121 citations · 190 across the 14 of their papers we have counts for
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q-fin.CP2024★ 2 cited
Robust financial calibration: a Bayesian approach for neural SDEs
Christa Cuchiero, Eva Flonner, Kevin Kurt
The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global u…
q-fin.CP2020★ 61 cited
A generative adversarial network approach to calibration of local stochastic volatility models
Christa Cuchiero, Wahid Khosrawi, Josef Teichmann
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface. To ac…