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We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
A tree search for portfolio management
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HJM: A Unified Approach to Dynamic Models for Fixed Income, Credit and Equity Markets
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Hedged Monte-Carlo: Low Variance Derivative Pricing with Objective Probabilities
Potters, Marc, Jean-Philippe Bouchaud, and Dragan Sestovic. 2001 · 2001
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The vol smile problem
Lipton, Alexander. 2002 · 2002
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Recovering volatility from option prices by evolutionary optimization
Cont, Rama, and Sana Ben Hamida. 2004 · 2004
Cited alongside, same era.
Calibrating and pricing with embedded local volatility models
Ren, Yong, Dilip Madan, and Michael Qian Qian. 2007 · 2007
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Local volatility dynamic models
Carmona, René, and Sergey Nadtochiy. 2009 · 2009
Cited alongside, same era.
A nonlinear partial integro-differential equation from mathematical finance
Abergel, Frédéric, and Rémi Tachet. 2010 · 2010
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Being particular about calibration
Guyon, Julien, and Pierre Henry-Labordère. 2012 · 2012
Cited alongside, same era.
Nonlinear Option Pricing
Guyon, Julien, and Pierre Henry-Labordère. 2013 · 2013
Cited alongside, same era.
Calibration of Mixture Interest Rate Models with Neural Networks
Cuchiero, Christa, Alexia Marr, Milusi Mavuso, Nicolas Mitoulis, Aditya Singh, and Josef Teichmann. 2018 · 2018
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Huré, Côme, Huyên Pham, Achref Bachouch, and Nicolas Langrené. 2018 · 2018
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Unbiased deep solvers for parametric pdes
Vidales, Marc-Sabate, David Siska, and Lukasz Szpruch. 2018 · 2018
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Deep optimal stopping
Becker, Sebastian, Patrick Cheridito, and Arnulf Jentzen. 2019 · 2019
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Deep hedging
Bühler, Hans, Lukas Gonon, Josef Teichmann, and Ben Wood. 2019 · 2019
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Generative adversarial nets
Goodfellow, Ian, Jean Pouget-Abadie, Mehdi Mirza, Bing Xu, David Warde-Farley, Sherjil Ozair, Aaron Courville, and Yoshua Bengio. 2014 · 2014
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Local correlation families
Guyon, Julien. 2014 · 2014
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Calibrating and pricing with a stochastic-local volatility model
Tian, Yu, Zili Zhu, Geoffrey Lee, Fima Klebaner, and Kais Hamza. 2015 · 2015
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Cross-dependent volatility
Guyon, Julien. 2016 · 2016
Cited alongside, same era.
Existence of a calibrated regime switching local volatility model and new fake brownian motions
Jourdain, Benjamin, and Alexandre Zhou. 2016 · 2016
Cited alongside, same era.
Stochastic portfolio theory: A machine learning perspective
Samo, Yves-Laurent Kom, and Alexander Vervuurt. 2016 · 2016
Cited alongside, same era.
Calibration of a hybrid local-stochastic volatility stochastic rates model with a control variate particle method
Cozma, Andrei, Matthieu Mariapragassam, and Christoph Reisinger. 2019 · 2019
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Computation of optimal transport and related hedging problems via penalization and neural networks
Eckstein, Stephan, and Michael Kupper. 2019 · 2019
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The calibration of stochastic-local volatility models-an inverse problem perspective
Saporito, Yuri F, Xu Yang, and Jorge Zubelli. 2019 · 2019
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Universal features of price formation in financial markets: perspectives from deep learning
Sirignano, Justin and Cont, Rama. 2019 · 2019
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Learning Dynamic GANs via Causal Optimal Transport
Acciaio, Beatrice, and Tianlin Xu. 2020 · 2020
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A Data-Driven Market Simulator for Small Data Environments
Bühler, Hans, Blanka Horvath, Immanol Perez Arribaz, Terry Lyons, and Ben Wood. 2020 · 2020
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Deep Stochastic Portfolio Theory
Cuchiero, Christa, Philipp Schmocker, and Teichmann Josef. 2020 · 2020
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Robust pricing and hedging via neural SDEs
Gierjatowicz, Patryk, Mark Sabate, David Siska, and Lukasz Szpruch. 2020 · 2020
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Generative Models for Financial Data
Henry-Labordère, Pierre. 2019 · 2020
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The Market Generator. Available online: https://ssrn.com/abstract=3384948 (accessed on 22 September 2020)
Kondratyev, Alexei, and Christian Schwarz. 2019 · 2020
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Deep Hedging: Learning to Simulate Equity Option Markets. Available online: https://ssrn.com/abstract=3470756 (accessed on 20 September 2020)
Wiese, Magnus, Lianjun Bai, Ben Wood, and Hans Bühler. 2019 · 2020
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