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Multi-Asset Spot and Option Market Simulation
16 references·0 citing·44 second hopsampled
Multi-Asset Spot and Option Market Simulation (2021)Multi-Asset Spot and Option Market Simula…Quant GANs: deep generation of financial time series (2020)Quant GANs: deep generation o…Generative adversarial networks for financial trading strategies fine-tuning and combination (2020)Generative adversarial networ…CORRGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks (2020)CORRGAN: Sampling Realistic F…A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models (2020)A Generative Adversarial Netw…A Data-Driven Market Simulator for Small Data Environments (2020)A Data-Driven Market Simulato…Neural Networks for Option Pricing and Hedging: A Literature Review (2019)Neural Networks for Option Pr…Deep Hedging: Learning to Simulate Equity Option Markets (2019)Deep Hedging: Learning to Sim…Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning (2019)Deep Hedging: Hedging Derivat…Deep hedging (2019)Deep hedgingVolatility Is Rough (2018)Volatility Is RoughDeep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Deep Direct Reinforcement Lea…Arbitrage-free market models for option prices: the multi-strike case (2008)Arbitrage-free market models …Reinforcement learning for optimized trade execution (2006)Reinforcement learning for op…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Copula Modeling: An Introduction for Practitioners (2007)Conditional Time Series Forecasting with Convolutional Neural Networks (2017)Optimal control of execution costs (1998)Optimal execution of portfolio transactions (2001)Strategic sequential bidding in auctions using dynamic programming (2002)DeepLOB: Deep Convolutional Neural Networks for Limit Order Books (2019)Machine behaviour (2019)Stock Market Prediction Based on Generative Adversarial Network (2019)Mean Reversion in Stock Prices: Evidence and Implications (1987)Mean reversion in stock prices (1988)The Sharpe Ratio (1994)Artificial Intelligence and Management: The Automation-Augmentation Paradox (2020)Generación de series de tiempo financieras sintéticas para "data augmentation" usando redes neuronales generativas adversarias (GAN) (2021)Modeling and Forecasting Realized Volatility (2003)Pricing under rough volatility (2015)The characteristic function of rough Heston models (2018)The characteristic function of rough Heston models (2019)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)Generalized autoregressive conditional heteroskedasticity (1986)Recent advances in reinforcement learning in finance (2023)Fin-GAN: forecasting and classifying financial time series via generative adversarial networks (2024)The Combination of Forecasts (1969)Generating Realistic Stock Market Order Streams (2020)European Option Pricing with Transaction Costs (1993)A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (2006)Artificial intelligence and machine learning in finance: Identifying foundations, themes, and research clusters from bibliometric analysis (2021)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
  • 2018Volatility Is Rough869 cited
  • 2016Deep Direct Reinforcement Learning for Financial Signal Representation and Trading837 cited
  • 2020Quant GANs: deep generation of financial time series351 cited
  • 2019Deep hedging332 cited
  • 2006Reinforcement learning for optimized trade execution285 cited
  • 2019Neural Networks for Option Pricing and Hedging: A Literature Review147 cited
  • 2020Generative adversarial networks for financial trading strategies fine-tuning and combination70 cited
  • 2019Deep Hedging: Learning to Simulate Equity Option Markets66 cited
  • 2020A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models64 cited
  • 2008Arbitrage-free market models for option prices: the multi-strike case53 cited
  • 2020A Data-Driven Market Simulator for Small Data Environments53 cited
  • 2020CORRGAN: Sampling Realistic Financial Correlation Matrices Using Generative Adversarial Networks

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49 cited
  • 2019Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning47 cited
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