Copertina

Learning the Exact SABR Model

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Rensi, Giorgia, Rossi, Pietro, Bianchetti, Marco
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Computational Finance Pricing of Securities Risk Management
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis
di: Bianchetti, Marco, et al.
Pubblicazione: (2015)

What Does Deep Hedging Actually Learn? Delta Corrections, Regime Fragility, and Symbolic Distillation
di: Zernikov, Kirill
Pubblicazione: (2026)

How to choose my stochastic volatility parameters? A review
di: Floc'h, Fabien Le
Pubblicazione: (2025)

Counterexamples for FX Options Interpolations -- Part I
di: Healy, Jherek
Pubblicazione: (2025)

Pricing and hedging of decentralised lending contracts
di: Szpruch, Lukasz, et al.
Pubblicazione: (2024)

Efficient Monte Carlo Valuation of Corporate Bonds in Financial Networks
di: Ahn, Dohyun, et al.
Pubblicazione: (2026)

Optimizing Neural Networks for Bermudan Option Pricing: Convergence Acceleration, Future Exposure Evaluation and Interpolation in Counterparty Credit Risk
di: Dhandapani, Vikranth Lokeshwar, et al.
Pubblicazione: (2024)

The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class C3 for option prices
di: Floc'h, Fabien Le
Pubblicazione: (2023)

Heston vol-of-vol and the VVIX
di: Healy, Jherek
Pubblicazione: (2025)

Fast and Stable Credit Gamma of CVA
di: Daluiso, Roberto
Pubblicazione: (2023)

Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference
di: Rakshit, Agni, et al.
Pubblicazione: (2024)

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero
di: Sovbetov, Yhlas
Pubblicazione: (2025)

Bridging Stochastic Control and Deep Hedging: Structural Priors for No-Transaction Band Networks
di: Arzel, Jules, et al.
Pubblicazione: (2026)

Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
di: Grzelak, Lech A.
Pubblicazione: (2022)

Benchmark-Neutral Risk-Minimization for insurance products and nonreplicable claims
di: Schmutz, Michael, et al.
Pubblicazione: (2025)

A Derivative Pricing Perspective on Liquidity Tokens in Constant Product Market Makers
di: Bichuch, Maxim, et al.
Pubblicazione: (2024)

Risk-neutral valuation of options under arithmetic Brownian motions
di: Liu, Qiang, et al.
Pubblicazione: (2024)

The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return
di: Martin, Richard J.
Pubblicazione: (2022)

Identifying Risk Variables From Raw ESG Data Using Its Hierarchical Structure
di: Chen, Zhi, et al.
Pubblicazione: (2025)

Orthogonal reparametrization of the Nelson-Siegel-Svensson interest rate curve model: conditioning, diagnostics, and identifiability
di: Flassig, Robert, et al.
Pubblicazione: (2026)

A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging
di: Peng, Xianhua, et al.
Pubblicazione: (2024)

Empirical Analysis of the Model-Free Valuation Approach: Hedging Gaps, Conservatism, and Trading Opportunities
di: Chen, Zixing, et al.
Pubblicazione: (2025)

CATNet: A geometric deep learning approach for CAT bond spread prediction in the primary market
di: Domfeh, Dixon, et al.
Pubblicazione: (2025)

Pricing of wrapped Bitcoin and Ethereum on-chain options
di: Zbandut, Anastasiia
Pubblicazione: (2025)

Quantifying firm-level risks from nature deterioration
di: Crisostomo, Ricardo
Pubblicazione: (2025)

Deep learning CAT bond valuation
di: Sester, Julian, et al.
Pubblicazione: (2025)

On the Estimation of Own Funds for Life Insurers: A Study of Direct, Indirect, and Control Variate Methods in a Risk-Neutral Pricing Framework
di: Wolf, Mark-Oliver
Pubblicazione: (2025)

On options-driven realized volatility forecasting: Information gains via rough volatility model
di: Fan, Zheqi, et al.
Pubblicazione: (2026)

Hidden Risks and Optionalities in American Options
di: Hassan, Noura El, et al.
Pubblicazione: (2026)

Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
di: Baldacci, Bastien, et al.
Pubblicazione: (2024)

Sovereign Debt Default and Climate Risk
di: Barucci, Emilio, et al.
Pubblicazione: (2025)

Economic Complexity Limits Accuracy of Price Probability Predictions by Gaussian Distributions
di: Olkhov, Victor
Pubblicazione: (2023)

The Black-Scholes-Merton dual equation
di: Guo, Shuxin, et al.
Pubblicazione: (2019)

No Fear of Discounting How to Manage the Transition from EONIA to ESTR
di: Bianchetti, Marco, et al.
Pubblicazione: (2025)

To VaR, or Not to VaR, That is the Question
di: Olkhov, Victor
Pubblicazione: (2021)

Risk valuation of quanto derivatives on temperature and electricity
di: Alfonsi, Aurélien, et al.
Pubblicazione: (2023)

Shifting the yield curve for fixed-income and derivatives portfolios
di: Bianchi, Michele Leonardo, et al.
Pubblicazione: (2024)

Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
di: Hanbali, Hamza, et al.
Pubblicazione: (2025)

On the valuation of life insurance policies for dependent coupled lives
di: Henshaw, Kira, et al.
Pubblicazione: (2024)

Consistent asset modelling with random coefficients and switches between regimes
di: Wolf, Felix L., et al.
Pubblicazione: (2024)