Zobrazeno 1 - 10
of 43
pro vyhledávání: '"Lech A. Grzelak"'
Publikováno v:
Journal of Mathematics in Industry, Vol 9, Iss 1, Pp 1-28 (2019)
Abstract A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training hidd
Externí odkaz:
https://doaj.org/article/6ca76781a1c144e892f4649c017d1556
Publikováno v:
Risks, Vol 10, Iss 3, p 47 (2022)
We propose an accurate data-driven numerical scheme to solve stochastic differential equations (SDEs), by taking large time steps. The SDE discretization is built up by means of the polynomial chaos expansion method, on the basis of accurately determ
Externí odkaz:
https://doaj.org/article/549fd9587a0c4ee6895c8a9c171f733a
Publikováno v:
Journal of Mathematics in Industry, Vol 8, Iss 1, Pp 1-12 (2018)
Abstract In this paper, we study the impact of the parameters involved in Heston model by means of Uncertainty Quantification. The Stochastic Collocation Method already used for example in computational fluid dynamics, has been applied throughout thi
Externí odkaz:
https://doaj.org/article/d05e1fc22b1b45e688e55d6b25ffc15d
Publikováno v:
JAPAN JOURNAL OF INDUSTRIAL AND APPLIED MATHEMATICS
Japan Journal of Industrial and Applied Mathematics, 762
Japan Journal of Industrial and Applied Mathematics, 762
Generative adversarial networks (GANs) have shown promising results when applied on partial differential equations and financial time series generation. We investigate if GANs can also be used to approximate one-dimensional It$$\hat{\text {o}}$$ o ^
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::71b83f04caf38246fd81b4c169bfd087
http://resolver.tudelft.nl/uuid:ca8acd42-eb47-45b4-b7a7-82dfcecc3614
http://resolver.tudelft.nl/uuid:ca8acd42-eb47-45b4-b7a7-82dfcecc3614
Autor:
Leonardo Perotti, Lech A. Grzelak
We propose a methodology to sample from time-integrated stochastic bridges, namely random variables defined as $\int_{t_1}^{t_2} f(Y(t))dt$ conditioned on $Y(t_1)\!=\!a$ and $Y(t_2)\!=\!b$, with $a,b\in R$. The Stochastic Collocation Monte Carlo samp
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::115b9fcab3caca669e3237ecf4bbb487
http://arxiv.org/abs/2111.13901
http://arxiv.org/abs/2111.13901
Publikováno v:
Applied Mathematics and Computation, 391
This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and the P&L explain. This is done in a Monte Carlo simulation setting, bas
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b8e286792bed03775c6823f795e8a869
https://ir.cwi.nl/pub/30056
https://ir.cwi.nl/pub/30056
Understanding mortgage prepayment is crucial for any financial institution providing mortgages, and it is important for hedging the risk resulting from such unexpected cash flows. Here, in the setting of a Dutch mortgage provider, we propose to inclu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::163e2a102a9aa08334f996ba5ca6b231
Autor:
Lech A. Grzelak
Publikováno v:
International Journal of Computer Mathematics. 96:2209-2228
It is a market practice to price exotic derivatives, like callable basket options, with the local volatility model [B. Dupire, Pricing with a smile, Risk 7 (1994), pp. 18–20; E. Derman and I. Kani,...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a804aa7e9c07ed209c39569a37808c86
https://doi.org/10.1080/00207160.2018.1547378
https://doi.org/10.1080/00207160.2018.1547378
Publikováno v:
Quantitative Finance, 19(2), 339-356
Quantitative Finance
Quantitative Finance
In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC sampler), within a polynomial chaos expansi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3874607abf5b5dcb6442bf19c531194
https://doi.org/10.1080/14697688.2018.1459807
https://doi.org/10.1080/14697688.2018.1459807
Publikováno v:
Quantitative Finance, 17(10)
Quantitative Finance, 17(10), 1549-1565
Quantitative Finance, 17(10), 1549-1565
In this paper, we will present a multiple time step Monte Carlo simulation technique for pricing options under the Stochastic Alpha Beta Rho model. The proposed method is an extension of the one time step Monte Carlo method that we proposed in an acc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c512767dff44e1f61d4a112f789256d8
https://doi.org/10.1080/14697688.2017.1301676
https://doi.org/10.1080/14697688.2017.1301676