Lianjun Bai

JP Morgan

London

United Kingdom

SCHOLARLY PAPERS

2

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Top 35,649

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2,917

TOTAL CITATIONS

37

Scholarly Papers (2)

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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 XTX Markets
Downloads 2,263 (13,788)
Citation 30

Abstract:

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

2.

Multi-Asset Spot and Option Market Simulation

Number of pages: 21 Posted: 05 Feb 2022
Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Murray Phillip and Lianjun Bai
University of Kaiserslautern - Department of Mathematics, JP Morgan Chase, J.P. Morgan Chase & Co., University of Kaiserslautern - Department of Mathematics, XTX Markets, J.P. Morgan Chase & Co. and JP Morgan
Downloads 654 (83,169)
Citation 7

Abstract:

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volatility surface, generative modeling, mathematical finance, time series, neural networks, options, normalizing flows, multi-asset markets, generative adversarial networks, autoencoder, copulas, risk management, hedging