Georgi Dimitroff

Independent

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

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1.

Lognormal vs Normal Volatilities and Sensitivities in Practice

Number of pages: 20 Posted: 08 Nov 2015 Last Revised: 20 Mar 2016
Georgi Dimitroff, Christian P. Fries, Mark Lichtner and Niklas Rodi
Independent, Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics, Independent and Independent
Downloads 4,354 (2,584)
Citation 4

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negative rates, low rates, lognormal volatility, normal volatility, displaced, displacement, normal delta, lognormal delta

2.

A Parsimonious Multi-Asset Heston Model: Calibration and Derivative Pricing

Number of pages: 46 Posted: 19 Jul 2009 Last Revised: 03 Mar 2011
Georgi Dimitroff, Stefan Lorenz and Alexander Szimayer
Independent, DZ Bank AG and University of Hamburg - Faculty of Economics and Business Administration
Downloads 1,028 (26,576)
Citation 4

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Heston model, multi-asset, option pricing, calibration, correlation

3.

Volatility Model Calibration With Convolutional Neural Networks

Number of pages: 12 Posted: 14 Oct 2018
Georgi Dimitroff, Dirk Röder and Christian P. Fries
Independent, DZ Bank AG and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 486 (72,243)
Citation 12

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Heston Model, Convolutional Neural Network, Deep Learning, Machine Learning, Volatility Model Calibration

4.

Quanto Option Pricing in the Parsimonious Heston Model

Number of pages: 14 Posted: 24 Sep 2009 Last Revised: 02 Oct 2009
Georgi Dimitroff, Alexander Szimayer and Andreas Wagner
Independent, University of Hamburg - Faculty of Economics and Business Administration and Karlsruhe University of Applied Sciences
Downloads 350 (105,667)
Citation 3

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Quanto option, option pricing, Heston model, Parsimonious Heston Model

5.

Optimal Stopping with Adapted Neural Networks

Number of pages: 8 Posted: 12 Dec 2019 Last Revised: 13 Dec 2019
Georgi Dimitroff and Radoslav Hristov
Independent and Goethe University Frankfurt
Downloads 42 (502,504)

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optimal stopping, optimal exercise, american options, deep neural networks, convolutional networks, attention networks

6.

Volatility Model Calibration with Neural Networks a Comparison between Direct and Indirect Methods

Number of pages: 14 Posted: 04 Aug 2020
Dirk Röder and Georgi Dimitroff
DZ Bank AG and Independent
Downloads 29 (568,886)

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Deep Learning, Machine Learning, Volatility Model Calibration