Search Results for author: Álvaro Leitao

Found 2 papers, 0 papers with code

Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk

no code implementations5 Oct 2022 Joel P. Villarino, Álvaro Leitao, José A. García-Rodríguez

The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models.

On Calibration Neural Networks for extracting implied information from American options

no code implementations31 Jan 2020 Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee

For the implied dividend yield, we formulate the inverse problem as a calibration problem and determine simultaneously the implied volatility and dividend yield.

BIG-bench Machine Learning

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