4 papers
Generative Pricing of Basket Options via Signature-Conditioned Mixture Density Networks
Hasib Uddin Molla, Antony Ware, Ilnaz Asadzadeh +1
We present a generative framework for pricing European-style basket options by learning the conditional terminal distribution of the log arithmetic-weighted basket return. A Mixtur…
Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing
Jinniao Qiu, Antony Ware, Yang Yang
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price vola…
A weighted multilevel Monte Carlo method
Yu Li, Antony Ware
The Multilevel Monte Carlo (MLMC) method has been applied successfully in a wide range of settings since its first introduction by Giles (2008). When using only two levels, the met…
Semi-parametric time series modelling with autocopulas
Antony Ware, Ilnaz Asadzadeh
In this paper we present an application of the use of autocopulas for modelling financial time series showing serial dependencies that are not necessarily linear. The approach pres…