Antonis Papapantoleon

Orcid: 0000-0002-9504-2822

According to our database1, Antonis Papapantoleon authored at least 13 papers between 2008 and 2024.

Collaborative distances:
  • Dijkstra number2 of four.
  • Erdős number3 of five.

Timeline

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Bibliography

2024
Improved model-free bounds for multi-asset options using option-implied information and deep learning.
CoRR, 2024

Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options.
CoRR, 2024

A time-stepping deep gradient flow method for option pricing in (rough) diffusion models.
CoRR, 2024

A deep implicit-explicit minimizing movement method for option pricing in jump-diffusion models.
CoRR, 2024

2023
Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation.
Manag. Sci., April, 2023

Machine learning for option pricing: an empirical investigation of network architectures.
CoRR, 2023

2022
Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness.
SIAM J. Control. Optim., 2022

Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in Lévy Models.
CoRR, 2022

2018
Multivariate Shortfall Risk Allocation and Systemic Risk.
SIAM J. Financial Math., 2018

An Equilibrium Model for Spot and Forward Prices of Commodities.
Math. Oper. Res., 2018

2015
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration.
SIAM J. Financial Math., 2015

2010
Numerical Methods for the Lévy LIBOR Model.
Proceedings of the Euro-Par 2010 Parallel Processing Workshops, 2010

2008
On the duality principle in option pricing: semimartingale setting.
Finance Stochastics, 2008


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