3 citations · 7 across the 8 of their papers we have counts for
3 papers · 1 filter
Multi-Asset Spot and Option Market Simulation
Magnus Wiese, Ben Wood, Alexandre Pachoud +4
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed cal…
Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures
Hans Buehler, Phillip Murray, Mikko S. Pakkanen +1
We present a machine learning approach for finding minimal equivalent martingale measures for markets simulators of tradable instruments, e.g. for a spot price and options written…
Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
Hans Buehler, Phillip Murray, Mikko S. Pakkanen +1
We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs…