375 citations · 608 across the 47 of their papers we have counts for
52 papers
RIDGE: An Autonomous Framework for Validation and Method Discovery in LLM-Generated Option Pricing
Liexin Cheng, Xue Cheng, Shuaiqiang Liu +1
Automated code generation is becoming an important tool in quantitative finance, where large language models can generate option pricing implementations directly from mathematical…
An Analytic COS Method for Compound Option Valuation
Zhipeng Huang, Cornelis W. Oosterlee
We develop an analytic Fourier cosine (COS) method for the valuation of compound options. By deriving closed-form expressions for the cosine coefficients at all compound stages, th…
A Damped SWIFT Method for European Option Pricing: Coefficients Decay, Truncation, and Error Analysis
Davide Trevisani, José Germán López Salas, Chiheb Ben Hammouda +1
We introduce a damped variant of the Shannon Wavelet Inverse Fourier Technique (SWIFT) for pricing European options when the characteristic function of the underlying model is avai…
The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
Zhipeng Huang, Cornelis W. Oosterlee
We propose the Compound BSDE method, a fully forward, deep-learning-based approach for solving a broad class of problems in financial mathematics, including optimal stopping. The m…
SigMA: Path Signatures and Multi-head Attention for Learning Parameters in fBm-driven SDEs
Xianglin Wu, Chiheb Ben Hammouda, Cornelis W. Oosterlee
Stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm) are increasingly used to model systems with rough dynamics and long-range dependence, such as th…
Convergence of Markovian Iteration for -Coupled FBSDEs via Gaussian Smoothing
Zhipeng Huang, Cornelis W. Oosterlee
In this paper, we investigate the Markovian iteration method for coupled forward-backward stochastic differential equations (FBSDEs) with drift and deterministic…