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q-fin.CP2021
Arbitrage-free neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a non…
q-fin.CP2021
Black-box model risk in finance
Samuel N. Cohen, Derek Snow, Lukasz Szpruch
Machine learning models are increasingly used in a wide variety of financial settings. The difficulty of understanding the inner workings of these systems, combined with their wide…