Related papers: Tensoring volatility calibration
We derive quantitative error bounds for deep neural networks (DNNs) approximating option prices on a $d$-dimensional risky asset as functions of the underlying model parameters, payoff parameters and initial conditions. We cover a general…
We introduce deep tensor networks, which are exponentially wide neural networks based on the tensor network representation of the weight matrices. We evaluate the proposed method on the image classification (MNIST, FashionMNIST) and…
This paper presents how to use Chebyshev Tensors to compute dynamic sensitivities of financial instruments within a Monte Carlo simulation. Dynamic sensitivities are then used to compute Dynamic Initial Margin as defined by ISDA (SIMM). The…
Probabilistic predictions from neural networks which account for predictive uncertainty during classification is crucial in many real-world and high-impact decision making settings. However, in practice most datasets are trained on…
Optimal decision making requires that classifiers produce uncertainty estimates consistent with their empirical accuracy. However, deep neural networks are often under- or over-confident in their predictions. Consequently, methods have been…
Deep convolutional neural networks (ConvNets) of 3-dimensional kernels allow joint modeling of spatiotemporal features. These networks have improved performance of video and volumetric image analysis, but have been limited in size due to…
We present a new Deep Neural Network (DNN) architecture capable of approximating functions up to machine accuracy. Termed Chebyshev Feature Neural Network (CFNN), the new structure employs Chebyshev functions with learnable frequencies as…
Perturbation theory is a powerful tool for studying large-scale structure formation in the universe and calculating observables such as the power spectrum or bispectrum. However, beyond linear order, typically this is done by assuming a…
We present a robust Deep Hedging framework for the pricing and hedging of option portfolios that significantly improves training efficiency and model robustness. In particular, we propose a neural model for training model embeddings which…
Elasticities in depth, width, kernel size and resolution have been explored in compressing deep neural networks (DNNs). Recognizing that the kernels in a convolutional neural network (CNN) are 4-way tensors, we further exploit a new…
Deep unfolding is a promising deep-learning technique, whose network architecture is based on expanding the recursive structure of existing iterative algorithms. Although convergence acceleration is a remarkable advantage of deep unfolding,…
Deep neural networks have rightfully won the place of one of the most accurate analysis tools in high energy physics. In this paper we will cover several methods of improving the performance of a deep neural network in a classification task…
We price European-style options written on forward contracts in a commodity market, which we model with an infinite-dimensional Heath-Jarrow-Morton (HJM) approach. For this purpose we introduce a new class of state-dependent volatility…
Rapid development in numerical modelling of materials and the complexity of new models increases quickly together with their computational demands. Despite the growing performance of modern computers and clusters, calibration of such models…
Permeability is a central concept in the macroscopic description of flow through porous media, with applications spanning from oil recovery to hydrology. Traditional methods for determining the permeability tensor involving flow simulations…
Deep neural networks offer numerous potential applications across geoscience, for example, one could argue that they are the state-of-the-art method for predicting faults in seismic datasets. In quantitative reservoir characterization…
We study pricing and hedging under parameter uncertainty for a class of Markov processes which we call generalized affine processes and which includes the Black-Scholes model as well as the constant elasticity of variance (CEV) model as…
With neural networks being used to control safety-critical systems, they increasingly have to be both accurate (in the sense of matching inputs to outputs) and robust. However, these two properties are often at odds with each other and a…
We apply supervised deep neural networks (DNNs) for pricing and calibration of both vanilla and exotic options under both diffusion and pure jump processes with and without stochastic volatility. We train our neural network models under…
Stochastic volatility models, where the volatility is a stochastic process, can capture most of the essential stylized facts of implied volatility surfaces and give more realistic dynamics of the volatility smile/skew. However, they come…