3 papers
q-fin.CP2022
Hedging option books using neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
We study the capability of arbitrage-free neural-SDE market models to yield effective strategies for hedging options. In particular, we derive sensitivity-based and minimum-varianc…
q-fin.CP2022
Estimating risks of option books using neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
In this paper, we examine the capacity of an arbitrage-free neural-SDE market model to produce realistic scenarios for the joint dynamics of multiple European options on a single u…
q-fin.CP2021
Arbitrage-free neural-SDE market models
Samuel N. Cohen, Christoph Reisinger, Sheng Wang
Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a non…