1 citations · 1 across the 4 of their papers we have counts for
4 papers
Deep Neural Operator Learning for Probabilistic Models
Erhan Bayraktar, Qi Feng, Zecheng Zhang +1
We propose a deep neural-operator framework for a general class of probability models. Under global Lipschitz conditions on the operator over the entire Euclidean space-and for a b…
Deep Signature Algorithm for Multi-dimensional Path-Dependent Options
Erhan Bayraktar, Qi Feng, Zhaoyu Zhang
In this work, we study the deep signature algorithms for path-dependent options. We extend the backward scheme in [Huré-Pham-Warin. Mathematics of Computation 89, no. 324 (2020)] f…
Inflexible Multi-Asset Hedging of incomplete market
Ruochen Xiao, Qiaochu Feng, Ruxin Deng
Models trained under assumptions in the complete market usually don't take effect in the incomplete market. This paper solves the hedging problem in incomplete market with three so…
Deep Signature FBSDE Algorithm
Qi Feng, Man Luo, Zhaoyu Zhang
We propose a deep signature/log-signature FBSDE algorithm to solve forward-backward stochastic differential equations (FBSDEs) with state and path dependent features. By incorporat…