Alexandre Pachoud

J.P. Morgan Chase & Co.

60 Wall St.

New York, NY 10260

United States

SCHOLARLY PAPERS

1

DOWNLOADS

654

TOTAL CITATIONS

7

Scholarly Papers (1)

1.

Multi-Asset Spot and Option Market Simulation

Number of pages: 21 Posted: 05 Feb 2022
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