1 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.CP2022★ 1 cited
Solving barrier options under stochastic volatility using deep learning
Weilong Fu, Ali Hirsa
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained t…
q-fin.ST2022★ 1 cited
Simulating financial time series using attention
Weilong Fu, Ali Hirsa, Jörg Osterrieder
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the…