13 citations · 30 across the 13 of their papers we have counts for
4 papers · 1 filter
Saddle-Point Approach to Large-Time Volatility Smile
Chun Yat Yeung, Ali Hirsa
We extend upon the saddle-point equation presented in [1] to derive large-time model-implied volatility smiles, providing its theoretical foundation and studying its applications i…
Post trade allocation: how much are bunched orders costing your performance?
Ali Hirsa, Massoud Heidari
Individual trade orders are often bunched into a block order for processing efficiency, where in post execution, they are allocated into individual accounts. Since Regulators have…
Solving barrier options under stochastic volatility using deep learning
Weilong Fu, Ali Hirsa
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained t…
Simulating financial time series using attention
Weilong Fu, Ali Hirsa, Jörg Osterrieder
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the…