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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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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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12/03/2021
Estimating the Value-at-Risk by Temporal VAE
Estimation of the value-at-risk (VaR) of a large portfolio of assets is ...
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06/11/2020
A Generalised Linear Model Framework for Variational Autoencoders based on Exponential Dispersion Families
Although variational autoencoders (VAE) are successfully used to obtain ...
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03/26/2020
A lower bound for the ELBO of the Bernoulli Variational Autoencoder
We consider a variational autoencoder (VAE) for binary data. Our main in...
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09/05/2019
Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies
Under the Solvency II regime, life insurance companies are asked to deri...
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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