3 citations · 8 across the 13 of their papers we have counts for
Showing q-fin.PRShow all
2 papers · 1 filter
q-fin.PR2025
Fast catastrophe bond valuation with neural-network surrogates
Julian Sester, Huansang Xu
Catastrophe bonds are increasingly important risk-transfer securities, but structural pricing is too slow for real-time valuation, screening, and sensitivity analysis. We develop a…
q-fin.PR2025
Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
Zixing Chen, Yihan Qi, Shanlan Que +2
In this paper we study the quality of model-free valuation approaches for financial derivatives by systematically evaluating the difference between model-free super-hedging strateg…