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KrigHedge: GP Surrogates for Delta Hedging
We investigate a machine learning approach to option Greeks approximatio...
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Applications of the Deep Galerkin Method to Solving Partial Integro-Differential and Hamilton-Jacobi-Bellman Equations
We extend the Deep Galerkin Method (DGM) introduced in Sirignano and Spi...
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Yuri Saporito
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