67 citations · 101 across the 16 of their papers we have counts for
3 papers · 1 filter
Deep Quadratic Hedging
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from t…
A deep solver for BSDEs with jumps
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca +1
The aim of this work is to propose an extension of the deep solver by Han, Jentzen, E (2018) to the case of forward backward stochastic differential equations (FBSDEs) with jumps.…
CBI-time-changed Lévy processes
Claudio Fontana, Alessandro Gnoatto, Guillaume Szulda
We introduce and study the class of CBI-time-changed Lévy processes (CBITCL), obtained by time-changing a Lévy process with respect to an integrated continuous-state branching proc…