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Martingale transport with homogeneous stock movements
Eckstein, Stephan; Kupper, Michael - In: Quantitative finance 21 (2021) 2, pp. 271-280
Persistent link: https://www.econbiz.de/10012424589
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Deep hedging
Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben - In: Quantitative finance 19 (2019) 8, pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788
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Equal risk pricing and hedging of financial derivatives with convex risk measures
Marzban, Saeed; Delage, Erick; Li, Jonathan Yu-Meng - In: Quantitative finance 22 (2022) 1, pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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Option hedging using LSTM-RNN : an empirical analysis
Zhang, Junhuan; Huang, Wenjun - In: Quantitative finance 21 (2021) 10, pp. 1753-1772
Persistent link: https://www.econbiz.de/10012653710
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Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
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Equal risk pricing of derivatives with deep hedging
Carbonneau, Alexandre; Godin, Frédéric - In: Quantitative finance 21 (2021) 4, pp. 593-608
Persistent link: https://www.econbiz.de/10012483841
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Exchange options under clustered jump dynamics
Ma, Yong; Pan, Dongtao; Wang, Tianyang - In: Quantitative finance 20 (2020) 6, pp. 949-967
Persistent link: https://www.econbiz.de/10012262652
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An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
Chan, Tat Lung - In: Quantitative finance 20 (2020) 8, pp. 1325-1343
Persistent link: https://www.econbiz.de/10012262665
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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802