1 citations · 1 across the 2 of their papers we have counts for
3 papers
q-fin.RM2020★ 1 cited
Tensoring volatility calibration
Mariano Zeron, Ignacio Ruiz
Inspired by a series of remarkable papers in recent years that use Deep Neural Nets to substantially speed up the calibration of pricing models, we investigate the use of Chebyshev…
q-fin.RM2020
Dynamic sensitivities and Initial Margin via Chebyshev Tensors
Mariano Zeron, Ignacio Ruiz
This paper presents how to use Chebyshev Tensors to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. Dynamic sensitivities are then used to c…
q-fin.RM2018
Dynamic Initial Margin via Chebyshev Tensors
Ignacio Ruiz, Mariano Zeron
We present two methods, based on Chebyshev tensors, to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. These methods are implemented and run…