no code implementations • 17 Apr 2024 • Francisco Gómez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
This paper addresses the problem of pricing involved financial derivatives by means of advanced of deep learning techniques.
no code implementations • 5 Oct 2022 • Joel P. Villarino, Álvaro Leitao, José A. García-Rodríguez
The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models.
no code implementations • 31 Jan 2020 • Shuaiqiang Liu, Álvaro Leitao, Anastasia Borovykh, Cornelis W. Oosterlee
For the implied dividend yield, we formulate the inverse problem as a calibration problem and determine simultaneously the implied volatility and dividend yield.