no code implementations • 18 Apr 2023 • Raj G. Patel, Tomas Dominguez, Mohammad Dib, Samuel Palmer, Andrea Cadarso, Fernando De Lope Contreras, Abdelkader Ratnani, Francisco Gomez Casanova, Senaida Hernández-Santana, Álvaro Díaz-Fernández, Eva Andrés, Jorge Luis-Hita, Escolástico Sánchez-Martínez, Samuel Mugel, Roman Orus
The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo simulation has become the industry standard.
no code implementations • 28 Dec 2022 • Raj G. Patel, Chia-Wei Hsing, Serkan Sahin, Samuel Palmer, Saeed S. Jahromi, Shivam Sharma, Tomas Dominguez, Kris Tziritas, Christophe Michel, Vincent Porte, Mustafa Abid, Stephane Aubert, Pierre Castellani, Samuel Mugel, Roman Orus
Recent advances in deep learning have enabled us to address the curse of dimensionality (COD) by solving problems in higher dimensions.
