3 papers
q-fin.MF2024
Risk-Neutral Generative Networks
Zhonghao Xian, Xing Yan, Cheuk Hang Leung +1
We present a generative approach to price options and extract risk-neutral densities from the market. Specifically, we model the underlying log-returns on the time-to-maturity cont…
stat.AP2024
Parsimonious Generative Machine Learning for Non-Gaussian Tail Modeling
Xing Yan, Yue Zhao, Qi Wu +1
The presence of non-Gaussian tails is a prevalent characteristic in many financial modeling scenarios, necessitating the use of complex non-Gaussian distributions such as the gener…
cs.LG2024
Invariant Random Forest: Tree-Based Model Solution for OOD Generalization
Yufan Liao, Qi Wu, Xing Yan
Out-Of-Distribution (OOD) generalization is an essential topic in machine learning. However, recent research is only focusing on the corresponding methods for neural networks. This…