Related papers: DeepSVM: Learning Stochastic Volatility Models wit…

To fully learn the latent temporal dependencies from post-disturbance system dynamic trajectories, deep learning is utilized for short-term voltage stability (STVS) assessment of power systems in this paper. First of all, a semi-supervised…

An important application of neural networks to scientific computing has been the learning of non-linear operators. In this framework, a neural network is trained to fit a non-linear map between two infinite dimensional spaces, for example,…

We investigate the use of path signatures in a machine learning context for hedging exotic derivatives under non-Markovian stochastic volatility models. In a deep learning setting, we use signatures as features in feedforward neural…

In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the volatility does vary. In quantitative finance, the Heston model…

Multiscale modeling is an effective approach for investigating multiphysics systems with largely disparate size features, where models with different resolutions or heterogeneous descriptions are coupled together for predicting the system's…

Simulating and predicting multiscale problems that couple multiple physics and dynamics across many orders of spatiotemporal scales is a great challenge that has not been investigated systematically by deep neural networks (DNNs). Herein,…

We propose a generic calibration framework to both vanilla and no-touch options for a large class of continuous semi-martingale models. The method builds upon the forward partial integro-differential equation (PIDE) derived in Hambly et al.…

Generating realistic synthetic option prices requires implied volatility as an input, yet implied volatility is itself derived from observed option prices, creating a circular dependency that limits synthetic data for machine-learning and…

This study provides a consistent and efficient pricing method for both Standard & Poor's 500 Index (SPX) options and the Chicago Board Options Exchange's Volatility Index (VIX) options under a multiscale stochastic volatility model. To…

Neural networks with sufficiently smooth activation functions can approximate values and derivatives of any smooth function, and they are differentiable themselves. We improve the approximation capability of neural networks by utilizing the…

In this paper we propose a new methodology for decision-making under uncertainty using recent advancements in the areas of nonlinear stochastic optimal control theory, applied mathematics, and machine learning. Grounded on the fundamental…

We propose a Finance-Informed Neural Network (FINN) for option pricing and hedging that integrates financial theory directly into machine learning. Instead of training on observed option prices, FINN is learned through a self-supervised…

Applications in quantitative finance such as optimal trade execution, risk management of options, and optimal asset allocation involve the solution of high dimensional and nonlinear Partial Differential Equations (PDEs). The connection…

Improving the robustness of neural nets in regression tasks is key to their application in multiple domains. Deep learning-based approaches aim to achieve this goal either by improving their prediction of specific values (i.e., point…

This study focuses on the application of the Heston model to option pricing, employing both theoretical derivations and empirical validations. The Heston model, known for its ability to incorporate stochastic volatility, is derived and…

We present a deep learning model, DE-LSTM, for the simulation of a stochastic process with an underlying nonlinear dynamics. The deep learning model aims to approximate the probability density function of a stochastic process via numerical…

In 'A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options', Heston proposes a Stochastic Volatility (SV) model with constant interest rate and derives a semi-explicit valuation formula.…

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…

This paper introduces a meta-learning approach for parameterized pseudo-differential operators with deep neural networks. With the help of the nonstandard wavelet form, the pseudo-differential operators can be approximated in a compressed…

Reduced Order Modeling (ROM) for engineering applications has been a major research focus in the past few decades due to the unprecedented physical insight into turbulence offered by high-fidelity CFD. The primary goal of a ROM is to model…