相关论文: Deep ReLU Network Expression Rates for Option Pric…

We derive the fast convergence rates of a deep neural network (DNN) classifier with the rectified linear unit (ReLU) activation function learned using the hinge loss. We consider three cases for a true model: (1) a smooth decision boundary,…

We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a drifted L\'{e}vy process entailing a Brownian diffusion…

The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…

Linear regression, firstly introduced for the pricing of American-style options, has since been expanded to include swing options pricing. Swing options price may be viewed as the solution to a Backward Dynamic Programming Principle, which…

Consider a deep neural network (DNN) that is being used to suggest the direction in which an aircraft must turn to avoid a possible collision with an intruder aircraft. Informally, such a network is well-behaved if it asks the own ship to…

We analyze the structure of a one-dimensional deep ReLU neural network (ReLU DNN) in comparison to the model of continuous piecewise linear (CPL) spline functions with arbitrary knots. In particular, we give a recursive algorithm to…

We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series…

This paper explores the intricate behavior of deep neural networks (DNNs) through the lens of neuron activation dynamics. We propose a probabilistic framework that can analyze models' neuron activation patterns as a stochastic process,…

The estimation of the Risk Neutral Density (RND) implicit in option prices is challenging, especially in illiquid markets. We introduce the Deep Log-Sum-Exp Neural Network, an architecture that leverages Deep and Transfer learning to…

Deep neural networks (DNNs) form the backbone of almost every state-of-the-art technique in the fields such as computer vision, speech processing, and text analysis. The recent advances in computational technology have made the use of DNNs…

We model the price of a stock via a Lang\'{e}vin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound…

Deep neural networks (DNNs) achieve impressive results for complicated tasks like object detection on images and speech recognition. Motivated by this practical success, there is now a strong interest in showing good theoretical properties…

This article investigates the use of random feature neural networks for learning Kolmogorov partial (integro-)differential equations associated to Black-Scholes and more general exponential L\'evy models. Random feature neural networks are…

During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…

In this paper, we construct neural networks with ReLU, sine and $2^x$ as activation functions. For general continuous $f$ defined on $[0,1]^d$ with continuity modulus $\omega_f(\cdot)$, we construct ReLU-sine-$2^x$ networks that enjoy an…

This paper considers the growth in the length of one-dimensional trajectories as they are passed through deep ReLU neural networks, which, among other things, is one measure of the expressivity of deep networks. We generalise existing…

In this paper we investigate the family of functions representable by deep neural networks (DNN) with rectified linear units (ReLU). We give an algorithm to train a ReLU DNN with one hidden layer to *global optimality* with runtime…

Overparameterized ML models, including neural networks, typically induce underdetermined training objectives with multiple global minima. The implicit bias refers to the limiting global minimum that is attained by a common optimization…

The success of deep networks has been attributed in part to their expressivity: per parameter, deep networks can approximate a richer class of functions than shallow networks. In ReLU networks, the number of activation patterns is one…

Conventional wisdom suggests that neural network predictions tend to be unpredictable and overconfident when faced with out-of-distribution (OOD) inputs. Our work reassesses this assumption for neural networks with high-dimensional inputs.…