Related papers: Supervised Deep Neural Networks (DNNs) for Pricing…

Motivated by the gap between theoretical optimal approximation rates of deep neural networks (DNNs) and the accuracy realized in practice, we seek to improve the training of DNNs. The adoption of an adaptive basis viewpoint of DNNs leads to…

Deep Neural Networks (DNNs) have become very popular for prediction in many areas. Their strength is in representation with a high number of parameters that are commonly learned via gradient descent or similar optimization methods. However,…

The problem of automatic and accurate forecasting of time-series data has always been an interesting challenge for the machine learning and forecasting community. A majority of the real-world time-series problems have non-stationary…

Applying deep neural networks (DNNs) in mobile and safety-critical systems, such as autonomous vehicles, demands a reliable and efficient execution on hardware. Optimized dedicated hardware accelerators are being developed to achieve this.…

We introduce Dynamic Deep Neural Networks (D2NN), a new type of feed-forward deep neural network that allows selective execution. Given an input, only a subset of D2NN neurons are executed, and the particular subset is determined by the…

A common approach to valuing exotic options involves choosing a model and then determining its parameters to fit the volatility surface as closely as possible. We refer to this as the model calibration approach (MCA). A disadvantage of MCA…

Recent advances in deep learning have enabled us to address the curse of dimensionality (COD) by solving problems in higher dimensions. A subset of such approaches of addressing the COD has led us to solving high-dimensional PDEs. This has…

In a natural market environment, the price prediction model needs to be updated in real time according to the data obtained by the system to ensure the accuracy of the prediction. In order to improve the user experience of the system, the…

Well-trained deep neural networks (DNNs) treat all test samples equally during prediction. Adaptive DNN inference with early exiting leverages the observation that some test examples can be easier to predict than others. This paper presents…

With the rapid development of deep learning, Deep Spiking Neural Networks (DSNNs) have emerged as promising due to their unique spike event processing and asynchronous computation. When deployed on neuromorphic chips, DSNNs offer…

Deep neural networks (DNNs) have achieved remarkable success in computer vision; however, training DNNs for satisfactory performance remains challenging and suffers from sensitivity to empirical selections of an optimization algorithm for…

Deep neural networks (DNNs) may outperform human brains in complex tasks, but the lack of transparency in their decision-making processes makes us question whether we could fully trust DNNs with high stakes problems. As DNNs' operations…

Deep neural networks (DNNs) are powerful machine learning models and have succeeded in various artificial intelligence tasks. Although various architectures and modules for the DNNs have been proposed, selecting and designing the…

This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two well-known GARCH-type option pricing models: Duan's GARCH…

We theoretically discuss why deep neural networks (DNNs) performs better than other models in some cases by investigating statistical properties of DNNs for non-smooth functions. While DNNs have empirically shown higher performance than…

The Heston stochastic volatility model is a widely used tool in financial mathematics for pricing European options. However, its calibration remains computationally intensive and sensitive to local minima due to the model's nonlinear…

This paper presents a state-of-the-art overview on how to architect, design, and optimize Deep Neural Networks (DNNs) such that performance is improved and accuracy is preserved. The paper covers a set of optimizations that span the entire…

Deep neural networks (DNNs) are efficient solvers for ill-posed problems and have been shown to outperform classical optimization techniques in several computational imaging problems. DNNs are trained by solving an optimization problem…

While deep neural networks (DNNs) have been increasingly applied to choice analysis showing high predictive power, it is unclear to what extent researchers can interpret economic information from DNNs. This paper demonstrates that DNNs can…

Deep Neural Networks (DNNs) training can be difficult due to vanishing and exploding gradients during weight optimization through backpropagation. To address this problem, we propose a general class of Hamiltonian DNNs (H-DNNs) that stem…