Related papers: Non-Parametric Extraction of Implied Asset Price D…
We study the expression rates of deep neural networks (DNNs for short) for option prices written on baskets of $d$ risky assets, whose log-returns are modelled by a multivariate L\'evy process with general correlation structure of jumps. We…
We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices and hedging portfolios on an investor's beliefs, risk…
We study the non-parametric estimation of an unknown stationary density fV of an unobserved strictly stationary volatility process $(\bm V_t)_{t\geq 0}$ on $\IRp^2 := (0,\infty)^2$ based on discrete-time observations in a stochastic…
In this work, we introduce a novel pricing methodology in general, possibly non-Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one…
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a…
This letter presents a novel approach for identifying uncorrelated atomic configurations from extensive data sets with a non-standard neural network workflow known as random network distillation (RND) for training machine-learned…
We derive the short-maturity asymptotics for prices of options on realized variance in local-stochastic volatility models. We consider separately the short-maturity asymptotics for out-of-the-money and in-the-money options cases. The…
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods…
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility surface: a finite dimensional Gaussian process (GP)…
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskless asset, and a European option. The two risky assets…
The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary…
Flow based models such as Real NVP are an extremely powerful approach to density estimation. However, existing flow based models are restricted to transforming continuous densities over a continuous input space into similarly continuous…
Neural networks have been used as a nonparametric method for option pricing and hedging since the early 1990s. Far over a hundred papers have been published on this topic. This note intends to provide a comprehensive review. Papers are…
We develop an entropic framework to model the dynamics of stocks and European Options. Entropic inference is an inductive inference framework equipped with proper tools to handle situations where incomplete information is available. The…
Training recurrent neural networks (RNNs) to perform neuroscience-style tasks has become a popular way to generate hypotheses for how neural circuits in the brain might perform computations. Recent work has demonstrated that task-trained…
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied…
In the first part of this thesis, we focus on American options in the Heston model. We first give an analytical characterization of the value function of an American option as the unique solution of the associated (degenerate) parabolic…
In this paper, we develop a penalized realized variance (PRV) estimator of the quadratic variation (QV) of a high-dimensional continuous It\^{o} semimartingale. We adapt the principle idea of regularization from linear regression to…
Stock trend forecasting has become a popular research direction that attracts widespread attention in the financial field. Though deep learning methods have achieved promising results, there are still many limitations, for example, how to…
The estimation of entropy rates for stationary discrete-valued stochastic processes is a well studied problem in information theory. However, estimating the entropy rate for stationary continuous-valued stochastic processes has not received…