4 papers
Pricing and Hedging Prepayment Risk in a Mortgage Portfolio
Emanuele Casamassima, Lech A. Grzelak, Frank A. Mulder +1
Understanding mortgage prepayment is crucial for any financial institution providing mortgages, and it is important for hedging the risk resulting from such unexpected cash flows.…
Monte Carlo Simulation of SDEs using GANs
Jorino van Rhijn, Cornelis W. Oosterlee, Lech A. Grzelak +1
Generative adversarial networks (GANs) have shown promising results when applied on partial differential equations and financial time series generation. We investigate if GANs can…
Cheapest-to-Deliver Collateral: A Common Factor Approach
Felix L. Wolf, Lech A. Grzelak, Griselda Deelstra
The collateral choice option gives the collateral posting party the opportunity to switch between different collateral currencies which is well-known to impact the asset price. Qua…
A neural network-based framework for financial model calibration
Shuaiqiang Liu, Anastasia Borovykh, Lech A. Grzelak +1
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal…