Picture for Magnus Wiese

Magnus Wiese

Sig-Splines: universal approximation and convex calibration of time series generative models

Add code
Jul 19, 2023
Viaarxiv icon

Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions

Add code
Jul 15, 2022
Figure 1 for Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Figure 2 for Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Figure 3 for Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Figure 4 for Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Viaarxiv icon

Risk-Neutral Market Simulation

Add code
Feb 28, 2022
Figure 1 for Risk-Neutral Market Simulation
Figure 2 for Risk-Neutral Market Simulation
Figure 3 for Risk-Neutral Market Simulation
Figure 4 for Risk-Neutral Market Simulation
Viaarxiv icon

Multi-Asset Spot and Option Market Simulation

Add code
Dec 13, 2021
Figure 1 for Multi-Asset Spot and Option Market Simulation
Figure 2 for Multi-Asset Spot and Option Market Simulation
Figure 3 for Multi-Asset Spot and Option Market Simulation
Figure 4 for Multi-Asset Spot and Option Market Simulation
Viaarxiv icon

Sig-Wasserstein GANs for Time Series Generation

Add code
Nov 01, 2021
Figure 1 for Sig-Wasserstein GANs for Time Series Generation
Figure 2 for Sig-Wasserstein GANs for Time Series Generation
Figure 3 for Sig-Wasserstein GANs for Time Series Generation
Figure 4 for Sig-Wasserstein GANs for Time Series Generation
Viaarxiv icon

Conditional Sig-Wasserstein GANs for Time Series Generation

Add code
Jun 09, 2020
Figure 1 for Conditional Sig-Wasserstein GANs for Time Series Generation
Figure 2 for Conditional Sig-Wasserstein GANs for Time Series Generation
Figure 3 for Conditional Sig-Wasserstein GANs for Time Series Generation
Figure 4 for Conditional Sig-Wasserstein GANs for Time Series Generation
Viaarxiv icon

Deep Hedging: Learning to Simulate Equity Option Markets

Add code
Nov 05, 2019
Figure 1 for Deep Hedging: Learning to Simulate Equity Option Markets
Figure 2 for Deep Hedging: Learning to Simulate Equity Option Markets
Figure 3 for Deep Hedging: Learning to Simulate Equity Option Markets
Figure 4 for Deep Hedging: Learning to Simulate Equity Option Markets
Viaarxiv icon

Quant GANs: Deep Generation of Financial Time Series

Add code
Jul 15, 2019
Figure 1 for Quant GANs: Deep Generation of Financial Time Series
Figure 2 for Quant GANs: Deep Generation of Financial Time Series
Figure 3 for Quant GANs: Deep Generation of Financial Time Series
Figure 4 for Quant GANs: Deep Generation of Financial Time Series
Viaarxiv icon

Copula & Marginal Flows: Disentangling the Marginal from its Joint

Add code
Jul 07, 2019
Figure 1 for Copula & Marginal Flows: Disentangling the Marginal from its Joint
Figure 2 for Copula & Marginal Flows: Disentangling the Marginal from its Joint
Figure 3 for Copula & Marginal Flows: Disentangling the Marginal from its Joint
Figure 4 for Copula & Marginal Flows: Disentangling the Marginal from its Joint
Viaarxiv icon