5 citations · 14 across the 12 of their papers we have counts for
4 papers · 1 filter
Calibrating Local Volatility Models with Stochastic Drift and Diffusion
Orcan Ogetbil, Narayan Ganesan, Bernhard Hientzsch
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and…
Backward Deep BSDE Methods and Applications to Nonlinear Problems
Yajie Yu, Bernhard Hientzsch, Narayan Ganesan
In this paper, we present a backward deep BSDE method applied to Forward Backward Stochastic Differential Equations (FBSDE) with given terminal condition at maturity that time-step…
Pricing Barrier Options with DeepBSDEs
Narayan Ganesan, Yajie Yu, Bernhard Hientzsch
This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward…
Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility
Orcan Ogetbil, Bernhard Hientzsch
We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the drift is given as diff…