Magnus Wiese

University of Kaiserslautern - Department of Mathematics

D-67653 Kaiserslautern

Germany

SCHOLARLY PAPERS

2

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5

Scholarly Papers (2)

1.

Deep Hedging: Learning to Simulate Equity Option Markets

Number of pages: 13 Posted: 14 Nov 2019
Magnus Wiese, Lianjun Bai, Ben Wood and Hans Buehler
University of Kaiserslautern - Department of Mathematics, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 1,086 (25,010)
Citation 7

Abstract:

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volatility surface, generative modeling, generative adversarial networks, mathematical finance, time series, neural networks, options

2.

Conditional Sig-Wasserstein GANs for Time Series Generation

Number of pages: 32 Posted: 02 Jul 2020
University College London - Department of Mathematics, University of Edinburgh - School of Mathematics, University of Kaiserslautern - Department of Mathematics, University College London - Department of Mathematics and University College London - Department of Mathematics
Downloads 123 (282,803)
Citation 1

Abstract:

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Conditional Generative Adversarial Network, Neural Networks, Time Series, Rough Path Theory, Generative Modelling, Wasserstein Distance, Mathematical Finance, Signatures