no code implementations • 17 Apr 2024 • Francisco Gómez Casanova, Álvaro Leitao, Fernando De Lope Contreras, Carlos Vázquez
This paper addresses the problem of pricing involved financial derivatives by means of advanced of deep learning techniques.
no code implementations • 18 Apr 2023 • Raj G. Patel, Tomas Dominguez, Mohammad Dib, Samuel Palmer, Andrea Cadarso, Fernando De Lope Contreras, Abdelkader Ratnani, Francisco Gomez Casanova, Senaida Hernández-Santana, Álvaro Díaz-Fernández, Eva Andrés, Jorge Luis-Hita, Escolástico Sánchez-Martínez, Samuel Mugel, Roman Orus
The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo simulation has become the industry standard.
