Neural SDEs
Stochastic differential equations with learned functional components.
Build the mental model first.
Keep continuous-time stochastic structure while learning flexible drift or diffusion maps from data.
Stochastic differential equations with learned functional components.
Now make it exact.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Every model has a price.
Educational conventions are stated explicitly and may simplify market quotation or settlement details.
Rates are continuously compounded unless the section says otherwise.
Inputs are deterministic in the base model.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Why a quant cares.
Research-stage modelling with challenges in identifiability, stability and governance.
The hedge has opinions.
Start with the quote convention, then ask which Frontier risk survives the hedge. A number without its convention is merely well-dressed ambiguity.
Ask Bateman about this model →