6 citations · 15 across the 15 of their papers we have counts for
4 papers · 1 filter
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…