31 citations · 152 across the 38 of their papers we have counts for
3 papers · 1 filter
Computing Systemic Risk Measures with Graph Neural Networks
Lukas Gonon, Thilo Meyer-Brandis, Niklas Weber
This paper investigates systemic risk measures for stochastic financial networks of explicitly modelled bilateral liabilities. We extend the notion of systemic risk measures from B…
Operator Deep Smoothing for Implied Volatility
Ruben Wiedemann, Antoine Jacquier, Lukas Gonon
We devise a novel method for nowcasting implied volatility based on neural operators. Better known as implied volatility smoothing in the financial industry, nowcasting of implied…
Deep Hedging
Hans Bühler, Lukas Gonon, Josef Teichmann +1
We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits usi…