Stochastic optimal control has become a critical framework for addressing decision-making problems under uncertainty, especially in the context of financial market models. By combining probabilistic ...

Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

Stochastic volatility is the unpredictable nature of asset price volatility over time. It's a flexible alternative to the Black Scholes' constant volatility assumption.

The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal ...