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non linear SDEs, particle method, calibration, Malliavin calculus
Bergomi's model, $2$-factor log-normal, Malliavin's calculus, Markovian projection
Heat kernel expansion, hyperbolic geometry, asymptotic smile, SABR with a mean-reversion term
Stochastic Libor Market Model, Asymptotic smile
Implied volatility, local volatility, approximation, heat kernel expansion
BSDE, Stochastic Control, Machine Learning, CVA, Initial Margin
Uncertain volatility model, optimization of non-smooth function, backward stochastic differential equation, Monte-Carlo simulation, regression, Malliavin
Solvable diffusion process, supersymmetry, differential geometry
Local volatility model, stochastic volatility model, American options, calibration, discrete dividends
Optimal Transport, Generative Adversarial Networks, Wasserstein-GAN, Anomaly Detection
sub/super-replication, model-independent bounds, semi-infinite linear programming, duality, primal-dual interior-point, cutting-plane, risk-neutral weighted Monte-Carlo
stochastic dividends, local stochastic volatility model
calibration, interest rate models, swaption smile
local volatitlity, AD, Vega decomposition
Malliavin calculus, Functional derivative, Vega hedging, Local volatility model, Libor Market Model
counterparty risk valuation, branching diffusions, Galton-Watson tree, BSDE, super-diffusion, semi-linear PDE
Local volatility, jumps, nonlinear McKean, particle method
posting collateral, recurrent neural networks
model-independent pricing, Monge-Kantorovich transport problem, option arbitrage
Optimal control, volatility uncertainty, convex duality
Optimal control, robust pricing and hedging, volatility uncertainty, optimal transportation, pathwise inequalities, lookback option
Nadaraya-Watson, LP(p)-Estimators, Spline Regressor, Random Forest, LSVM
stochastic control, policy gradients, pricing
(Martingale) Optimal Transport, Arrow-Hurwicz's Algorithm, Generative Adversarial Networks, Anomaly Detection
Schrodinger bridge, stochastic control, Sinkhorn algorithm, stochastic volatility model, conditioned SDEs
Skorokhod embedding, Model-free pricing, Robust hedging, Local time
Regression trees, Random forests, Bermudan options, Optimal stopping
numerical algorithm, BSDEs, branching process, viscosity solution, path dependent PDEs
