Related papers: DeepSVM: Learning Stochastic Volatility Models wit…

This paper presents an algorithm for a complete and efficient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least squares problem. We exploit a suitable representation of the Heston…

Physics-informed neural networks and operator networks have shown promise for effectively solving equations modeling physical systems. However, these networks can be difficult or impossible to train accurately for some systems of equations.…

State-space models (SSMs) offer a powerful framework for dynamical system analysis, wherein the temporal dynamics of the system are assumed to be captured through the evolution of the latent states, which govern the values of the…

Operator learning for complex nonlinear systems is increasingly common in modeling multi-physics and multi-scale systems. However, training such high-dimensional operators requires a large amount of expensive, high-fidelity data, either…

This report investigates the computation of option Greeks for European and Asian options under the Heston stochastic volatility model on GPU. We first implemented the exact simulation method proposed by Broadie and Kaya and used it as a…

The quadratic rough Heston model provides a natural way to encode Zumbach effect in the rough volatility paradigm. We apply multi-factor approximation and use deep learning methods to build an efficient calibration procedure for this model.…

The Heston stochastic volatility model is arguably, the most popular stochastic volatility model used to price and risk manage exotic derivatives. In spite of this, it is not necessarily easy to calibrate to the market and obtain stable…

We present a numerically efficient approach for learning a risk-neutral measure for paths of simulated spot and option prices up to a finite horizon under convex transaction costs and convex trading constraints. This approach can then be…

Multi-asset option pricing under local- and stochastic-volatility models leads naturally to high-dimensional parabolic PDEs. We develop an end-to-end quantum PDE framework for European option pricing under local-volatility Black--Scholes…

We present $\phi-$DeepONet, a physics-informed neural operator designed to learn mappings between function spaces that may contain discontinuities or exhibit non-smooth behavior. Classical neural operators are based on the universal…

We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other…

We study the Heston model for pricing European options on stocks with stochastic volatility. This is a Black\--Scholes\--type equation whose spatial domain for the logarithmic stock price $x\in \RR$ and the variance $v\in (0,\infty)$ is the…

We identify effective stochastic differential equations (SDE) for coarse observables of fine-grained particle- or agent-based simulations; these SDE then provide useful coarse surrogate models of the fine scale dynamics. We approximate the…

Deep learning methods achieve state-of-the-art performance in many application scenarios. Yet, these methods require a significant amount of hyperparameters tuning in order to achieve the best results. In particular, tuning the learning…

In this paper, we evaluate the effectiveness of deep operator networks (DeepONets) in solving both forward and inverse problems of partial differential equations (PDEs) on unknown manifolds. By unknown manifolds, we identify the manifold by…

Deep operator networks (DeepONets, DONs) offer a distinct advantage over traditional neural networks in their ability to be trained on multi-resolution data. This property becomes especially relevant in real-world scenarios where…

In this work, we propose an Operator Learning (OpL) method for solving boundary value inverse problems in partial differential equations (PDEs), focusing on recovering diffusion coefficients from boundary data. Inspired by the classical…

Neural operators have achieved strong performance in learning solution operators of partial differential equations (PDEs), but their inherently continuous representations struggle to capture discontinuities and sharp transitions. Existing…

Operator learning has emerged as a promising tool for accelerating the solution of partial differential equations (PDEs). The Deep Operator Networks (DeepONets) represent a pioneering framework in this area: the "vanilla" DeepONet is valued…

Predicting quantum operator matrices such as Hamiltonian, overlap, and density matrices in the density functional theory (DFT) framework is crucial for material science. Current methods often focus on individual operators and struggle with…