Carolyn E. Phelan

According to our database, Carolyn E. Phelan authored at least 8 papers between 2018 and 2026.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2026

Physics-Informed Neural Networks for Solving Derivative-Constrained PDEs.

Kentaro Hoshisashi, Carolyn E. Phelan, Paolo Barucca

CoRR, April, 2026

2025

Probability‑Density‑Consistent Physics-Informed Neural Networks for Stochastic Local Volatility Model Calibration.

Kentaro Hoshisashi, Carolyn Elizabeth Phelan, Paolo Barucca

Proceedings of the 6th ACM International Conference on AI in Finance, 2025

2024

Whack-a-mole Online Learning: Physics-Informed Neural Network for Intraday Implied Volatility Surface.

Kentaro Hoshisashi, Carolyn E. Phelan, Paolo Barucca

Proceedings of the 5th ACM International Conference on AI in Finance, 2024

Whack-a-mole Learning: Physics- Informed Deep Calibration for Implied Volatility Surface.

Kentaro Hoshisashi, Carolyn E. Phelan, Paolo Barucca

Proceedings of the IEEE Symposium on Computational Intelligence for Financial Engineering and Economics, 2024

2021

Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms.

Guido Germano, Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai

CoRR, 2021

2019

Hilbert transform, spectral filters and option pricing.

Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano

Ann. Oper. Res., 2019

2018

Fourier transform methods for the pricing of barrier options and other exotic derivatives.

Carolyn E. Phelan

PhD thesis, 2018

Fluctuation identities with continuous monitoring and their application to the pricing of barrier options.

Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano

Eur. J. Oper. Res., 2018