Machine learning for quantitative finance: fast derivative pricing, hedging and fitting

DOI10.1080/14697688.2018.1495335zbMath1406.91439OpenAlexW2884544303WikidataQ129453877 ScholiaQ129453877MaRDI QIDQ4619509

Sofie Reyners, Wim Schoutens, Jan De Spiegeleer, Dilip B. Madan

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/633283

zbMATH Keywords

Gaussian processeshedgingmachine learningderivative pricingvolatility surface

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• THE RANGE OF TRADED OPTION PRICES
• Option Pricing With V. G. Martingale Components¹
• The Variance Gamma Process and Option Pricing
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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