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Arbitrage-free neural-SDE market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 30 (2023) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10014390284
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Transition probability of Brownian motion in the octant and its application to default modelling
Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph - In: Applied mathematical finance 25 (2018) 5/6, pp. 434-465
Persistent link: https://www.econbiz.de/10012129173
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Detecting and repairing arbitrage in traded option prices
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 27 (2020) 5, pp. 345-373
Persistent link: https://www.econbiz.de/10012501620
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Hedging option books using neural-sde market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401
Persistent link: https://www.econbiz.de/10014323483