2 citations · 2 across the 4 of their papers we have counts for
6 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…
Well-posedness of a Hamilton-Jacobi-Bellman equation in the strong coupling regime
Serena Della Corte, Richard C. Kraaij
We prove comparison principle for viscosity solutions of a Hamilton-Jacobi-Bellman equation in a strong coupling regime considering a stationary and a time-dependent version of the…
Machine learning for option pricing: an empirical investigation of network architectures
Serena Della Corte, Laurens Van Mieghem, Antonis Papapantoleon +1
We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output da…
Uniform Sobolev, interpolation and geometric Calderón-Zygmund inequalities for graph hypersurfaces
Serena Della Corte, Antonia Diana, Carlo Mantegazza
In this note, our aim is to show that families of smooth hypersurfaces of which are all --close enough to a fixed compact, embedded one, have uniformly bound…
Large deviations for Markov processes with switching and homogenisation via Hamilton-Jacobi-Bellman equations
Serena Della Corte, Richard C. Kraaij
We consider the context of molecular motors modelled by a diffusion process driven by the gradient of a weakly periodic potential that depends on an internal degree of freedom. The…
Global Existence and Stability for the Modified Mullins-Sekerka and Surface Diffusion Flow
Serena Della Corte, Antonia Diana, Carlo Mantegazza
In this survey we present the state of the art about the asymptotic behavior and stability of the modified Mullins--Sekerka flow and the surface diffusion flow of smooth sets, main…