no code implementations • 5 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.
no code implementations • 31 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.