6 papers
Amortizing the Calibration Triple: A Projection-Consistent Neural Operator for Local-Stochastic Volatility
Xiaozhen Wang, Anaïs Després, Martin Dureau +1
Local-stochastic volatility (LSV) combines vanilla marginals with richer smile dynamics, but calibration requires a slow, noisy and sequential McKean--Vlasov fixed point. We learn…
Climate-Dyna Deep Hedging for XVAs: Model-Based Reinforcement Learning, Residual Climate HVA, and Hedge-Instrument Discovery
Xiaozhen Wang, Francois Buet-Golfouse
For a trading desk, residual climate hedging valuation adjustment (HVA) is the climate cost left after its inherited hedge and any admissible overlay have been taken into account;…
Generative Transfer for Entropic Optimal Transport with Unknown Costs
Antoine Debouchage, Xiaozhen Wang, Zhenjie Ren +1
This paper addresses the practical challenge in Entropic Optimal Transport (EOT) where the underlying ground cost function is typically latent and unobserved. Rather than assuming…
Convergence of Sinkhorn's Algorithm for Entropic Martingale Optimal Transport Problem
Fan Chen, Giovanni Conforti, Zhenjie Ren +1
In this paper, we study the Entropic Martingale Optimal Transport (EMOT) problem on \mathbb{R}. The investigation of the EMOT problem arises in the calibration problem of the Stoch…
Entropic Optimal Transport Problem with Convex Functional Cost
Anna Kazeykina, Zhenjie Ren, Xiaozhen Wang +1
We study an entropic optimal transport problem in which the transport plan is penalized by a nonlinear convex functional acting on the coupling. We establish existence, uniqueness,…
Deciding Bank Interest Rates -- A Major-Minor Impulse Control Mean-Field Game Perspective
Fan Chen, Nicholas Martin, Po-Yu Chen +3
Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditi…