1 citations · 1 across the 3 of their papers we have counts for
5 papers
Generating drawdown-realistic financial price paths using path signatures
Emiel Lemahieu, Kris Boudt, Maarten Wyns
A novel generative machine learning approach for the simulation of sequences of financial price data with drawdowns quantifiably close to empirical data is introduced. Applications…
A Finite Volume - Alternating Direction Implicit Approach for the Calibration of Stochastic Local Volatility Models
Maarten Wyns, Jacques Du Toit
Calibration of stochastic local volatility (SLV) models to their underlying local volatility model is often performed by numerically solving a two-dimensional non-linear forward Ko…
An adjoint method for the exact calibration of Stochastic Local Volatility models
Maarten Wyns, Karel in 't Hout
This paper deals with the exact calibration of semidiscretized stochastic local volatility (SLV) models to their underlying semidiscretized local volatility (LV) models. Under an S…
Convergence analysis of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with nonsmooth initial data
Maarten Wyns
In this paper we consider the Modified Craig-Sneyd (MCS) scheme which forms a prominent time stepping method of the Alternating Direction Implicit type for multidimensional time-de…
Convergence of the Modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term
Karel in 't Hout, Maarten Wyns
We consider the Modified Craig-Sneyd (MCS) scheme which forms a prominent time stepping method of the Alternating Direction Implicit type for multidimensional time-dependent convec…