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The design of revenue-maximizing auctions with strong incentive guarantees is a core concern of economic theory. Computational auctions enable online advertising, sourcing, spectrum allocation, and myriad financial markets. Analytic…
While deep neural networks have succeeded in several visual applications, such as object recognition, detection, and localization, by reaching very high classification accuracies, it is important to note that many real-world applications…
A method to increase the precision of feedforward networks is proposed. It requires a prior knowledge of a target function derivatives of several orders and uses this information in gradient based training. Forward pass calculates not only…
We propose a gradient-based deep learning framework to calibrate the Heston option pricing model (Heston, 1993). Our neural network, henceforth deep differential network (DDN), learns both the Heston pricing formula for plain-vanilla…
We propose using deep reinforcement learning to solve dynamic stochastic general equilibrium models. Agents are represented by deep artificial neural networks and learn to solve their dynamic optimisation problem by interacting with the…
Machine translation systems based on deep neural networks are expensive to train. Curriculum learning aims to address this issue by choosing the order in which samples are presented during training to help train better models faster. We…
This script offers an implementation-oriented introduction to deep learning methods for solving and estimating high-dimensional dynamic stochastic models in economics and finance. Its starting point is the curse of dimensionality:…
Multi-Domain Learning (MDL) refers to the problem of learning a set of models derived from a common deep architecture, each one specialized to perform a task in a certain domain (e.g., photos, sketches, paintings). This paper tackles MDL…
Differential equations are a ubiquitous tool to study dynamics, ranging from physical systems to complex systems, where a large number of agents interact through a graph with non-trivial topological features. Data-driven approximations of…
Dynamic neural networks are a recent technique that promises a remedy for the increasing size of modern deep learning models by dynamically adapting their computational cost to the difficulty of the inputs. In this way, the model can adjust…
This paper explores advancements in quantum algorithms for derivative pricing of exotics, a computational pipeline of fundamental importance in quantitative finance. For such cases, the classical Monte Carlo integration procedure provides…
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained to satisfy the PDE as well as the boundary conditions. Two…
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…
Deep neural networks provide flexible frameworks for learning data representations and functions relating data to other properties and are often claimed to achieve 'super-human' performance in inferring relationships between input data and…
A change of the prevalent supervised learning techniques is foreseeable in the near future: from the complex, computational expensive algorithms to more flexible and elementary training ones. The strong revitalization of randomized…
Popular approaches for quantifying predictive uncertainty in deep neural networks often involve distributions over weights or multiple models, for instance via Markov Chain sampling, ensembling, or Monte Carlo dropout. These techniques…
In industrial machine learning pipelines, data often arrive in parts. Particularly in the case of deep neural networks, it may be too expensive to train the model from scratch each time, so one would rather use a previously learned model…
This work focuses on the dynamic hedging of financial derivatives, where a reinforcement learning algorithm is designed to minimize the variance of the delta hedging process. In contrast to previous research in this area, we apply…
Deep learning is a powerful tool whose applications in quantitative finance are growing every day. Yet, artificial neural networks behave as black boxes and this hinders validation and accountability processes. Being able to interpret the…
Deep learning applies hierarchical layers of hidden variables to construct nonlinear high dimensional predictors. Our goal is to develop and train deep learning architectures for spatio-temporal modeling. Training a deep architecture is…