1 code implementation • 17 Feb 2022 • Fred Espen Benth, Nils Detering, Luca Galimberti
We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks.
no code implementations • 30 Jan 2022 • Maxim Bichuch, Nils Detering
We consider a network of bank holdings, where every holding has two subsidiaries of different types.
no code implementations • 15 Jun 2020 • Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter
Fire sales are among the major drivers of market instability in modern financial systems.
1 code implementation • 2 Jun 2020 • Fred Espen Benth, Nils Detering, Silvia Lavagnini
For calibration, we specify a fully parametrized version of our model and train a neural network to approximate the true option price as a function of the model parameters.
no code implementations • 29 Oct 2016 • Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter
As a second main contribution, paralleling regulatory discussions, we determine minimal capital requirements for financial institutions sufficient to make the network resilient to small shocks.
