{"id":"https://openalex.org/W4225711816","doi":"https://doi.org/10.1145/3604237.3626837","title":"Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective","display_name":"Calibration of Derivative Pricing Models: a Multi-Agent Reinforcement Learning Perspective","publication_year":2023,"publication_date":"2023-11-25","ids":{"openalex":"https://openalex.org/W4225711816","doi":"https://doi.org/10.1145/3604237.3626837"},"language":"en","primary_location":{"id":"doi:10.1145/3604237.3626837","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3604237.3626837","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"4th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5046489226","display_name":"Nelson Vadori","orcid":"https://orcid.org/0000-0002-0690-4866"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Nelson Vadori","raw_affiliation_strings":["J.P. Morgan AI Research, France"],"raw_orcid":"https://orcid.org/0000-0002-0690-4866","affiliations":[{"raw_affiliation_string":"J.P. Morgan AI Research, France","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5046489226"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.00697459,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"253","last_page":"260"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.991100013256073,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.991100013256073,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9697999954223633,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9656999707221985,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.774422824382782},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6188026666641235},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4962218403816223},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.42509496212005615},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.4202577769756317},{"id":"https://openalex.org/keywords/intuition","display_name":"Intuition","score":0.4167085587978363},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.38137727975845337},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.23673462867736816},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.23008617758750916}],"concepts":[{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.774422824382782},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6188026666641235},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4962218403816223},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.42509496212005615},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4202577769756317},{"id":"https://openalex.org/C132010649","wikidata":"https://www.wikidata.org/wiki/Q189222","display_name":"Intuition","level":2,"score":0.4167085587978363},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.38137727975845337},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.23673462867736816},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.23008617758750916},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1145/3604237.3626837","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3604237.3626837","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"4th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},{"id":"pmh:oai:RePEc:arx:papers:2203.06865","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.46000000834465027,"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":7,"referenced_works":["https://openalex.org/W1985207306","https://openalex.org/W2126311658","https://openalex.org/W2257979135","https://openalex.org/W3023610427","https://openalex.org/W3175431740","https://openalex.org/W3204752081","https://openalex.org/W4200081317"],"related_works":["https://openalex.org/W361876","https://openalex.org/W1279312","https://openalex.org/W18175453","https://openalex.org/W102453","https://openalex.org/W16148227","https://openalex.org/W13374848","https://openalex.org/W7587899","https://openalex.org/W1826788","https://openalex.org/W6801678","https://openalex.org/W14916264"],"abstract_inverted_index":{"One":[0],"of":[1,12,20,24,31,57,80,107,128],"the":[2,10,78,100,105],"most":[3],"fundamental":[4],"questions":[5],"in":[6,69,77,99],"quantitative":[7],"finance":[8],"is":[9,48],"existence":[11],"continuous-time":[13],"diffusion":[14],"models":[15,39],"that":[16,40,86],"fit":[17],"market":[18],"prices":[19],"a":[21,29,52,108,117],"given":[22],"set":[23],"options.":[25],"Traditionally,":[26],"one":[27],"employs":[28],"mix":[30],"intuition,":[32],"theoretical":[33,55],"and":[34],"empirical":[35],"analysis":[36],"to":[37,49,75,90,103,131],"find":[38],"achieve":[41],"exact":[42],"or":[43],"approximate":[44],"fits.":[45],"Our":[46,83,111],"contribution":[47],"show":[50,85],"how":[51],"suitable":[53],"game":[54],"formulation":[56],"this":[58,63],"problem":[59],"can":[60,113],"help":[61],"solve":[62],"question":[64],"by":[65],"leveraging":[66],"existing":[67],"developments":[68],"modern":[70],"deep":[71],"multi-agent":[72],"reinforcement":[73],"learning":[74,135],"search":[76],"space":[79],"stochastic":[81],"processes.":[82],"experiments":[84],"we":[87],"are":[88,134],"able":[89],"learn":[91],"local":[92],"volatility,":[93],"as":[94,96,116],"well":[95],"path-dependence":[97],"required":[98],"volatility":[101],"process":[102],"minimize":[104],"price":[106],"Bermudan":[109],"option.":[110],"algorithm":[112],"be":[114],"seen":[115],"particle":[118],"method":[119],"\u00e0":[120],"la":[121],"Guyon":[122],"et":[123],"Henry-Labordere":[124],"where":[125],"particles,":[126],"instead":[127],"being":[129],"designed":[130],"ensure":[132],",":[133],"RL-driven":[136],"agents":[137],"cooperating":[138],"towards":[139],"more":[140],"general":[141],"calibration":[142],"targets.":[143]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2022-05-05T00:00:00"}