Machine learning for quantitative finance: fast derivative pricing, hedging and fitting-Reference-Cited by-同舟云学术

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Machine learning for quantitative finance: fast derivative pricing, hedging and fitting

Published:2018-07-27 Issue:10 Volume:18 Page:1635-1643
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

De Spiegeleer Jan¹,Madan Dilip B.²^ORCID,Reyners Sofie³,Schoutens Wim³

Affiliation:

1. Risk Concile, B-3001 Leuven, Kapeldreef 60, Belgium

2. Robert H. Smith School of Business University of Maryland College Park, MD. 20742 College Park, MD, USA

3. Department of Mathematics, University of Leuven, Celestijnenlaan 200B, B-3001 Leuven, Belgium

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1495335

Reference10 articles.

1. Note Sur Une Méthode de Résolution des équations Normales Provenant de L’Application de la MéThode des Moindres Carrés a un Système D’équations Linéaires en Nombre Inférieur a Celui des Inconnues. — Application de la Méthode a la Résolution D’un Système Defini D’éQuations LinéAires

2. Option valuation using the fast Fourier transform

3. A note on sufficient conditions for no arbitrage

4. THE RANGE OF TRADED OPTION PRICES

5. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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