Search Results for author: Christoph Reisinger

Found 11 papers, 5 papers with code

Arbitrage-free neural-SDE market models

1 code implementation24 May 2021 Samuel N. Cohen, Christoph Reisinger, Sheng Wang

Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books.

Time Series

Simulation of conditional expectations under fast mean-reverting stochastic volatility models

no code implementations17 Dec 2020 Andrei Cozma, Christoph Reisinger

In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities.

Numerical Analysis Numerical Analysis Computational Finance

Understanding Deep Architecture with Reasoning Layer

1 code implementation NeurIPS 2020 Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song

Recently, there is a surge of interest in combining deep learning models with reasoning in order to handle more sophisticated learning tasks.

Detecting and repairing arbitrage in traded option prices

1 code implementation21 Aug 2020 Samuel N. Cohen, Christoph Reisinger, Sheng Wang

In addition, we show that removing arbitrage from prices data by our repair method can improve model calibration with enhanced robustness and reduced calibration error.

Density Estimation

Understanding Deep Architectures with Reasoning Layer

1 code implementation24 Jun 2020 Xinshi Chen, Yufei Zhang, Christoph Reisinger, Le Song

Recently, there has been a surge of interest in combining deep learning models with reasoning in order to handle more sophisticated learning tasks.

Deep xVA solver -- A neural network based counterparty credit risk management framework

1 code implementation6 May 2020 Alessandro Gnoatto, Athena Picarelli, Christoph Reisinger

In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.

Regularity and stability of feedback relaxed controls

no code implementations9 Jan 2020 Christoph Reisinger, Yufei Zhang

This paper proposes a relaxed control regularization with general exploration rewards to design robust feedback controls for multi-dimensional continuous-time stochastic exit time problems.

Decision Making

A neural network based policy iteration algorithm with global $H^2$-superlinear convergence for stochastic games on domains

no code implementations5 Jun 2019 Kazufumi Ito, Christoph Reisinger, Yufei Zhang

In this work, we propose a class of numerical schemes for solving semilinear Hamilton-Jacobi-Bellman-Isaacs (HJBI) boundary value problems which arise naturally from exit time problems of diffusion processes with controlled drift.

Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

no code implementations15 Mar 2019 Christoph Reisinger, Yufei Zhang

In this paper, we establish that for a wide class of controlled stochastic differential equations (SDEs) with stiff coefficients, the value functions of corresponding zero-sum games can be represented by a deep artificial neural network (DNN), whose complexity grows at most polynomially in both the dimension of the state equation and the reciprocal of the required accuracy.

Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method

no code implementations21 Jan 2017 Andrei Cozma, Matthieu Mariapragassam, Christoph Reisinger

We propose a novel and generic calibration technique for four-factor foreign-exchange hybrid local-stochastic volatility models with stochastic short rates.

Numerical analysis of an extended structural default model with mutual liabilities and jump risk

no code implementations30 Dec 2016 Vadim Kaushansky, Alexander Lipton, Christoph Reisinger

We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks.

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