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q-fin.CP2024
A case study on different one-factor Cheyette models for short maturity caplet calibration
Arun Kumar Polala, Bernhard Hientzsch
In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in the benchmark forward rate and an uncorrelated CIR stochastic variance to 3M caplets…
q-fin.MF2024
Inflation Models with Correlation and Skew
Orcan Ogetbil, Bernhard Hientzsch
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different…
q-fin.CP2024
Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging
Bernhard Hientzsch
We consider two data driven approaches, Reinforcement Learning (RL) and Deep Trajectory-based Stochastic Optimal Control (DTSOC) for hedging a European call option without and with…