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In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model. We introduce a new multivariate Levy process model named the generalized normal tempered…
During the last decade, deep neural networks (DNN) have demonstrated impressive performances solving a wide range of problems in various domains such as medicine, finance, law, etc. Despite their great performances, they have long been…
Understanding the role of (stochastic) gradient descent (SGD) in the training and generalisation of deep neural networks (DNNs) with ReLU activation has been the object study in the recent past. In this paper, we make use of deep gated…
Mean field theory has been successfully used to analyze deep neural networks (DNN) in the infinite size limit. Given the finite size of realistic DNN, we utilize the large deviation theory and path integral analysis to study the deviation…
Deep hedging represents a cutting-edge approach to risk management for financial derivatives by leveraging the power of deep learning. However, existing methods often face challenges related to computational inefficiency, sensitivity to…
Volatility is a quantity of measurement for the price movements of stocks or options which indicates the uncertainty within financial markets. As an indicator of the level of risk or the degree of variation, volatility is important to…
Deep neural networks (DNNs) generate much richer function spaces than shallow networks. Since the function spaces induced by shallow networks have several approximation theoretic drawbacks, this explains, however, not necessarily the…
Due to the powerful learning ability on high-rank and non-linear features, deep neural networks (DNNs) are being applied to data mining and machine learning in various fields, and exhibit higher discrimination performance than conventional…
Deep neural networks (DNNs) are becoming increasingly deeper, wider, and non-linear due to the growing demands on prediction accuracy and analysis quality. When training a DNN model, the intermediate activation data must be saved in the…
With the increasing adoption of Deep Neural Network (DNN) models as integral parts of software systems, efficient operational testing of DNNs is much in demand to ensure these models' actual performance in field conditions. A challenge is…
In this paper, we consider robust nonparametric regression using deep neural networks with ReLU activation function. While several existing theoretically justified methods are geared towards robustness against identical heavy-tailed noise…
Deep learning searches for nonlinear factors for predicting asset returns. Predictability is achieved via multiple layers of composite factors as opposed to additive ones. Viewed in this way, asset pricing studies can be revisited using…
Deep Neural Networks (DNN) are increasingly used as components of larger software systems that need to process complex data, such as images, written texts, audio/video signals. DNN predictions cannot be assumed to be always correct for…
Neuron death is a complex phenomenon with implications for model trainability: the deeper the network, the lower the probability of finding a valid initialization. In this work, we derive both upper and lower bounds on the probability that…
Deep neural networks have demonstrated remarkable performance across various domains, yet their decision-making processes remain opaque. Although many explanation methods are dedicated to bringing the obscurity of DNNs to light, they…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
We consider the supervised learning problem of learning the price of an option or the implied volatility given appropriate input data (model parameters) and corresponding output data (option prices or implied volatilities). The majority of…
Deep Neural Networks (DNNs) are rapidly being applied to safety-critical domains such as drone and airplane control, motivating techniques for verifying the safety of their behavior. Unfortunately, DNN verification is NP-hard, with current…
Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et…
This paper studies equity basket options -- i.e., multi-dimensional derivatives whose payoffs depend on the value of a weighted sum of the underlying stocks -- and develops a new and innovative approach to ensure consistency between options…