{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,22]],"date-time":"2025-10-22T05:25:16Z","timestamp":1761110716472,"version":"3.41.0"},"reference-count":44,"publisher":"Informa UK Limited","issue":"7","funder":[{"DOI":"10.13039\/501100005142","name":"BBVA and CITIC Research Centre, University of A Coru\u00f1a","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100005142","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["www.tandfonline.com"],"crossmark-restriction":true},"short-container-title":["International Journal of Computer Mathematics"],"published-print":{"date-parts":[[2025,7,3]]},"DOI":"10.1080\/00207160.2025.2465775","type":"journal-article","created":{"date-parts":[[2025,2,17]],"date-time":"2025-02-17T09:52:17Z","timestamp":1739785937000},"page":"913-942","update-policy":"https:\/\/doi.org\/10.1080\/tandf_crossmark_01","source":"Crossref","is-referenced-by-count":1,"title":["Deep joint learning valuation of Bermudan swaptions"],"prefix":"10.1080","volume":"102","author":[{"given":"Francisco","family":"G\u00f3mez-Casanova","sequence":"first","affiliation":[{"name":"BBVA","place":["Madrid, Spain"]}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3442-4587","authenticated-orcid":false,"given":"\u00c1lvaro","family":"Leitao","sequence":"additional","affiliation":[{"name":"University of A Coru\u00f1a","place":["A Coru\u00f1a, Spain"]},{"name":"University of A Coru\u00f1a","place":["A Coru\u00f1a, Spain"]}]},{"given":"Fernando","family":"de Lope","sequence":"additional","affiliation":[{"name":"BBVA","place":["Madrid, Spain"]}]},{"ORCID":"https:\/\/orcid.org\/0000-0001-6591-2252","authenticated-orcid":false,"given":"Carlos","family":"V\u00e1zquez","sequence":"additional","affiliation":[{"name":"University of A Coru\u00f1a","place":["A Coru\u00f1a, Spain"]},{"name":"University of A Coru\u00f1a","place":["A Coru\u00f1a, Spain"]}]}],"member":"301","published-online":{"date-parts":[[2025,2,17]]},"reference":[{"doi-asserted-by":"publisher","key":"e_1_3_4_2_1","DOI":"10.21314\/JCF.2008.189"},{"doi-asserted-by":"publisher","key":"e_1_3_4_3_1","DOI":"10.1080\/00207160.2018.1486399"},{"doi-asserted-by":"publisher","key":"e_1_3_4_4_1","DOI":"10.1016\/j.camwa.2019.09.014"},{"doi-asserted-by":"publisher","key":"e_1_3_4_5_1","DOI":"10.1080\/00207160.2023.2172322"},{"doi-asserted-by":"publisher","key":"e_1_3_4_6_1","DOI":"10.3390\/jrfm13070158"},{"doi-asserted-by":"publisher","key":"e_1_3_4_7_1","DOI":"10.1016\/j.apnum.2006.03.026"},{"doi-asserted-by":"publisher","key":"e_1_3_4_8_1","DOI":"10.48550\/arXiv.2009.09796"},{"unstructured":"O. Ebner A. Hirz L. Smetana and K. Vonach Derivative pricing and risk management with neural networks (2022). Available at https:\/\/www.bankinghub.eu\/operations\/derivative-pricing [Online at BankingHub: posted 11-November-2022].","key":"e_1_3_4_9_1"},{"doi-asserted-by":"publisher","key":"e_1_3_4_10_1","DOI":"10.1137\/21M1460648"},{"doi-asserted-by":"publisher","key":"e_1_3_4_11_1","DOI":"10.1137\/080718061"},{"doi-asserted-by":"publisher","key":"e_1_3_4_12_1","DOI":"10.1007\/s00211-009-0252-4"},{"doi-asserted-by":"publisher","key":"e_1_3_4_13_1","DOI":"10.1016\/j.amc.2003.12.079"},{"doi-asserted-by":"publisher","key":"e_1_3_4_14_1","DOI":"10.1137\/S1064827500382324"},{"doi-asserted-by":"publisher","key":"e_1_3_4_15_1","DOI":"10.1137\/21M1457606"},{"doi-asserted-by":"publisher","key":"e_1_3_4_16_1","DOI":"10.1080\/14697688.2018.1459807"},{"unstructured":"P.S. Hagan Evaluating and hedging exotic swap instruments via LGM (2002).","key":"e_1_3_4_17_1"},{"unstructured":"P.S. Hagan Methodology for callable swaps and Bermudan \u2018exercise into\u2019 swaptions (2004).","key":"e_1_3_4_18_1"},{"doi-asserted-by":"publisher","key":"e_1_3_4_19_1","DOI":"10.1080\/14697688.2020.1817974"},{"doi-asserted-by":"crossref","unstructured":"B. Huge and A. Savine Differential machine learning (2020).","key":"e_1_3_4_20_1","DOI":"10.2139\/ssrn.3591734"},{"doi-asserted-by":"publisher","key":"e_1_3_4_21_1","DOI":"10.1093\/rfs\/3.4.573"},{"doi-asserted-by":"publisher","key":"e_1_3_4_22_1","DOI":"10.1007\/BF00047211"},{"doi-asserted-by":"publisher","key":"e_1_3_4_23_1","DOI":"10.1016\/j.amc.2015.07.085"},{"doi-asserted-by":"publisher","key":"e_1_3_4_24_1","DOI":"10.1016\/j.jocs.2019.03.001"},{"unstructured":"KerasTuner. Available at https:\/\/keras.io\/keras_tuner\/.","key":"e_1_3_4_25_1"},{"key":"e_1_3_4_26_1","first-page":"1","article-title":"A review of neural network applications in derivative pricing, hedging and risk management","volume":"27","author":"Kumar S.","year":"2023","unstructured":"S. Kumar, A review of neural network applications in derivative pricing, hedging and risk management, Acad. Mark. Stud. J. 27 (2023), pp. 1\u201324.","journal-title":"Acad. Mark. Stud. J."