19 citations · 39 across the 15 of their papers we have counts for
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q-fin.CP2018★ 14 cited
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…
q-fin.CP2014
Efficient XVA Management: Pricing, Hedging, and Attribution using Trade-Level Regression and Global Conditioning
Chris Kenyon, Andrew Green
Banks must manage their trading books, not just value them. Pricing includes valuation adjustments collectively known as XVA (at least credit, funding, capital and tax), so managem…