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References.md

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Machine Learning & Quant Finance

Deep Pricing

  • [URL] Liu, Oosterlee, Bohte: Pricing options and computing implied volatilities using neural networks.
  • [URL] Ferguson, Green: Deeply Learning Derivatives.
  • [URL] McGhee: An Artificial Neural Network Representation of the SABR Stochastic Volatility Model.
  • [URL] Hutchinson, Lo, Poggio: A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks.
  • [URL] Spiegeleer, Madan, Reyners, Schoutens: Machine Learning for Quantitative Finance.
  • [URL] Stark: Machine Learning and Options Pricing.

Deep Calibration

  • [URL] Sousa, Esquivel, Gaspar: Machine learning Vasicek model calibration with Gaussian processes.
  • [URL] Bayer, Stemper: Deep calibration of rough stochastic volatility models.
  • [URL] Dimitroff, Roeder, Fries: Volatility model calibration with convolutional neural networks.
  • [URL] Hernandez: Model Calibration with Neural Networks.
  • [URL] Horvath, Muguruza, Tomas: Deep Learning Volatility.

Deep Hedging

  • [URL] Bühler, Gonon, Teichmann, Wood: Deep Hedging.

Curve Dynamics & Term Structures

  • [URL] Kondratyev: Learning Curve Dynamics with Artificial Neural Networks.
  • [URL] Sambasivan, Das: A Statistical Machine Learning Approach to Yield Curve Forecasting.
  • [URL] Cousin, Maatouk, Rulliere: Kriging of financial term-structures.

CDS Spreads

  • [URL] Brummelhuis, Luo: CDS rate construction methods by machine learning techniques.

XVA

  • [URL] Crépey, Dixon: Gaussian Process Regression for Derivative Portfolio Modeling and Application to CVA Computations
  • [URL] Ma, Spinner, Venditti, Li, Tang: Initial Margin Simulation with Deep Learning

Quantitative Finance

Risk Factor Models

  • [URL] Hull, White: Pricing Interest-Rate-Derivative Securities
  • [URL] Hagan: Evaluating and Hedging Exotic Swap Instruments via LGM
  • [URL] Heston: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
  • [URL] Andersen: Efficient Simulation of the Heston Stochastic Volatility Model
  • [URL] Hagan, Lesniewski, Woodward: Probability Distribution in the SABR Model of Stochastic Volatility
  • [URL] Trolle, Schwarz: A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

American Monte Carlo

  • [URL] Longstaff, Schwarz: Valuing American Options by Simulation: A Simple Least-Squares Approach
  • [URL] Tsitsiklis, Van Roy: Regression Methods for Pricing Complex American-Style Options
  • [URL] Tsitsiklis, Van Roy: Optimal Stopping of Markov Processes: Hilbert Space Theory, Approximation Algorithms, and an Application to Pricing Financial Derivatives

Counterparty Risk

  • [URL] Pykhtin, Zhu: A Guide to Modeling Counterparty Credit Risk

CVA

  • [URL] Pykhtin, Rosen: Pricing Counterparty Risk at the Trade Level and CVA Allocations

FVA

  • [URL] Burghard, Kjar: Funding Costs, Funding Strategies
  • [URL] Burgard, Kjaer: The FVA Debate: In Theory and Practice
  • [URL] Burgard, Kjaer: In the Balance
  • [URL] Piterbarg: Funding Beyond Discounting
  • [URL] Andersen, Duffie, Song: Funding Value Adjustments

DIM and MVA

  • [URL] Anfuso, Aziz, Giltinan, Loukopoulos: A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements
  • [URL] Caspers, Giltinan, Lichters, Nowaczyk: Forecasting Initial Margin Requirements - A Model Evaluation
  • [URL] Ruiz, Zeron: Dynamic Initial Margin via Chebyshev Spectral Decomposition
  • [URL] McWalter, Kienitz, Nowaczyk, Rudd, Acar: Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions
  • [URL] Andersen, Pykhtin, Sokol: Credit Exposure in the Presence of Initial Margin
  • [URL] Andersen, Pykhtin, Sokol: Rethinking the Margin Period of Risk
  • [URL] Antonov, Issakov, McClelland: Efficient SIMM-MVA Calculations for Callable Exotics
  • [URL] Fries: Fast Stochastic Forward Sensitivities in Monte-Carlo Simulations Using Stochastic Automatic Differentiation (with Applications to Initial Margin Valuation Adjustments (MVA))
  • [URL] Lou: MVA Transfer Pricing