Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise

An alternative approach on the existence of affine realizations for HJM term structure models

We propose an alternative approach on the existence of affine realizations for HJM interest rate models. It is applicable to a wide class of models, and simultaneously it is conceptually rather comprehensible. We also supplement some known existence results for particular volatility structures and provide further insights into the geometry of term structure models.

解决动态波动率拟合问题：一种深度强化学习方法

Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach

本文提出利用深度强化学习（DRL）方法，特别是DDPG和SAC的变体，解决股票衍生品中的动态波动率拟合问题，证明其效果不逊于标准算法且更适合复杂目标函数与在线学习。