1 citations · 1 across the 1 of their papers we have counts for
3 papers
q-fin.CP2019★ 1 cited
A Probabilistic Approach to Nonparametric Local Volatility
Martin Tegnér, Stephen Roberts
The local volatility model is a widely used for pricing and hedging financial derivatives. While its main appeal is its capability of reproducing any given surface of observed opti…
stat.ML2018
Sequential sampling of Gaussian process latent variable models
Martin Tegner, Benjamin Bloem-Reddy, Stephen Roberts
We consider the problem of inferring a latent function in a probabilistic model of data. When dependencies of the latent function are specified by a Gaussian process and the data l…
q-fin.MF2018
European Option Pricing with Stochastic Volatility models under Parameter Uncertainty
Samuel N. Cohen, Martin Tegnér
We consider stochastic volatility models under parameter uncertainty and investigate how model derived prices of European options are affected. We let the pricing parameters evolve…