Name: Nicolas BARADEL (Ecole Polytechnique & INRIA) “Deep learning for pricing and hedging European options in incomplete markets.””
Start: 2025-04-24T15:00:00+02:00
End: 2025-04-24T16:00:00+02:00

CREST Working Papers Series No. 2017-76

by Caroline Hillairet, Cody Hyndman, Ying Jiao and Renjie Wang

Working Papers

Antoine HERANVAL (INRAE) “Artificial Intelligence for Natural Disaster Knowledge”

Bonsoo KOO (Monash University) “Disentangling Structural Breaks in Factor Models”

Andreas HEINEN (Universite de Cergy-Pontoise.) “t.b.a.”

Nicolas BARADEL (Ecole Polytechnique & INRIA) “Deep learning for pricing and hedging European options in incomplete markets.””

Working Papers

Learning Generative Models with Sinkhorn Divergences

Sliced Wasserstein Kernel for Persistence Diagrams

Soft-DTW: a Differentiable Loss Function for Time-Series

Nation-Building, Nationalism, and Wars

Measuring individual risk-attitudes: an experimental comparison between Holt & Laury measure and an insurance-choices-based procedure

Compulsory insurance and voluntary self-insurance: substitutes or complements? A matter of risk attitudes

Shapes of implied volatility with positive mass at zero

Trading against disorderly liquidation of a large position under asymmetric information and market impact

Pricing formulae for derivatives in insurance using the Malliavin calculus

Consistent Utility of Investment and Consumption : a forward/backward SPDE viewpoint

Latest News

Upcoming Events & Seminars

Announcements