19 citations · 39 across the 15 of their papers we have counts for
17 papers
Unsupervised correspondence with combined geometric learning and imaging for radiotherapy applications
Edward G. A. Henderson, Marcel van Herk, Andrew F. Green +1
The aim of this study was to develop a model to accurately identify corresponding points between organ segmentations of different patients for radiotherapy applications. A model fo…
Deeply Learning Derivatives
Ryan Ferguson, Andrew Green
This paper uses deep learning to value derivatives. The approach is broadly applicable, and we use a call option on a basket of stocks as an example. We show that the deep learning…
XVA at the Exercise Boundary
Andrew Green, Chris Kenyon
XVA is a material component of a trade valuation and hence it must impact the decision to exercise options within a given netting set. This is true for both unsecured trades and se…
Option-Based Pricing of Wrong Way Risk for CVA
Chris Kenyon, Andrew Green
The two main issues for managing wrong way risk (WWR) for the credit valuation adjustment (CVA, i.e. WW-CVA) are calibration and hedging. Hence we start from a novel model-free wor…
Which measure for PFE? The Risk Appetite Measure, A
Chris Kenyon, Andrew Green, Mourad Berrahoui
Potential Future Exposure (PFE) is a standard risk metric for managing business unit counterparty credit risk but there is debate on how it should be calculated. The debate has bee…
Dirac Processes and Default Risk
Chris Kenyon, Andrew Green
We introduce Dirac processes, using Dirac delta functions, for short-rate-type pricing of financial derivatives. Dirac processes add spikes to the existing building blocks of diffu…