1 code implementation • 10 Aug 2021 • Brian Ning, Sebastian Jaimungal, Xiaorong Zhang, Maxime Bergeron
We propose a hybrid method for generating arbitrage-free implied volatility (IV) surfaces consistent with historical data by combining model-free Variational Autoencoders (VAEs) with continuous time stochastic differential equation (SDE) driven models.
1 code implementation • 23 Apr 2019 • Philippe Casgrain, Brian Ning, Sebastian Jaimungal
Model-free learning for multi-agent stochastic games is an active area of research.
no code implementations • 17 Dec 2018 • Brian Ning, Franco Ho Ting Lin, Sebastian Jaimungal
Optimal trade execution is an important problem faced by essentially all traders.