Artificial Neural Networks for SABR Model Calibration & Hedging

SABR model is a reference in financial industry to price fixed income derivatives, thanks to its ability to capture the volatility smile. The goal of this thesis is to develop a technique based on SABR model which captures all non-linearities, be more robust, gives tradable parameters instantaneously and gives also instantaneously robust hedging parameters

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Year of publication:	[2022]
Authors:	Thorin, Hugues
Publisher:	[S.l.] : SSRN
Subject:	Neuronale Netze \| Neural networks \| Hedging \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process

Extent:	1 Online-Ressource (74 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 28, 2021 erstellt
Other identifiers:	10.2139/ssrn.3995626 [DOI]
Classification:	C60 - Mathematical Methods and Programming. General ; G23 - Pension Funds; Other Private Financial Institutions ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013298466