Narayan Ganesan

SMBC Capital Markets

Quantitative Strategist

277 Park Ave

New York, NY 10172

United States

  • SMBC Capital Markets

SCHOLARLY PAPERS

4

DOWNLOADS

553

TOTAL CITATIONS

8

Scholarly Papers (4)

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1.

Calibrating Local Volatility Models with Stochastic Drift and Diffusion

Orcan Ogetbil, Narayan Ganesan, and Bernhard Hientzsch. Calibrating local volatility models with stochastic drift and diffusion. International Journal of Theoretical and Applied Finance, 25(02):2250011, 2022
Number of pages: 44 Posted: 17 Nov 2020 Last Revised: 08 May 2023
Orcan Ogetbil, Narayan Ganesan and Bernhard Hientzsch
Wells Fargo Bank - Corporate Model Risk Management, SMBC Capital Markets and Wells Fargo Bank
Downloads 158 (370,338)
Citation 2

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Monte Carlo, Calibration, Local Volatility, Stochastic Rates, Stochastic Local Volatility

2.

Backward Deep BSDE Methods and Applications to Nonlinear Problems

Number of pages: 25 Posted: 09 Jul 2020
Jessica (Yajie) Yu, Bernhard Hientzsch and Narayan Ganesan
Wells Fargo Bank, Wells Fargo Bank and SMBC Capital Markets
Downloads 136 (417,931)
Citation 3

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3.

Estimating Future VaR from Value Samples and Applications to Future Initial Margin

Number of pages: 26 Posted: 26 Apr 2021
Narayan Ganesan and Bernhard Hientzsch
SMBC Capital Markets and Wells Fargo Bank
Downloads 130 (432,977)

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4.

Pricing Barrier Options with DeepBSDEs

Number of pages: 20 Posted: 16 Jun 2020 Last Revised: 17 Jun 2020
Narayan Ganesan, Jessica (Yajie) Yu and Bernhard Hientzsch
SMBC Capital Markets, Wells Fargo Bank and Wells Fargo Bank
Downloads 129 (435,527)
Citation 3

Abstract:

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