Hedging under rough volatility
Fukasawa, M
Horvath, B
Tankov, P
(09 May 2021)
doi:10.48550/arxiv.2105.04073
Mathematics of the Bond Market: A Lévy Processes Approach
Grbac, Z
Horvath, B
Quantitative Finance
volume 21
issue 8
1263-1265
(03 Aug 2021)
doi:10.1080/14697688.2021.1939118
Exotic Options and Hybrids: A Guide to Structuring, Pricing and Trading
Horvath, B
Quantitative Finance
volume 21
issue 9
1435-1436
(02 Sep 2021)
doi:10.1080/14697688.2021.1969032
Clustering Market Regimes using the Wasserstein Distance
Horvath, B
Issa, Z
Muguruza, A
(22 Oct 2021)
doi:10.48550/arxiv.2110.11848
Lecture Notes Learning to Trade II: Deep Hedging
Buehler, H
Horvath, B
(01 Jan 2022)
doi:10.2139/ssrn.4151041
Lecture Notes Learning to Trade I: Statistical Hedging
Buehler, H
Horvath, B
(01 Jan 2022)
doi:10.2139/ssrn.4151040
Synthetic Data for Deep Learning
Horvath, B
Quantitative Finance
volume 22
issue 3
423-425
(04 Mar 2022)
doi:10.1080/14697688.2022.2048062
Robust Hedging GANs
Limmer, Y
Horvath, B
doi:10.2139/ssrn.4489029
Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures
Horvath, B
Issa, Z
doi:10.2139/ssrn.4493344
Lecture Notes Learning to Trade III: Deep Hedging with Impact, Deep Bellman Hedging, Open Research Questions
Buehler, H
Horvath, B
(01 Jan 2022)
doi:10.2139/ssrn.4151043