19 citations · 30 across the 8 of their papers we have counts for
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q-fin.MF2022★ 1 cited
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints
Marc Chataigner, Areski Cousin, Stéphane Crépey +2
We explore the abilities of two machine learning approaches for no-arbitrage interpolation of European vanilla option prices, which jointly yield the corresponding local volatility…
q-fin.CP2022★ 2 cited
Pathwise CVA Regressions With Oversimulated Defaults
Lokman Abbas-Turki, Stéphane Crépey, Bouazza Saadeddine
We consider the computation by simulation and neural net regression of conditional expectations, or more general elicitable statistics, of functionals of processes . Here…