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Estimating risks of option books using neural-SDE market models - MaRDI portal

Estimating risks of option books using neural-SDE market models

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Publication:6391130

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arXiv2202.07148MaRDI QIDQ6391130

Christoph Reisinger, Sheng Wang, Samuel N. Cohen

Publication date: 14 February 2022

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Neural nets and related approaches to inference from stochastic processes (62M45)

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