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Detecting and repairing arbitrage in traded option prices

1 code implementation21 Aug 2020

In addition, we show that removing arbitrage from prices data by our repair method can improve model calibration with enhanced robustness and reduced calibration error.

Density Estimation

Reinforcement Learning with Dynamic Convex Risk Measures

1 code implementation26 Dec 2021

We develop an approach for solving time-consistent risk-sensitive stochastic optimization problems using model-free reinforcement learning (RL).

reinforcement-learning Reinforcement Learning (RL) +1

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