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"It is a fairly complete introduction accessible to advanced undergraduates; Also covers more advanced aspects of interest rate modeling; Includes many graphs and code illustrating the modeling of interest rates; Each chapter is accompanied with exercises and their complete solutions."
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We present an algorithm for the calibration of local volatility from market option prices through deep self-consistent learning, by approximating market option prices and local volatility using deep neural networks. Our method uses the initial-boundary value problem of the underlying Dupire's...
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