calculus on the space of measures (2022)Weak quantitative propagation…A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models (2020)A Generative Adversarial Netw…Neural Networks for Option Pricing and Hedging: A Literature Review (2019)Neural Networks for Option Pr…Deep Learning Volatility (2019)Deep Learning VolatilityA neural network-based framework for financial model calibration (2019)A neural network-based framew…MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)MODEL-INDEPENDENT BOUNDS FOR …Model Calibration with Neural Networks (2016)Model Calibration with Neural…Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Strong convergence of an expl…Robust Hedging of Double Touch Barrier Options (2011)Robust Hedging of Double Touc…Efficient Risk Estimation via Nested Sequential Simulation (2011)Efficient Risk Estimation via…Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients (2010)Strong and weak divergence in…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Little Heston Trap (2006)The Little Heston TrapApplications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Robust hedging of the lookback option (1998)Robust hedging of the lookbac…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Option valuation using the fast Fourier transform (1999)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options (2012)Stochastic differential equations and their applications (1997)Multilevel Monte Carlo Path Simulation (2008)A note on tamed Euler approximations (2013)Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (2014)Euler approximations with varying coefficients: The case of superlinearly growing diffusion coefficients (2016)Numerical solution of stochastic differential equations (2016)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Options and Efficiency (1976)Options, Futures, and Other Derivative Securities. (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The Skorokhod Embedding Problem and Model-Independent Bounds for Option Prices (2010)A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options (2014)Arbitrage and duality in nondominated discrete-time models (2015)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)The Risk Map: A new tool for validating risk models (2013)Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Stochastic differential equations and applications (2008)Option pricing: A simplified approach (1979)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework (2020)Time-sequencing European options and pricing with deep learning – Analyzing based on interpretable ALE method (2021)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)A MODEL‐FREE VERSION OF THE FUNDAMENTAL THEOREM OF ASSET PRICING AND THE SUPER‐REPLICATION THEOREM (2013)Martingale optimal transport and robust hedging in continuous time (2013)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 2010Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients431 cited
  • 2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients428 cited
  • 2016MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH358 cited
  • 1998Robust hedging of the lookback option279 cited
  • 2006The Little Heston Trap167 cited
  • 2019Neural Networks for Option Pricing and Hedging: A Literature Review147 cited
  • 2011Efficient Risk Estimation via Nested Sequential Simulation109 cited
  • 2019A neural network-based framework for financial model calibration106 cited
  • 2011Robust Hedging of Double Touch Barrier Options78 cited
  • 2016Model Calibration with Neural Networks70 cited
  • 2020A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models64 cited
  • 2019

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Deep Learning Volatility
52 cited
  • 2022Weak quantitative propagation of chaos via differential calculus on the space of measures50 cited
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