2 papers
q-fin.TR2023
Residual U-net with Self-Attention to Solve Multi-Agent Time-Consistent Optimal Trade Execution
Andrew Na, Justin Wan
In this paper, we explore the use of a deep residual U-net with self-attention to solve the the continuous time time-consistent mean variance optimal trade execution problem for mu…
q-fin.CP2023
Computing Volatility Surfaces using Generative Adversarial Networks with Minimal Arbitrage Violations
Andrew Na, Meixin Zhang, Justin Wan
In this paper, we propose a generative adversarial network (GAN) approach for efficiently computing volatility surfaces. The idea is to make use of the special GAN neural architect…