11 citations · 26 across the 26 of their papers we have counts for
4 papers · 1 filter
DYSANOS Generative Dynamic Smooth Arbitrage-free Non-parametric Option Surfaces
Hans Buehler, Blanka Horvath, Anastasis Kratsios +1
This article presents with DYSANOS the first generative market model for smooth SANOS option surfaces for all strikes and expiries which are free of static arbitrage. Our model is…
Classification Fields: Arbitrarily Fine Recursive Hierarchical Clustering From Few Examples
Yicen Li, Ruiyang Hong, Anastasis Kratsios +2
Classical clustering methods usually return either a finite partition of the observed data or a finite dendrogram over it. This finite-sample view is inadequate when the hierarchy…
Every Feedforward Neural Network Definable in an o-Minimal Structure Has Finite Sample Complexity
Anastasis Kratsios, Gregory Cousins, Haitz Sáez de Ocáriz Borde +2
We show that, in a precise sense, a broad class of feedforward neural networks learn (have finite sample complexity) in the PAC model: every fixed finite feedforward architecture w…
SANOS Smooth strictly Arbitrage-free Non-parametric Option Surfaces
Hans Buehler, Blanka Horvath, Anastasis Kratsios +2
We present a simple, numerically efficient but highly flexible non-parametric method to construct representations of option price surfaces which are both smooth and strictly arbitr…