Mugad Oumgari

Lloyds Banking Group

10 Gresham Street

London, EC2V 7AE

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

360

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Stacked Monte Carlo for Option Pricing

Number of pages: 12 Posted: 23 Apr 2019
Imperial College London, Lloyds Banking Group and Lloyds Banking Group
Downloads 126 (270,869)
Citation 2

Abstract:

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option pricing, machine learning, Monte Carlo, stochastic volatility

2.

Deep PPDEs for Rough Local Stochastic Volatility

Number of pages: 21 Posted: 17 Jun 2019
Antoine (Jack) Jacquier and Mugad Oumgari
Imperial College London and Lloyds Banking Group
Downloads 118 (284,179)
Citation 6

Abstract:

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rough volatility, Deep learning, Path-dependent PDEs

3.

A Quantum Algorithm for Linear PDEs Arising in Finance

Number of pages: 13 Posted: 26 Dec 2019 Last Revised: 05 Feb 2021
Lloyds Banking Group, Imperial College London and Lloyds Banking Group
Downloads 116 (287,587)

Abstract:

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quantum algorithms, option pricing, PDE, Schrodinger equation