[17] Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation

[16] Avoiding zero probability events when computing Value at Risk contributions: a Malliavin calculus approach

[15] PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations

[14] Extensions of the Deep Galerkin Method

[13] Bayesian Approach for Parameter Estimation of Continuous-Time Stochastic Volatility Models using Fourier Transform Methods

Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning

[12] The Impact of the Freedom of the Press on Risk

[11] Endogenous Asymmetric Money Illusion

[10] Vanishing Contagion Spreads

[9] First-Order Asymptotics of Path-Dependent Derivatives in Multiscale Stochastic Volatility Environment

[7] The Calibration of Stochastic-Local Volatility Models - An Inverse Problem Perspective

[6] Stochastic Control with Delayed Information and Related Nonlinear Master Equation

[5] Heston Stochastic Vol-of-Vol Model for Joint Calibration of VIX and S&P 500 Options

[4] Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost

[3] Functional Meyer-Tanaka Formula

[2] Functional Itô Calculus, Path-dependence and the Computation of Greeks

[1] Multiscale Stochastic Volatility Model for Derivatives on Futures