Sarp Kaya Acar

Quaternion Risk Management

54 Fitzwilliam Square North

Dublin, D02X308

Ireland

SCHOLARLY PAPERS

4

DOWNLOADS

603

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (4)

1.

Deep Option Pricing - Term Structure Models

Number of pages: 22 Posted: 09 Dec 2019
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 239 (147,755)
Citation 1

Abstract:

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Machine learning, Neural networks, Computational Finance, Term Structure Models, Control Variates, Option Pricing, Hull-White model, Trolle-Schwartz Model

2.

Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions

Number of pages: 21 Posted: 23 Mar 2018 Last Revised: 20 Jan 2021
University of Cape Town (UCT), University of Wuppertal - Applied Mathematics, Quaternion Risk Management, The African Institute of Financial Markets and Risk Management and Quaternion Risk Management
Downloads 149 (225,711)
Citation 1

Abstract:

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Dynamic Initial Margin, Least Squares Monte Carlo, Johnson Distributions

3.

The CV Makes the Difference – Control Variates for Neural Networks

Number of pages: 12 Posted: 25 Feb 2020 Last Revised: 27 Apr 2020
University of Wuppertal - Applied Mathematics, Quaternion Risk Management, Quaternion Risk Management and Quaternion Risk Management
Downloads 118 (270,545)
Citation 1

Abstract:

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machine learning, neural networks, control variates, Bermudan swaption, SABR, free SABR, Heston

4.

How Deep are Financial Models?

Number of pages: 13 Posted: 16 Jul 2020
Quaternion Risk Management, University of Wuppertal - Applied Mathematics, Quaternion Risk Management and Quaternion Risk Management
Downloads 97 (309,478)

Abstract:

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neural networks, model validation, SR 11-7, derivatives, risk management, pricing