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Quantitative Finance Volume 18, 2018 - Issue 10
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Invited Paper

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

Jan De SpiegeleerRisk Concile, B-3001Leuven, Kapeldreef 60, Belgium
,
Dilip B. MadanRobert H. Smith School of Business University of Maryland College Park, MD. 20742College Park, MD, USAORCID Iconhttp://orcid.org/0000-0002-0033-9077
ORCID Icon,
Sofie ReynersDepartment of Mathematics, University of Leuven, Celestijnenlaan 200B, B-3001Leuven, Belgium
&
Wim SchoutensDepartment of Mathematics, University of Leuven, Celestijnenlaan 200B, B-3001Leuven, BelgiumCorrespondence[email protected]
Pages 1635-1643 | Received 08 Jun 2018, Accepted 18 Jun 2018, Published online: 27 Jul 2018

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Giorgio Costa & Garud N. Iyengar. (2023) Distributionally robust end-to-end portfolio construction. Quantitative Finance 23:10, pages 1465-1482.
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Riccardo Brignone. (2022) Moments of integrated exponential Lévy processes and applications to Asian options pricing. Quantitative Finance 22:9, pages 1717-1729.
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Junhuan Zhang & Wenjun Huang. (2021) Option hedging using LSTM-RNN: an empirical analysis. Quantitative Finance 21:10, pages 1753-1772.
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Jian Liang, Zhe Xu & Peter Li. (2021) Deep learning-based least squares forward-backward stochastic differential equation solver for high-dimensional derivative pricing. Quantitative Finance 21:8, pages 1309-1323.
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Mike Ludkovski & Yuri Saporito. (2021) KrigHedge: Gaussian Process Surrogates for Delta Hedging. Applied Mathematical Finance 28:4, pages 330-360.
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Hideharu Funahashi. (2021) Artificial neural network for option pricing with and without asymptotic correction. Quantitative Finance 21:4, pages 575-592.
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Wenbin Hu & Tomasz Zastawniak. (2020) Pricing high-dimensional American options by kernel ridge regression. Quantitative Finance 20:5, pages 851-865.
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Ludovic Goudenège, Andrea Molent & Antonino Zanette. (2020) Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models. Quantitative Finance 20:4, pages 573-591.
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Articles from other publishers (1)

Yaxiong Zeng & Diego Klabjan. (2018) Online adaptive machine learning based algorithm for implied volatility surface modeling. Knowledge-Based Systems.
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