1 citations · 1 across the 2 of their papers we have counts for
3 papers
Inefficiency of CFMs: hedging perspective and agent-based simulations
Samuel Cohen, Marc Sabaté Vidales, David Šiška +1
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem thro…
Learning the conditional law: signatures and conditional GANs in filtering and prediction of diffusion processes
Fabian Germ, Marc Sabate-Vidales
We consider the filtering and prediction problem for a diffusion process. The signal and observation are modeled by stochastic differential equations (SDEs) driven by correlated Wi…
Robust pricing and hedging via neural SDEs
Patryk Gierjatowicz, Marc Sabate-Vidales, David Šiška +2
Mathematical modelling is ubiquitous in the financial industry and drives key decision processes. Any given model provides only a crude approximation to reality and the risk of usi…