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- 7714006 Pricing multiple barrier derivatives under stochastic volatility
by Marcos Escobar & Sven Panz & Rudi Zagst - 7714011 Finding the nearest covariance matrix: the foreign exchange market case
by Aleksey Minabutdinov & Ilya Manaev & Maxim Bouev - 7724526 Introducing two mixing fractions to a lognormal local-stochastic volatility model
by Geoffrey Lee & Bowie Owens & Zili Zhu - 7724996 A Libor market model including credit risk under the real-world measure
by Sara Dutra Lopes & Carlos Vázquez - 7729116 Numerical techniques for the Heston collocated volatility model
by Fabien Le Floc’h & Cornelis W. Oosterlee - 7806476 Nowcasting networks
by Marc Chataigner & Stéphane Crépey & Jiang Pu - 7812386 Gradient boosting for quantitative finance
by Jesse Davis & Laurens Devos & Sofie Reyners & Wim Schoutens - 7814116 Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
by Yuwei Chen & Christina C. Christara - 7815806 Calibration of local-stochastic and path-dependent volatility models to vanilla and no-touch options
by Alan Bain & Matthieu Mariapragassam & Christoph Reisinger - 7816471 The CTMC–Heston model: calibration and exotic option pricing with SWIFT
by à lvaro Leitao & J. Lars Kirkby & Luis Ortiz-Gracia - 7844756 The effects of transaction costs and illiquidity on the prices of volatility derivatives
by Mehzabeen Jumanah Dilloo & Désiré Yannick Tangman - 7850236 A simple and robust approach for expected shortfall estimation
by Zhibin Pan & Tao Pang & Yang Zhao - 7854946 Expansion method for pricing foreign exchange options under stochastic volatility and interest rates
by Kenji Nagami - 7857176 Fast pricing of American options under variance gamma
by Weilong Fu & Ali Hirsa - 7864806 Pricing American options under negative rates
by Jherek Healy - 7869926 Quantization-based Bermudan option pricing in the foreign exchange world
by Jean-Michel Fayolle & Vincent Lemaire & Thibaut Montes & Gilles Pagès - 7871526 Deep learning for discrete-time hedging in incomplete markets
by Simon Fecamp & Joseph Mikael & Xavier Warin - 7888656 An artificial neural network representation of the SABR stochastic volatility model
by William A. McGhee - 7900456 A review of tree-based approaches to solving forward–backward stochastic differential equations
by Long Teng - 7901531 Branching diffusions with jumps, and valuation with systemic counterparties
by Christoph Belak & Daniel Hoffmann & Frank Seifried - 7902041 Rainbows and transforms: semi-analytic formulas
by Norberto Laghi - 7907186 Probabilistic machine learning for local volatility
by Martin Tegnér & Stephen Roberts - 7931356 Automatic differentiation for diffusion operator integral variance reduction
by Johan Auster - 7932281 Robust product Markovian quantization
by Ralph Rudd & Thomas A. McWalter & Jörg Kienitz & Eckhard Platen - 7934361 Stability and convergence of Galerkin schemes for parabolic equations with application to Kolmogorov pricing equations in time-inhomogeneous Lévy models
by Maximillian Gaß & Kathrin Glau - 7938986 Pricing barrier options with deep backward stochastic differential equation methods
by Narayan Ganesan & Yajie Yu & Bernhard Hientzsch - 7951861 Subsampling and other considerations for efficient risk estimation in large portfolios
by Michael B. Giles & Abdul-Lateef Haji-Ali - 7952101 Deep learning for efficient frontier calculation in finance
by Xavier Warin - 7952596 A general firm value model under partial information
by Cheikh Mbaye & Abass Sagna & Frédéric Vrins - 7953256 Optimal trade execution with uncertain volume target
by Julien Vaes & Raphael Hauser - 7954544 Pricing the correlation skew with normal mean–variance mixture copulas
by Ignacio Luján Fernández - 7954641 Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
by Florian Bourgey & Stefano De Marco - 7954785 Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments
by Ostap Okhrin & Michael Rockinger & Manuel Schmid - 7954858 Adjoint differentiation for generic matrix functions
