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Found 5 papers, 1 papers with code
Perpetual Futures Pricing
In particular, we show that the futures price is given by the risk-neutral expectation of the spot sampled at a random time that reflects the intensity of the price anchoring.
Deep Smoothing of the Implied Volatility Surface
Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other financial instruments.
Copulas as High-Dimensional Generative Models: Vine Copula Autoencoders
We introduce the vine copula autoencoder (VCAE), a flexible generative model for high-dimensional distributions built in a straightforward three-step procedure.
Option Pricing with Orthogonal Polynomial Expansions
We derive analytic series representations for European option prices in polynomial stochastic volatility models.
Linear Credit Risk Models
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors.
