3 papers
q-fin.CP2024
Pricing Barrier Options with DeepBSDEs
Narayan Ganesan, Yajie Yu, Bernhard Hientzsch
This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward…
q-fin.CP2024
A case study on different one-factor Cheyette models for short maturity caplet calibration
Arun Kumar Polala, Bernhard Hientzsch
In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in the benchmark forward rate and an uncorrelated CIR stochastic variance to 3M caplets…
q-fin.MF2024
Inflation Models with Correlation and Skew
Orcan Ogetbil, Bernhard Hientzsch
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different…