Related papers: Deep Calibration With Artificial Neural Network: A…
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training…
Here, we use Machine Learning (ML) algorithms to update and improve the efficiencies of fitting GARCH model parameters to empirical data. We employ an Artificial Neural Network (ANN) to predict the parameters of these models. We present a…
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value financial options and to calculate implied volatilities with the aim of accelerating the corresponding numerical methods. With ANNs being…
In this article we propose a new deep learning approach to approximate operators related to parametric partial differential equations (PDEs). In particular, we introduce a new strategy to design specific artificial neural network (ANN)…
Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). In this work, the classical problem of pricing European and American financial options, based on the corresponding PDE…
Artificial neural networks (ANNs) are highly flexible predictive models. However, reliably quantifying uncertainty for their predictions is a continuing challenge. There has been much recent work on "recalibration" of predictive…
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…
Recently artificial neural networks (ANNs) have seen success in volatility prediction, but the literature is divided on where an ANN should be used rather than the common GARCH model. The purpose of this study is to compare the volatility…
We explore the performance of various artificial neural network architectures, including a multilayer perceptron (MLP), Kolmogorov-Arnold network (KAN), LSTM-GRU hybrid recursive neural network (RNN) models, and a time-delay neural network…
We present a novel deep learning-based algorithm to accelerate - through the use of Artificial Neural Networks (ANNs) - the convergence of Algebraic Multigrid (AMG) methods for the iterative solution of the linear systems of equations…
Time-series calibrations often suggest that the GARCH diffusion model could also be a suitable candidate for option (risk-neutral) calibration. But unlike the popular Heston model, it lacks a fast, semi-analytic solution for the pricing of…
Artificial neural networks (ANNs) are used in various applications for data-driven black-box modeling and subsequent optimization. Herein, we present an efficient method for deterministic global optimization of ANN embedded optimization…
Volatility, which indicates the dispersion of returns, is a crucial measure of risk and is hence used extensively for pricing and discriminating between different financial investments. As a result, accurate volatility prediction receives…
We analyze a fixed-point algorithm for reinforcement learning (RL) of optimal portfolio mean-variance preferences in the setting of multivariate generalized autoregressive conditional-heteroskedasticity (MGARCH) with a small penalty on…
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…
The main aim of this study is to introduce a 2-layered Artificial Neural Network (ANN) for solving the Black-Scholes partial differential equation (PDE) of either fractional or ordinary orders. Firstly, a discretization method is employed…
Neural Algorithmic Reasoning (NAR) research has demonstrated that graph neural networks (GNNs) could learn to execute classical algorithms. However, most previous approaches have always used a recurrent architecture, where each iteration of…
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…
Extracting implied information, like volatility and/or dividend, from observed option prices is a challenging task when dealing with American options, because of the computational costs needed to solve the corresponding mathematical problem…
Algebraic multigrid (AMG) methods are among the most efficient solvers for linear systems of equations and they are widely used for the solution of problems stemming from the discretization of Partial Differential Equations (PDEs). The most…