11 citations · 11 across the 4 of their papers we have counts for
4 papers
Neural Networks Learning the Radon--Nikodym Derivative: Empirical Option Pricing in Incomplete Markets
Ziyuan Zhang, Kiseop Lee
In incomplete markets, no-arbitrage (NFLVR) guarantees the existence, not the uniqueness, of an equivalent local martingale measure (ELMM): unhedgeable risks (jumps, stochastic vol…
Probabilistic Signature Inversion: Learning Conditional Distributions from Truncated Signatures
Junoh Kang, Kiseop Lee, Bohyung Han
The signature transform is a principled feature map for continuous-time paths, valued for its uniqueness and universality. Recovering a path from its truncated signature is, howeve…
A Topological Approach to Parameterizing Deep Hedging Networks
Alok Das, Kiseop Lee
Deep hedging uses recurrent neural networks to hedge financial products that cannot be fully hedged in incomplete markets. Previous work in this area focuses on minimizing some mea…
Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach
Hyun Jin Jang, Kiseop Lee, Kyungsub Lee
We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives -- endogeneity and interactivity. We examine the futures market…