3 papers
q-fin.CP2026
Deep Learning for Dynamic Programming with Recursive Utility Using First-order Conditions
Xianhua Peng, Wu Guo, Songyan Wang +1
This paper proposes the certainty-equivalent first-order learning (CEFOL) algorithm, a deep learning algorithm for solving discrete-time dynamic programming problems with recursive…
q-fin.CP2026
Deep Learning for Dynamic Programming with Recursive Utility
Xianhua Peng, Wu Guo
We propose the first deep learning algorithm, the Certainty Equivalent Learning (CEL) algorithm, for solving high-dimensional discrete-time dynamic programming problems with recurs…
q-fin.MF2025
Joint Pricing in SPX and VIX Derivative Markets with Composite Change of Time Models
Liexin Cheng, Xue Cheng, Xianhua Peng
The Chicago Board Options Exchange Volatility Index (VIX) is calculated from SPX options and derivatives of VIX are also traded in market, which leads to the so-called ``consistent…