6 citations · 15 across the 15 of their papers we have counts for
21 papers
Monte Carlo on a single sample
Nils Detering, Nicole Hufnagel, Paul Krühner
In this paper, we consider a Monte Carlo simulation method (MinMC) that approximates prices and risk measures for a range of model parameters at once. The simulation method tha…
Learning from one graph: transductive learning guarantees via the geometry of small random worlds
Nils Detering, Luca Galimberti, Anastasis Kratsios +2
Since their introduction by Kipf and Welling in , a primary use of graph convolutional networks is transductive node classification, where missing labels are inferred within…
A class of locally state-dependent models for forward curves
Nils Detering, Silvia Lavagnini
We present a dynamic model for forward curves within the Heath-Jarrow-Morton framework under the Musiela parametrization. The forward curves take values in a function space H, and…
Solving Optimal Execution Problems via In-Context Operator Networks
Tingwei Meng, Moritz Voß, Nils Detering +3
We propose a novel transformer-based neural network architecture (ICON-OCnet) for solving optimal order execution problems in the presence of unknown price impact. Our architecture…
Structure-informed operator learning for parabolic Partial Differential Equations
Fred Espen Benth, Nils Detering, Luca Galimberti
In this paper, we present a framework for learning the solution map of a backward parabolic Cauchy problem. The solution depends continuously but nonlinearly on the final data, sou…
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…
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…
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…
Pricing options on flow forwards by neural networks in Hilbert space
Fred Espen Benth, Nils Detering, Luca Galimberti
We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hi…
Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective
Maxim Bichuch, Nils Detering
We consider a network of bank holdings, where every holding has two subsidiaries of different types. A subsidiary can trade with another holding's subsidiary of the same type. Hold…
Neural Networks in Fréchet spaces
Fred Espen Benth, Nils Detering, Luca Galimberti
We define a neural network in infinite dimensional spaces for which we can show the universal approximation property. Indeed, we derive approximation results for continuous functio…
Abstract polynomial processes
Fred Espen Benth, Nils Detering, Paul Kruhner
We suggest a novel approach to polynomial processes solely based on a polynomial action operator. With this approach, we can analyse such processes on general state spaces, going f…
Suffocating Fire Sales
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some…
Accuracy of Deep Learning in Calibrating HJM Forward Curves
Fred Espen Benth, Nils Detering, Silvia Lavagnini
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose…
Stochastic Volterra integral equations and a class of first order stochastic partial differential equations
Fred Espen Benth, Nils Detering, Paul Kruehner
We investigate stochastic Volterra equations and their limiting laws. The stochastic Volterra equations we consider are driven by a Hilbert space valued \Levy noise and integration…
Independent increment processes: A multilinearity preserving property
Fred Espen Benth, Nils Detering, Paul Kruhner
We observe a multilinearity preserving property of conditional expectation for infinite dimensional independent increment processes defined on some abstract Banach space . It is…
Directed Chain Stochastic Differential Equations
Nils Detering, Jean-Pierre Fouque, Tomoyuki Ichiba
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation…
Financial Contagion in a Generalized Stochastic Block Model
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to unders…
Local risk-minimization with multiple assets under illiquidity with applications in energy markets
Panagiotis Christodoulou, Nils Detering, Thilo Meyer-Brandis
We propose a hedging approach for general contingent claims when liquidity is a concern and trading is subject to transaction cost. Multiple assets with different liquidity levels…
Managing Default Contagion in Inhomogeneous Financial Networks
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the verti…
Bootstrap percolation in directed and inhomogeneous random graphs
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou
Bootstrap percolation is a process that is used to model the spread of an infection on a given graph. In the model considered here each vertex is equipped with an individual thresh…