相关论文: Supervised Deep Neural Networks (DNNs) for Pricing…

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…

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 present a neural network based calibration method that performs the calibration task within a few milliseconds for the full implied volatility surface. The framework is consistently applicable throughout a range of volatility models…

We derive quantitative error bounds for deep neural networks (DNNs) approximating option prices on a $d$-dimensional risky asset as functions of the underlying model parameters, payoff parameters and initial conditions. We cover a general…

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…

Deep neural networks (DNN) are the state of the art on many engineering problems such as computer vision and audition. A key factor in the success of the DNN is scalability - bigger networks work better. However, the reason for this…

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…

We develop a minimax rate analysis to describe the reason that deep neural networks (DNNs) perform better than other standard methods. For nonparametric regression problems, it is well known that many standard methods attain the minimax…

Deep neural networks (DNN) have been widely used and play a major role in the field of computer vision and autonomous navigation. However, these DNNs are computationally complex and their deployment over resource-constrained platforms is…

We propose Impatient Deep Neural Networks (DNNs) which deal with dynamic time budgets during application. They allow for individual budgets given a priori for each test example and for anytime prediction, i.e., a possible interruption at…

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…

We present an algorithm for the calibration of local volatility from market option prices through deep self-consistent learning, by approximating both market option prices and local volatility using deep neural networks. Our method uses the…

Deep neural networks (DNNs) have been increasingly deployed on and integrated with edge devices, such as mobile phones, drones, robots and wearables. To run DNN inference directly on edge devices (a.k.a. edge inference) with a satisfactory…

Deep Neural Networks (DNN) have shown great promise in many classification applications, yet are widely known to have poorly calibrated predictions when they are over-parametrized. Improving DNN calibration without comprising on model…

We propose a novel method to explain trained deep neural networks (DNNs), by distilling them into surrogate models using unsupervised clustering. Our method can be applied flexibly to any subset of layers of a DNN architecture and can…

We propose a deep Recurrent neural network (RNN) framework for computing prices and deltas of American options in high dimensions. Our proposed framework uses two deep RNNs, where one network learns the price and the other learns the delta…

We propose in this work the gradient-enhanced deep neural networks (DNNs) approach for function approximations and uncertainty quantification. More precisely, the proposed approach adopts both the function evaluations and the associated…

Deep Neural Networks (DNNs) are powerful tools for various computer vision tasks, yet they often struggle with reliable uncertainty quantification - a critical requirement for real-world applications. Bayesian Neural Networks (BNN) are…

We introduce a novel approach to options trading strategies using a highly scalable and data-driven machine learning algorithm. In contrast to traditional approaches that often require specifications of underlying market dynamics or…

On-line Precision scalability of the deep neural networks(DNNs) is a critical feature to support accuracy and complexity trade-off during the DNN inference. In this paper, we propose dual-precision DNN that includes two different precision…