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q-fin.CP2023
Applying Deep Learning to Calibrate Stochastic Volatility Models
Abir Sridi, Paul Bilokon
Stochastic volatility models, where the volatility is a stochastic process, can capture most of the essential stylized facts of implied volatility surfaces and give more realistic…
q-fin.CP2023
Derivatives Sensitivities Computation under Heston Model on GPU
Pierre-Antoine Arsaguet, Paul Bilokon
This report investigates the computation of option Greeks for European and Asian options under the Heston stochastic volatility model on GPU. We first implemented the exact simulat…
q-fin.CP2022★ 1 cited
Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU
Paul Bilokon, Sergei Kucherenko, Casey Williams
The calculation of option Greeks is vital for risk management. Traditional pathwise and finite-difference methods work poorly for higher-order Greeks and options with discontinuous…