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q-fin.MF2025
A Deep Learning-Based Method for Fully Coupled Non-Markovian FBSDEs with Applications
Hasib Uddin Molla, Matthew Backhouse, Ankit Banarjee +1
In this work, we extend deep learning-based numerical methods to fully coupled forward-backward stochastic differential equations (FBSDEs) within a non-Markovian framework. Error e…
q-fin.PR2025
Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks
Hasib Uddin Molla, Antony Ware, Ilnaz Asadzadeh +1
We present a generative framework for pricing European-style basket options by learning the conditional terminal distribution of the log arithmetic-weighted basket return. A Mixtur…