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q-fin.CP2024
Modeling and Replication of the Prepayment Option of Mortgages including Behavioral Uncertainty
Leonardo Perotti, Lech A. Grzelak, Cornelis W. Oosterlee
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude o…
q-fin.CP2022
On Pricing of Discrete Asian and Lookback Options under the Heston Model
Leonardo Perotti, Lech A. Grzelak
We propose a new, data-driven approach for efficient pricing of - fixed- and float-strike - discrete arithmetic Asian and Lookback options when the underlying process is driven by…
q-fin.CP2021
Fast Sampling from Time-Integrated Bridges using Deep Learning
Leonardo Perotti, Lech A. Grzelak
We propose a methodology to sample from time-integrated stochastic bridges, namely random variables defined as conditioned on and $Y(t_2…