440 citations · 905 across the 22 of their papers we have counts for
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q-fin.CP2021★ 6 cited
Deep learning of transition probability densities for stochastic asset models with applications in option pricing
Haozhe Su, M. V. Tretyakov, David P. Newton
Transition probability density functions (TPDFs) are fundamental to computational finance, including option pricing and hedging. Advancing recent work in deep learning, we develop…
q-fin.CP2012
Application of simplest random walk algorithms for pricing barrier options
M. Krivko, M. V. Tretyakov
We demonstrate effectiveness of the first-order algorithm from [Milstein, Tretyakov. Theory Prob. Appl. 47 (2002), 53-68] in application to barrier option pricing. The algorithm us…
q-fin.CP2011★ 5 cited
Numerical integration of Heath-Jarrow-Morton model of interest rates
M. Krivko, M. V. Tretyakov
We propose and analyze numerical methods for the Heath-Jarrow-Morton (HJM) model. To construct the methods, we first discretize the infinite dimensional HJM equation in maturity ti…