170 citations · 345 across the 27 of their papers we have counts for
39 papers
Shapley-based Structural Analysis of Neural Calibration for Stochastic Volatility Models
Shaïn Afzali, Serena Della Corte, Antonis Papapantoleon
Neural network-based approaches have emerged as efficient alternatives to traditional optimization-based procedures for the calibration of stochastic volatility models. However, ex…
Convergence of the generalization error for deep gradient flow methods for PDEs
Chenguang Liu, Antonis Papapantoleon, Jasper Rou
The aim of this article is to provide a firm mathematical foundation for the application of deep gradient flow methods (DGFMs) for the solution of (high-dimensional) partial differ…
Stability of backward propagation of chaos
Antonis Papapantoleon, Alexandros Saplaouras, Stefanos Theodorakopoulos
The purpose of the present paper is to introduce and establish a notion of stability for the backward propagation of chaos with respect to (initial) data sets. Consider, for exampl…
Existence, uniqueness and propagation of chaos for general McKean-Vlasov and mean-field BSDEs
Antonis Papapantoleon, Alexandros Saplaouras, Stefanos Theodorakopoulos
We consider backward stochastic differential equations (BSDEs) with mean-field and McKean-Vlasov interaction in their generators in a general setting, where the drivers are square-…
Improved model-free bounds for multi-asset options using option-implied information and deep learning
Evangelia Dragazi, Shuaiqiang Liu, Antonis Papapantoleon
We consider the computation of model-free bounds for multi-asset options in a setting that combines dependence uncertainty with additional information on the dependence structure.…
Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options
Christian Bayer, Chiheb Ben Hammouda, Antonis Papapantoleon +2
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier do…