1 citations · 2 across the 3 of their papers we have counts for
Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2020
Nowcasting Networks
Marc Chataigner, Stephane Crepey, Jiang Pu
We devise a neural network based compression/completion methodology for financial nowcasting. The latter is meant in a broad sense encompassing completion of gridded values, interp…
q-fin.CP2020★ 1 cited
Deep Local Volatility
Marc Chataigner, Stéphane Crépey, Matthew Dixon
Deep learning for option pricing has emerged as a novel methodology for fast computations with applications in calibration and computation of Greeks. However, many of these approac…