arXiv · arXiv q-fin · 2026
Financial decision systems require fast surrogate models for pricing, calibration, hedging, XVA, stress testing, and portfolio optimization. Standard neural surrogates reproduce prices or risk quantities, but downstream tasks depend as much on derivatives: deltas, vegas, curve and credit-spread sensitivities, exposure and objective gradients. We formulate a derivative-informed operator-learning framework in which the…
Miquel Noguer I Alonso
arXiv · arXiv q-fin · 2013
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this cost traders split up large orders over time. Varying volatility however implies that they now take on price risk, as the underlying assets' prices can move against the traders over …
Nico Achtsis, Dirk Nuyens
arXiv · arXiv q-fin · 2025
Local stochastic volatility refers to a popular model class in applied mathematical finance that allows for "calibration-on-the-fly", typically via a particle method, derived from a formal McKean-Vlasov equation. Well-posedness of this limit is a well-known problem in the field; the general case is largely open, despite recent progress in Markovian situations. Our take is to start with a well-defined Euler approximat…
Peter K. Friz, Benjamin Jourdain, Thomas Wagenhofer, Alexandre Zhou
arXiv · arXiv q-fin · 2025
Joint calibration to SPX and VIX market data is a delicate task that requires sophisticated modeling and incurs significant computational costs. The latter is especially true when pricing of volatility derivatives hinges on nested Monte Carlo simulation. One such example is the 4-factor Markov Path-Dependent Volatility (PDV) model of Guyon and Lekeufack (2023). Nonetheless, its realism has earned it considerable atte…
Fabio Baschetti, Giacomo Bormetti, Pietro Rossi
arXiv · arXiv q-fin · 2024
Microblogging platforms, of which Twitter is a representative example, are valuable information sources for market screening and financial models. In them, users voluntarily provide relevant information, including educated knowledge on investments, reacting to the state of the stock markets in real-time and, often, influencing this state. We are interested in the user forecasts in financial, social media messages exp…
Silvia García-Méndez, Francisco de Arriba-Pérez, Ana Barros-Vila, Francisco J. González-Castaño