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07/19/2023
Sig-Splines: universal approximation and convex calibration of time series generative models
We propose a novel generative model for multivariate discrete-time time ...
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07/15/2022
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
We present a method for finding optimal hedging policies for arbitrary i...
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02/28/2022
Risk-Neutral Market Simulation
We develop a risk-neutral spot and equity option market simulator for a ...
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12/13/2021
Multi-Asset Spot and Option Market Simulation
We construct realistic spot and equity option market simulators for a si...
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11/01/2021
Sig-Wasserstein GANs for Time Series Generation
Synthetic data is an emerging technology that can significantly accelera...
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06/09/2020
Conditional Sig-Wasserstein GANs for Time Series Generation
Generative adversarial networks (GANs) have been extremely successful in...
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11/05/2019
Deep Hedging: Learning to Simulate Equity Option Markets
We construct realistic equity option market simulators based on generati...
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07/15/2019
Quant GANs: Deep Generation of Financial Time Series
Modeling financial time series by stochastic processes is a challenging ...
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07/07/2019