},{"doi-asserted-by":"publisher","key":"e_1_3_4_27_1","DOI":"10.1080\/00207160.2015.1067689"},{"doi-asserted-by":"publisher","key":"e_1_3_4_28_1","DOI":"10.1016\/j.amc.2016.08.030"},{"doi-asserted-by":"publisher","key":"e_1_3_4_29_1","DOI":"10.1080\/14697688.2017.1301676"},{"doi-asserted-by":"publisher","key":"e_1_3_4_30_1","DOI":"10.1016\/j.neunet.2021.03.026"},{"doi-asserted-by":"publisher","key":"e_1_3_4_31_1","DOI":"10.1186\/s13362-019-0066-7"},{"doi-asserted-by":"publisher","key":"e_1_3_4_32_1","DOI":"10.1080\/1350486X.2022.2097099"},{"doi-asserted-by":"publisher","key":"e_1_3_4_33_1","DOI":"10.1093\/rfs\/14.1.113"},{"doi-asserted-by":"publisher","key":"e_1_3_4_34_1","DOI":"10.1007\/978-3-031-19809-0_39"},{"doi-asserted-by":"publisher","key":"e_1_3_4_35_1","DOI":"10.1086\/296409"},{"doi-asserted-by":"publisher","key":"e_1_3_4_36_1","DOI":"10.1142\/q0236"},{"unstructured":"QuantLib. Available at https:\/\/www.quantlib.org\/.","key":"e_1_3_4_37_1"},{"key":"e_1_3_4_38_1","volume-title":"The SABR\/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-rate Derivatives","author":"Rebonato R.","year":"2009","unstructured":"R. Rebonato, K. McKay, and R. White, The SABR\/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-rate Derivatives, Wiley, United Kingdom, 2009."},{"unstructured":"S. Ruder An overview of multi-task learning in deep neural networks \u00a0arXiv preprint arXiv:1706.05098 (2017).","key":"e_1_3_4_39_1"},{"doi-asserted-by":"publisher","key":"e_1_3_4_40_1","DOI":"10.3390\/math9010046"},{"key":"e_1_3_4_41_1","volume-title":"Modern Computational Finance: AAD and Parallel Simulations","author":"Savine A.","year":"2018","unstructured":"A. Savine, Modern Computational Finance: AAD and Parallel Simulations, Wiley, United States, 2018."},{"doi-asserted-by":"publisher","key":"e_1_3_4_42_1","DOI":"10.1016\/S0096-3003(97)10122-9"},{"doi-asserted-by":"publisher","key":"e_1_3_4_43_1","DOI":"10.1016\/j.cam.2022.115041"},{"doi-asserted-by":"publisher","key":"e_1_3_4_44_1","DOI":"10.18653\/v1\/2023.eacl-main.66"},{"doi-asserted-by":"publisher","key":"e_1_3_4_45_1","DOI":"10.1080\/14697688.2017.1348617"}],"container-title":["International Journal of Computer Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.tandfonline.com\/doi\/pdf\/10.1080\/00207160.2025.2465775","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,7,2]],"date-time":"2025-07-02T07:37:32Z","timestamp":1751441852000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.tandfonline.com\/doi\/full\/10.1080\/00207160.2025.2465775"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,2,17]]},"references-count":44,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2025,7,3]]}},"alternative-id":["10.1080\/00207160.2025.2465775"],"URL":"https:\/\/doi.org\/10.1080\/00207160.2025.2465775","relation":{},"ISSN":["0020-7160","1029-0265"],"issn-type":[{"type":"print","value":"0020-7160"},{"type":"electronic","value":"1029-0265"}],"subject":[],"published":{"date-parts":[[2025,2,17]]},"assertion":[{"value":"The publishing and review policy for this title is described in its Aims & Scope.","order":1,"name":"peerreview_statement","label":"Peer Review Statement"},{"value":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=gcom20","URL":"http:\/\/www.tandfonline.com\/action\/journalInformation?show=aimsScope&journalCode=gcom20","order":2,"name":"aims_and_scope_url","label":"Aim & Scope"},{"value":"2024-04-18","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2024-12-26","order":1,"name":"revised","label":"Revised","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-02-04","order":2,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2025-02-17","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}