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q-fin.MF2026
Amortizing the Calibration Triple: A Projection-Consistent Neural Operator for Local-Stochastic Volatility
Xiaozhen Wang, Anaïs Després, Martin Dureau +1
Local-stochastic volatility (LSV) combines vanilla marginals with richer smile dynamics, but calibration requires a slow, noisy and sequential McKean--Vlasov fixed point. We learn…
q-fin.MF2026
Climate-Dyna Deep Hedging for XVAs: Model-Based Reinforcement Learning, Residual Climate HVA, and Hedge-Instrument Discovery
Xiaozhen Wang, Francois Buet-Golfouse
For a trading desk, residual climate hedging valuation adjustment (HVA) is the climate cost left after its inherited hedge and any admissible overlay have been taken into account;…
math.OC2026
Generative Transfer for Entropic Optimal Transport with Unknown Costs
Antoine Debouchage, Xiaozhen Wang, Zhenjie Ren +1
This paper addresses the practical challenge in Entropic Optimal Transport (EOT) where the underlying ground cost function is typically latent and unobserved. Rather than assuming…