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A neural network-based framework for financial model calibration

Journal of mathematics in industry, 2019-09, Vol.9 (1), p.1-28, Article 9

2019

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Pricing options and computing implied volatilities using neural networks

Risks (Basel), 2019-02, Vol.7 (1), p.1-22

2019

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A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning

Sensors (Basel, Switzerland), 2023-07, Vol.23 (13), p.6179

2023

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Estimation of reinforced urn processes under left-truncation and right-censoring

Royal Society open science, 2023-03, Vol.10 (3), p.221223-221223

2023

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On the wavelet-based SWIFT method for backward stochastic differential equations

IMA journal of numerical analysis, 2018-04, Vol.38 (2), p.1051-1083

2018

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A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

SIAM journal on financial mathematics, 2011-01, Vol.2 (1), p.439-463

2011

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On a Multigrid Method for Tempered Fractional Diffusion Equations

Fractal and fractional, 2021-12, Vol.5 (4), p.145

2021

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The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Risks (Basel), 2022-03, Vol.10 (3), p.1-27

2022

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Monte Carlo simulation of SDEs using GANs

Japan journal of industrial and applied mathematics, 2023-09, Vol.40 (3), p.1359-1390

2023

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A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

Applied mathematics and computation, 2021-11, Vol.408, p.126332, Article 126332

2021

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The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions

IMA journal of numerical analysis, 2024-02

2024

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THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

International journal of theoretical and applied finance, 2014-11, Vol.17 (7), p.1450045-1450045

2014

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Model-free stochastic collocation for an arbitrage-free implied volatility, part II

Risks (Basel), 2019-03, Vol.7 (1), p.1-21

2019

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An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Journal of mathematics in industry, 2020-02, Vol.10 (1), p.1-19, Article 7

2020

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Quantifying credit portfolio losses under multi-factor models

International journal of computer mathematics, 2019-11, Vol.96 (11), p.2135-2156

2019

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Stochastic grid bundling method for backward stochastic differential equations

International journal of computer mathematics, 2019-11, Vol.96 (11), p.2272-2301

2019

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A multigrid multilevel Monte Carlo method for transport in the Darcy–Stokes system

Journal of computational physics, 2018-10, Vol.371, p.382-408

2018

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Robust Pricing of European Options with Wavelets and the Characteristic Function

SIAM journal on scientific computing, 2013-01, Vol.35 (5), p.B1055-B1084

2013

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Evaluation of integrals with fractional Brownian motion for different Hurst indices

International journal of computer mathematics, 2023-04, Vol.100 (4), p.847-866

2023

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From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions

Insurance, mathematics & economics, 2018-01, Vol.78, p.13-29

2018

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On the Heston Model with Stochastic Interest Rates

SIAM journal on financial mathematics, 2011-01, Vol.2 (1), p.255-286

2011

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Extending the BEM for Elastic Contact Problems Beyond the Half-Space Approach

Mathematical modelling and analysis, 2016-01, Vol.21 (1), p.119-141

2016

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Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

Computational economics, 2017-03, Vol.49 (3), p.433-458

2017

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A Simple and Efficient Segregated Smoother for the Discrete Stokes Equations

SIAM journal on scientific computing, 2014-01, Vol.36 (3), p.A1187-A1206

2014

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Energy‐consistent formulation of the pressure‐free two‐fluid model

International journal for numerical methods in fluids, 2023-05, Vol.95 (5), p.869-898

2023

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A neural network-based framework for financial model calibration

Pricing options and computing implied volatilities using neural networks

A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning

Estimation of reinforced urn processes under left-truncation and right-censoring

On the wavelet-based SWIFT method for backward stochastic differential equations

A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

On a Multigrid Method for Tempered Fractional Diffusion Equations

The seven-league scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

Monte Carlo simulation of SDEs using GANs

A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions

THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION

Model-free stochastic collocation for an arbitrage-free implied volatility, part II

An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA

Quantifying credit portfolio losses under multi-factor models

Stochastic grid bundling method for backward stochastic differential equations

A multigrid multilevel Monte Carlo method for transport in the Darcy–Stokes system

Robust Pricing of European Options with Wavelets and the Characteristic Function

Evaluation of integrals with fractional Brownian motion for different Hurst indices

From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions

On the Heston Model with Stochastic Interest Rates

Extending the BEM for Elastic Contact Problems Beyond the Half-Space Approach

Accurate and Robust Numerical Methods for the Dynamic Portfolio Management Problem

A Simple and Efficient Segregated Smoother for the Discrete Stokes Equations

Energy‐consistent formulation of the pressure‐free two‐fluid model

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