Image de couverture de livre

Nested Optimal Transport Distances

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Bontorno, Ruben, Hou, Songyan
Format:	Preprint
Publié:	2025
Sujets:	Machine Learning Computational Finance 91G60, 60G07, 65C60
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

A new architecture of high-order deep neural networks that learn martingales
par: Ninomiya, Syoiti, et autres
Publié: (2025)

Correct implied volatility shapes and reliable pricing in the rough Heston model
par: Boyarchenko, Svetlana, et autres
Publié: (2024)

American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework
par: Shah, Roshan
Publié: (2025)

Fast reliable pricing and calibration of the rough Heston model
par: Boyarchenko, Svetlana, et autres
Publié: (2025)

Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
par: Andersson, Kristoffer, et autres
Publié: (2025)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
par: Bourgey, Florian, et autres
Publié: (2021)

Affine models with path-dependence under parameter uncertainty and their application in finance
par: Geuchen, Benedikt, et autres
Publié: (2022)

A deep BSDE approach for the simultaneous pricing and delta-gamma hedging of large portfolios consisting of high-dimensional multi-asset Bermudan options
par: Negyesi, Balint, et autres
Publié: (2025)

Machine learning for option pricing: an empirical investigation of network architectures
par: Della Corte, Serena, et autres
Publié: (2023)

Error Analysis of Deep PDE Solvers for Option Pricing
par: Rou, Jasper
Publié: (2025)

The Compound BSDE Method: A Fully Forward Method for Option Pricing and Optimal Stopping Problems in Finance
par: Huang, Zhipeng, et autres
Publié: (2026)

A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models
par: Georgoulis, Emmanuil H., et autres
Publié: (2024)

Efficient simulation of a new class of Volterra-type SDEs
par: Bonesini, Ofelia, et autres
Publié: (2023)

A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
par: Kapllani, Lorenc, et autres
Publié: (2024)

A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
par: Kapllani, Lorenc, et autres
Publié: (2024)

Rough differential equations for volatility
par: Bonesini, Ofelia, et autres
Publié: (2024)

Computing Systemic Risk Measures with Graph Neural Networks
par: Gonon, Lukas, et autres
Publié: (2024)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
par: Bossu, Sebastien, et autres
Publié: (2025)

Optimal strategy and deep hedging for share repurchase programs
par: Corti, Stefano, et autres
Publié: (2026)

Time Deep Gradient Flow Method for pricing American options
par: Rou, Jasper
Publié: (2025)

A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
par: Papapantoleon, Antonis, et autres
Publié: (2024)

Deep learning interpretability for rough volatility
par: Yuan, Bo, et autres
Publié: (2024)

Uncertainty-Aware Deep Hedging
par: Poddar, Manan
Publié: (2026)

Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
par: Leung, Tim, et autres
Publié: (2023)

Hedging with memory: shallow and deep learning with signatures
par: Jaber, Eduardo Abi, et autres
Publié: (2025)

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
par: Alòs, Elisa, et autres
Publié: (2025)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
par: Choi, Jaehyuk, et autres
Publié: (2024)

Functional SDE approximation inspired by a deep operator network architecture
par: Eigel, Martin, et autres
Publié: (2024)

On the Weak Error for Local Stochastic Volatility Models
par: Friz, Peter K., et autres
Publié: (2025)

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
par: Dimitrov, Mara Kalicanin, et autres
Publié: (2025)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
par: Coffie, Emmanuel
Publié: (2025)

Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
par: Yang, Jiefei, et autres
Publié: (2024)

Reinforcement Learning for Speculative Trading under Exploratory Framework
par: Zhao, Yun, et autres
Publié: (2026)

High order approximations and simulation schemes for the log-Heston process
par: Alfonsi, Aurélien, et autres
Publié: (2024)

Pricing Quanto and Composite Contracts with Local-Correlation Models
par: Pallavicini, Andrea
Publié: (2025)

Rough volatility dynamics in commodity markets
par: Daluiso, Roberto, et autres
Publié: (2026)

Machine-learning regression methods for American-style path-dependent contracts
par: Gambara, Matteo, et autres
Publié: (2023)

A Monotone Limit Approach to Entropy-Regularized American Options
par: Chee, Daniel, et autres
Publié: (2026)

Rough volatility, path-dependent PDEs and weak rates of convergence
par: Bonesini, Ofelia, et autres
Publié: (2023)

On the short-time behaviour of up-and-in barrier options using Malliavin calculus
par: Burés, Òscar
Publié: (2025)