Search Results - "Hientzsch, Bernhard"

Backward Deep BSDE Methods and Applications to Nonlinear Problems by Yu, Yajie, Ganesan, Narayan, Hientzsch, Bernhard

“…We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Backward Stochastic Differential Equations with terminal…”
Get full text

Estimating future value-at-risk from value samples, and applications to future initial margin by Ganesan, Narayan, Hientzsch, Bernhard

Get full text

Pricing barrier options with deep backward stochastic differential equation methods by Ganesan, Narayan, Yu, Yajie, Hientzsch, Bernhard

Get full text

Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging by Hientzsch, Bernhard

“…We consider two data driven approaches, Reinforcement Learning (RL) and Deep Trajectory-based Stochastic Optimal Control (DTSOC) for hedging a European call…”
Get full text

Enforcing asymptotic behavior with DNNs for approximation and regression in finance by Routray, Hardik, Hientzsch, Bernhard

“…We propose a simple methodology to approximate functions with given asymptotic behavior by specifically constructed terms and an unconstrained deep neural…”
Get full text

Inflation Models with Correlation and Skew by Ogetbil, Orcan, Hientzsch, Bernhard

“…We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between…”
Get full text

A Comparison of Reinforcement Learning and Deep Trajectory Based Stochastic Control Agents for Stepwise Mean-Variance Hedging by Fathi, Ali, Hientzsch, Bernhard

“…We consider two data-driven approaches to hedging, Reinforcement Learning and Deep Trajectory-based Stochastic Optimal Control, under a stepwise mean-variance…”
Get full text

A case study on different one-factor Cheyette models for short maturity caplet calibration by Polala, Arun Kumar, Hientzsch, Bernhard

“…In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in the benchmark forward rate and an uncorrelated CIR stochastic…”
Get full text

A Flexible Commodity Skew Model with Maturity Effects by Ogetbil, Orcan, Hientzsch, Bernhard

“…We propose a non-parametric extension with leverage functions to the Andersen commodity curve model. We calibrate this model to market data for WTI and NG…”
Get full text

Introduction to Solving Quant Finance Problems with Time-Stepped FBSDE and Deep Learning by Hientzsch, Bernhard

“…In this introductory paper, we discuss how quantitative finance problems under some common risk factor dynamics for some common instruments and approaches can…”
Get full text

Parametric Differential Machine Learning for Pricing and Calibration by Polala, Arun Kumar, Hientzsch, Bernhard

“…Differential machine learning (DML) is a recently proposed technique that uses samplewise state derivatives to regularize least square fits to learn…”
Get full text

Pricing Barrier Options with DeepBSDEs by Ganesan, Narayan, Yu, Yajie, Hientzsch, Bernhard

“…Journal of Computational Finance, 25(4):1-25 (2022) This paper presents a novel and direct approach to price boundary and final-value problems, corresponding…”
Get full text

Estimating Future VaR from Value Samples and Applications to Future Initial Margin by Ganesan, Narayan, Hientzsch, Bernhard

“…Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty…”
Get full text

Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility by Ogetbil, Orcan, Hientzsch, Bernhard

“…We derive generalizations of Dupire formula to the cases of general stochastic drift and/or stochastic local volatility. First, we handle a case in which the…”
Get full text

Calibrating Local Volatility Models with Stochastic Drift and Diffusion by Ogetbil, Orcan, Ganesan, Narayan, Hientzsch, Bernhard

“…International Journal of Theoretical and Applied Finance, 25(02):2250011, 2022 We propose Monte Carlo calibration algorithms for three models: local volatility…”
Get full text

Backward Deep BSDE Methods and Applications to Nonlinear Problems by Yu, Yajie, Hientzsch, Bernhard, Ganesan, Narayan

“…In this paper, we present a backward deep BSDE method applied to Forward Backward Stochastic Differential Equations (FBSDE) with given terminal condition at…”
Get full text

Fast solvers and domain decomposition preconditioners for spectral element discretizations of problems in H(curl) by Hientzsch, Bernhard

“…For problems with piecewise smooth solutions, spectral element methods hold great promise. They combine the exponential convergence of spectral methods with…”
Get full text

Fast solvers and domain decomposition preconditioners for spectral element discretizations of problems in H(curl) by Hientzsch, Bernhard

“…For problems with piecewise smooth solutions, spectral element methods hold great promise. They combine the exponential convergence of spectral methods with…”
Get full text