| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
22 |
| A neural network-based framework for financial model calibration |
0 |
0 |
1 |
24 |
0 |
0 |
5 |
102 |
| An Equity-Interest Rate Hybrid Model With Stochastic Volatility and the Interest Rate Smile |
0 |
0 |
1 |
101 |
0 |
0 |
5 |
313 |
| Cheapest-to-Deliver Collateral: A Common Factor Approach |
0 |
0 |
1 |
3 |
0 |
0 |
2 |
16 |
| Efficient Pricing and Calibration of High-Dimensional Basket Options |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
10 |
| Fast Sampling from Time-Integrated Bridges using Deep Learning |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
14 |
| Monte Carlo Simulation of SDEs using GANs |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
34 |
| On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500 |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
10 |
| On The Heston Model with Stochastic Interest Rates |
0 |
0 |
0 |
91 |
0 |
0 |
0 |
270 |
| On cross-currency models with stochastic volatility and correlated interest rates |
1 |
2 |
3 |
70 |
1 |
7 |
14 |
218 |
| Pricing and Hedging Prepayment Risk in a Mortgage Portfolio |
0 |
0 |
1 |
19 |
0 |
0 |
11 |
51 |
| Relevance of Wrong-Way Risk in Funding Valuation Adjustments |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
8 |
| Sensitivities and Hedging of the Collateral Choice Option |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
2 |
| Sparse Grid Method for Highly Efficient Computation of Exposures for xVA |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
11 |
| The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
22 |
| Total Working Papers |
1 |
2 |
7 |
357 |
1 |
8 |
45 |
1,103 |
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