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Generative modeling for time series via Schr{ö}dinger bridge
We propose a novel generative model for time series based on Schr{\"o}dinger bridge (SB) approach.
Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing
We develop policy gradients methods for stochastic control with exit time in a model-free setting.
Pricing Bermudan options using regression trees/random forests
At each time step, one needs to compare the immediate exercise value with the continuation value and decide to exercise as soon as the exercise value is strictly greater than the continuation value.
Building arbitrage-free implied volatility: Sinkhorn's algorithm and variants
We consider the classical problem of building an arbitrage-free implied volatility surface from bid-ask quotes.
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