Zan Zuric

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

859

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Deep Hedging under Rough Volatility

Number of pages: 25 Posted: 18 Feb 2021
ETH Z├╝rich - Department of Mathematics, ETH Zurich and Imperial College London - Department of Mathematics
Downloads 727 (43,208)

Abstract:

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Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning, Rough Volatility

2.

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
Downloads 132 (264,829)
Citation 2

Abstract:

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