Related papers: Learning the Exact SABR Model
We derive a new margin-based regularization formulation, termed multi-margin regularization (MMR), for deep neural networks (DNNs). The MMR is inspired by principles that were applied in margin analysis of shallow linear classifiers, e.g.,…
This study introduces a dynamic Bayesian network (DBN) framework for forecasting value at risk (VaR) and stressed VaR (SVaR) and compares its performance to several commonly applied models. Using daily S&P 500 index returns from 1991 to…
Stochastic neural networks (SNNs) are random functions whose predictions are gained by averaging over multiple realizations. Consequently, a gradient-based adversarial example is calculated based on one set of samples and its classification…
We develop a deep learning algorithm for constructing globally accurate approximations to functional rational expectations equilibria of dynamic stochastic economies in the sequence space. We use deep neural networks to parameterize key…
We propose a new financial model, the stochastic volatility model with sticky drawdown and drawup processes (SVSDU model), which enables us to capture the features of winning and losing streaks that are common across financial markets but…
In this article, we show how the scaling symmetry of the SABR model can be utilized to efficiently price European options. For special kinds of payoffs, the complexity of the problem is reduced by one dimension. For more generic payoffs,…
Dynamic Spectral Backpropagation (DSBP) enhances neural network training under resource constraints by projecting gradients onto principal eigenvectors, reducing complexity and promoting flat minima. Five extensions are proposed, dynamic…
Deep neural networks (DNNs) have achieved state-of-the-art performance across a variety of traditional machine learning tasks, e.g., speech recognition, image classification, and segmentation. The ability of DNNs to efficiently approximate…
State of the art Deep Neural Networks (DNN) can now achieve above human level accuracy on image classification tasks. However their outstanding performances come along with a complex inference mechanism making them arduously interpretable…
Deep convolutional neural network (DCNN for short) models are vulnerable to examples with small perturbations. Adversarial training (AT for short) is a widely used approach to enhance the robustness of DCNN models by data augmentation. In…
Modern deep neural networks (DNNs) have achieved state-of-the-art performances but are typically over-parameterized. The over-parameterization may result in undesirably large generalization error in the absence of other customized training…
More competent learning models are demanded for data processing due to increasingly greater amounts of data available in applications. Data that we encounter often have certain embedded sparsity structures. That is, if they are represented…
Deep neural networks (DNN) are versatile parametric models utilised successfully in a diverse number of tasks and domains. However, they have limitations---particularly from their lack of robustness and over-sensitivity to out of…
Deep neural networks (DNNs) are increasingly used in real-world applications (e.g. facial recognition). This has resulted in concerns about the fairness of decisions made by these models. Various notions and measures of fairness have been…
Deep neural networks (DNNs) are increasingly being deployed in high-stakes applications, from self-driving cars to biometric authentication. However, their unpredictable and unreliable behaviors in real-world settings require new approaches…
A long memory and non-linear realized volatility model class is proposed for direct Value at Risk (VaR) forecasting. This model, referred to as RNN-HAR, extends the heterogeneous autoregressive (HAR) model, a framework known for efficiently…
We study the performance of stochastically trained deep neural networks (DNNs) whose synaptic weights are implemented using emerging memristive devices that exhibit limited dynamic range, resolution, and variability in their programming…
Network regularization is an effective tool for incorporating structural prior knowledge to learn coherent models over networks, and has yielded provably accurate estimates in applications ranging from spatial economics to neuroimaging…
The volatility fitting is one of the core problems in the equity derivatives business. Through a set of deterministic rules, the degrees of freedom in the implied volatility surface encoding (parametrization, density, diffusion) are…
Tabular data, widely used in industries like healthcare, finance, and transportation, presents unique challenges for deep learning due to its heterogeneous nature and lack of spatial structure. This survey reviews the evolution of deep…