Marc Sabate-Vidales

University of Edinburgh - School of Mathematics

James Clerk Maxwell Building

Peter Guthrie Tait Rd

Edinburgh, EH9 3FD

United Kingdom

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Scholarly Papers (1)

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Robust Pricing and Hedging via Neural SDEs

Number of pages: 34 Posted: 05 Aug 2020
University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics, University of Edinburgh - School of Mathematics and Imperial College London - Department of Mathematics
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Abstract:

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Stochastic Differential Equations, Deep Neural Network, Derivative Pricing, Stochastic Gradient Descent