Publications (8)
One Other Option Pricing Scheme
Jimin Lin
We present a distinctive approach to parameterizing the risk neutral distribution. Using parsimonious and interpretable parameters, the model provides direct and localized control…
Neural Term Structure of Additive Process for Option Pricing
Jimin Lin, Guixin Liu
The additive process generalizes the Lévy process by relaxing its assumption of time-homogeneous increments and hence covers a larger family of stochastic processes. Recent resear…
Reinforcement Learning Algorithm for Mixed Mean Field Control Games
Andrea Angiuli, Nils Detering, Jean-Pierre Fouque +2
We present a new combined \textit{mean field control game} (MFCG) problem which can be interpreted as a competitive game between collaborating groups and its solution as a Nash equ…
Bootstrap Percolation in Random Graphs of Unbounded Rank
Nils Detering, Jimin Lin
Bootstrap percolation in (random) graphs is a contagion dynamic among a set of vertices with certain threshold levels. The process is started by a set of initially infected vertice…
Shallow Representation of Option Implied Information
Jimin Lin
Option prices encode the market's collective outlook through implied density and implied volatility. An explicit link between implied density and implied volatility translates the…
Reinforcement Learning for Intra-and-Inter-Bank Borrowing and Lending Mean Field Control Game
Andrea Angiuli, Nils Detering, Jean-Pierre Fouque +2
We propose a mean field control game model for the intra-and-inter-bank borrowing and lending problem. This framework allows to study the competitive game arising between groups of…
On Carr and Lee's correlation immunization strategy
Jimin Lin, Matthew Lorig
In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that…
NeuralBeta: Estimating Beta Using Deep Learning
Yuxin Liu, Jimin Lin, Achintya Gopal
Traditional approaches to estimating beta in finance often involve rigid assumptions and fail to adequately capture beta dynamics, limiting their effectiveness in use cases like he…