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Found 12 papers, 1 papers with code
Supplement Liquidity based modeling of asset price bubbles via random matching
This is a supplement to the paper "Liquidity based modeling of asset price bubbles via random matching".
Approximation Rates for Deep Calibration of (Rough) Stochastic Volatility Models
We derive quantitative error bounds for deep neural networks (DNNs) approximating option prices on a $d$-dimensional risky asset as functions of the underlying model parameters, payoff parameters and initial conditions.
Collective Arbitrage and the Value of Cooperation
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a setting where agents are investing in their markets and are allowed to cooperate through exchanges.
Liquidity based modeling of asset price bubbles via random matching
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25].
Detecting asset price bubbles using deep learning
In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices.
Reduced-form framework for multiple ordered default times under model uncertainty
In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times.
Neural network approximation for superhedging prices
First we prove that the $\alpha$-quantile hedging price converges to the superhedging price at time $0$ for $\alpha$ tending to $1$, and show that the $\alpha$-quantile hedging price can be approximated by a neural network-based price.
A dynamic version of the super-replication theorem under proportional transaction costs
We extend the super-replication theorems of [27] in a dynamic setting, both in the num\'eraire-based as well as in the num\'eraire-free setting.
Asset Price Bubbles in market models with proportional transaction costs
We study asset price bubbles in market models with proportional transaction costs $\lambda\in (0, 1)$ and finite time horizon $T$ in the setting of [49].
A unified approach to xVA with CSA discounting and initial margin
In this paper we extend the existing literature on xVA along three directions.
Pricing of Securities
Extended Reduced-Form Framework for Non-Life Insurance
In this paper we propose a general framework for modeling an insurance liability cash flow in continuous time, by generalizing the reduced-form framework for credit risk and life insurance.
The Long-Term Swap Rate and a General Analysis of Long-Term Interest Rates
Furthermore we analyse the relationship between the long-term swap rate, the long-term yield, see Biagini et al. [2018], Biagini and H\"artel [2014], and El Karoui et al. [1997], and the long-term simple rate, considered in Brody and Hughston [2016] as long-term discounting rate.
