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pro vyhledávání: '"Casanova, Francisco Gomez"'
This paper addresses the problem of pricing involved financial derivatives by means of advanced of deep learning techniques. More precisely, we smartly combine several sophisticated neural network-based concepts like differential machine learning, Mo
Externí odkaz:
http://arxiv.org/abs/2404.11257
Autor:
Patel, Raj G., Dominguez, Tomas, Dib, Mohammad, Palmer, Samuel, Cadarso, Andrea, Contreras, Fernando De Lope, Ratnani, Abdelkader, Casanova, Francisco Gomez, Hernández-Santana, Senaida, Díaz-Fernández, Álvaro, Andrés, Eva, Luis-Hita, Jorge, Sánchez-Martínez, Escolástico, Mugel, Samuel, Orus, Roman
The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo simulation has become the industry standard. In low dimensions, these a
Externí odkaz:
http://arxiv.org/abs/2304.09750