1 citations · 1 across the 9 of their papers we have counts for
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PIVOT: Bridging Black-Scholes Implied-Volatility and Price Objectives via Differentiable Jäckel Operator
Raeid Saqur, Yannick Limmer, Anastasis Kratsios +2
Modern option-learning systems operate in two coordinates: price space, where markets quote and no-arbitrage constraints are most naturally enforced, and implied volatility (IV) sp…
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…
Uncertainty-Aware Strategies: A Model-Agnostic Framework for Robust Financial Optimization through Subsampling
Hans Buehler, Blanka Horvath, Yannick Limmer +1
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating…
Robust Hedging GANs
Yannick Limmer, Blanka Horvath
The availability of deep hedging has opened new horizons for solving hedging problems under a large variety of realistic market conditions. At the same time, any model - be it a tr…