3 papers
q-fin.PM2024
Neural Networks for Portfolio-Level Risk Management: Portfolio Compression, Static Hedging, Counterparty Credit Risk Exposures and Impact on Capital Requirement
Vikranth Lokeshwar Dhandapani, Shashi Jain
In this paper, we present an artificial neural network framework for portfolio compression of a large portfolio of European options with varying maturities (target portfolio) by a…
q-fin.CP2024
Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk
Vikranth Lokeshwar Dhandapani, Shashi Jain
This paper presents a Monte-Carlo-based artificial neural network framework for pricing Bermudan options, offering several notable advantages. These advantages encompass the effici…
q-fin.CP2023
Data-driven Approach for Static Hedging of Exchange Traded Options
Vikranth Lokeshwar Dhandapani, Shashi Jain
This paper presents a data-driven interpretable machine learning algorithm for semi-static hedging of Exchange Traded options, considering transaction costs with efficient run-time…