相关论文: On Calibration Neural Networks for extracting impl…

Calibrated estimates of uncertainty are critical for many real-world computer vision applications of deep learning. While there are several widely-used uncertainty estimation methods, dropout inference stands out for its simplicity and…

Many current autonomous systems are being designed with a strong reliance on black box predictions from deep neural networks (DNNs). However, DNNs tend to be overconfident in predictions on unseen data and can give unpredictable results for…

Deterministic neural nets have been shown to learn effective predictors on a wide range of machine learning problems. However, as the standard approach is to train the network to minimize a prediction loss, the resultant model remains…

Deep neural networks tend to underestimate uncertainty and produce overly confident predictions. Recently proposed solutions, such as MC Dropout and SDENet, require complex training and/or auxiliary out-of-distribution data. We propose a…

While the accuracy of modern deep learning models has significantly improved in recent years, the ability of these models to generate uncertainty estimates has not progressed to the same degree. Uncertainty methods are designed to provide…

Uncertainty estimation for machine learning models is of high importance in many scenarios such as constructing the confidence intervals for model predictions and detection of out-of-distribution or adversarially generated points. In this…

With the rapid advancement in the performance of deep neural networks (DNNs), there has been significant interest in deploying and incorporating artificial intelligence (AI) systems into real-world scenarios. However, many DNNs lack the…

In a recent paper "Deep Learning Volatility" a fast 2-step deep calibration algorithm for rough volatility models was proposed: in the first step the time consuming mapping from the model parameter to the implied volatilities is learned by…

Predicting volatility is important for asset predicting, option pricing and hedging strategies because it cannot be directly observed in the financial market. The Black-Scholes option pricing model is one of the most widely used models by…

No--arbitrage property provides a simple method for pricing financial derivatives. However, arbitrage opportunities exist among different markets in various fields, even for a very short time. By knowing that an arbitrage property exists,…

From the statistical learning perspective, complexity control via explicit regularization is a necessity for improving the generalization of over-parameterized models. However, the impressive generalization performance of neural networks…

We propose a novel machine learning approach for forecasting the distribution of stock returns using a rich set of firm-level and market predictors. Our method combines a two-stage quantile neural network with spline interpolation to…

Physics-informed neural networks (PINNs) have recently emerged as an alternative way of solving partial differential equations (PDEs) without the need of building elaborate grids, instead, using a straightforward implementation. In…

Uncertainty quantification of machine learning and deep learning methods plays an important role in enhancing trust to the obtained result. In recent years, a numerous number of uncertainty quantification methods have been introduced. Monte…

This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration algorithm of option pricing models. We construct ANNs to calibrate parameters for two well-known GARCH-type option pricing models: Duan's GARCH…

Selective classification techniques (also known as reject option) have not yet been considered in the context of deep neural networks (DNNs). These techniques can potentially significantly improve DNNs prediction performance by trading-off…

Recent progress in the field of artificial intelligence, machine learning and also in computer industry resulted in the ongoing boom of using these techniques as applied to solving complex tasks in both science and industry. Same is, of…

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…

Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893-916]. As an application, we propose a Newton-Raphson…

Probabilistic machine learning techniques can learn both complex relations between input features and output quantities of interest as well as take into account stochasticity or uncertainty within a data set. In this initial work, we…