Posts by: Gianluca Molteni
DeepMargin: approximating the SPAN 2 algorithm using neural networks
An exchange is a regulated market where individuals and companies…
Using a local volatility model for the evaluation of TARF FX options
We wrote last week that Target Redemption Forwards (or TARFs)…
Handling the complexities of TARF FX options
Target Redemption Forward (TARF) contracts are complex financial instruments used…