6 citations · 15 across the 15 of their papers we have counts for
Showing q-fin.MFShow all
2 papers · 1 filter
q-fin.MF2020
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…
q-fin.MF2017★ 3 cited
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…