by Andrei Goloubentsev & Dmitri Goloubentsev & Evgeny Lakshtanov - 7955162 Analytical conversion between implied volatilities based on different dividend models
by Vladimir Lucic & Vladimir Jovanović - 7955793 Least squares Monte Carlo methods in stochastic Volterra rough volatility models
by Henrique Guerreiro & João Guerra - 7956062 Robust pricing and hedging via neural stochastic differential equations
by Patrick Gierjatowicz & Marc Sabate-Vidales & David Å iÅ¡ka & Å ukasz Szpruch & Žan ŽuriÄ - 7956178 Estimating risks of European option books using neural stochastic differential equation market models
by Samuel N. Cohen & Christoph Reisinger & Sheng Wang - 7956981 An optimal control strategy for execution of large stock orders using long short-term memory networks
by Andrew Papanicolaou & Hao Fu & Prasanth Krishnamurthy & Brian Healy & Farshad Khorrami - 7957030 Sharp L¹-approximation of the log-Heston stochastic differential equation by Euler-type methods
by Annalena Mickel & Andreas Neuenkirch - 7957092 Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
by Karel in 't Hout & Pieter Lamotte - 7957100 Modeling the bid and ask prices of options
by Dilip B. Madan & Wim Schoutens & King Wang - 7957194 A general control variate method for time-changed Lévy processes: an application to options pricing
by Kenichiro Shiraya & Cong Wang & Akira Yamazaki - 7957440 Toward a unified implementation of regression Monte Carlo algorithms
by Mike Ludkovski - 7957441 Neural stochastic differential equations for conditional time series generation using the Signature-Wasserstein-1 metric
by Pere DÃaz Lozano & Toni Lozano Bagén & Josep Vives - 7957762 Automatic adjoint differentiation for special functions involving expectations
by José Brito & Andrei Goloubentsev & Evgeny Goncharov - 7957920 Refined analysis of the no-butterfly-arbitrage domain for SSVI slices
by Claude Martini & Arianna Mingone - 7958052 Hedging of financial derivative contracts via Monte Carlo tree search
by Oleg Szehr - 7958436 Neural variance reduction for stochastic differential equations
by P. D. Hinds & M. V. Tretyakov - 7958599 Extremiles, quantiles and expectiles in the tails
by Marilena Furno - 7958695 Optimal damping with a hierarchical adaptive quadrature for efficient Fourier pricing of multi-asset options in Lévy models
by Christian Bayer & Chiheb Ben Hammouda & Antonis Papapantoleon & Michael Samet & Raul Tempone - 7958727 Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
by Bing Dong & Wei Xu & Guangguang Wang - 7959593 An equity-implied rating model for unrated firms
by Mauricio Gonzalez & Rémy Estran - 7959594 A simple local correlation model
by Frank Koster - 7959611 A multidimensional transform for pricing American options under stochastic volatility models
by Natalia Beliaeva & Ye Chen & Sanjay Nawalkha & Michael Sullivan & Sami Zreik - 7959935 An iterative copula method for probability density estimation
by Michael Roitman - 7959937 Clustering market regimes using the Wasserstein distance
by Blanka Horvath & Zacharia Issa & Aitor Muguruza - 7959945 Pricing high-dimensional Bermudan options using deep learning and higher-order weak approximation
by Riu Naito & Toshihiro Yamada - 7960422 Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
by Jaehyuk Choi & Byoung Ki Seo - 7960485 Multiperiod static hedging of European options
by Purba Banerjee & Srikanth Iyer & Shashi Jain - 7960553 On the boundary conditions adopted in stochastic volatility option pricing models
by Song-Ping Zhu & Chun-Yang Liu - 7960700 Deep equal risk pricing of illiquid derivatives with multiple hedging instruments
by Alexandre Carbonneau & Frédéric Godin - 7960701 Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method
by Mohammad Saber Rohi & Saghar Heidari & Hossein Azari - 7960720 Pricing time-capped American options using a least squares Monte Carlo method
by Paweł Stȩpniak & Zbigniew Palmowski