1 citations · 1 across the 3 of their papers we have counts for
3 papers
A semi-static replication approach to efficient hedging and pricing of callable IR derivatives
Jori Hoencamp, Shashi Jain, Drona Kandhai
We present a semi-static hedging algorithm for callable interest rate derivatives under an affine, multi-factor term-structure model. With a traditional dynamic hedge, the replicat…
Shallow Neural Hawkes: Non-parametric kernel estimation for Hawkes processes
Sobin Joseph, Lekhapriya Dheeraj Kashyap, Shashi Jain
Multi-dimensional Hawkes process (MHP) is a class of self and mutually exciting point processes that find wide range of applications -- from prediction of earthquakes to modelling…
Neural network for pricing and universal static hedging of contingent claims
Vikranth Lokeshwar, Vikram Bhardawaj, Shashi Jain
We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neur…