相关论文: Pricing European Options with Google AutoML, Tenso…

We introduce a new class of neural networks designed to be convex functions of their inputs, leveraging the principle that any convex function can be represented as the supremum of the affine functions it dominates. These neural networks,…

Machine learning has changed the computing paradigm. Products today are built with machine intelligence as a central attribute, and consumers are beginning to expect near-human interaction with the appliances they use. However, much of the…

Accurate option pricing is essential for effective trading and risk management in financial markets, yet it remains challenging due to market volatility and the limitations of traditional models like Black-Scholes. In this paper, we…

Online leading has disrupted the traditional consumer banking sector with more effective loan processing. Risk prediction and monitoring is critical for the success of the business model. Traditional credit score models fall short in…

Artificial intelligence (AI) and machine learning (ML) have become vital to remain competitive for financial services companies around the globe. The two models currently competing for the pole position in credit risk management are deep…

This study introduces an interpretable machine learning (ML) framework to extract macroeconomic alpha from global news sentiment. We process the Global Database of Events, Language, and Tone (GDELT) Project's worldwide news feed using…

European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. American option prices can be obtained by solving…

Organizations often lack sufficient data to effectively train machine learning (ML) models, while others possess valuable data that remains underutilized. Data markets promise to unlock substantial value by matching data suppliers with…

Following the foundational work of the Black--Scholes model, extensive research has been developed to price the option by addressing its underlying assumptions and associated pricing biases. This study introduces a novel framework for…

Gradient boosting for decision tree algorithms are increasingly used in actuarial applications as they show superior predictive performance over traditional generalised linear models. Many enhancements to the first gradient boosting machine…

In this short paper we investigate whether meta-learning techniques can be used to more effectively tune the hyperparameters of machine learning models using successive halving (SH). We propose a novel variant of the SH algorithm (MeSH),…

In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, a…

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…

Medical diagnosis is a crucial task in the medical field, in terms of providing accurate classification and respective treatments. Having near-precise decisions based on correct diagnosis can affect a patient's life itself, and may…

We study neural networks as nonparametric estimation tools for the hedging of options. To this end, we design a network, named HedgeNet, that directly outputs a hedging strategy. This network is trained to minimise the hedging error instead…

Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…

The rapid growth of the stock market has attracted many investors due to its potential for significant profits. However, predicting stock prices accurately is difficult because financial markets are complex and constantly changing. This is…

The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo simulation has become the industry standard. In low…

This paper contributes to the literature on parametric demand estimation by using deep learning to model consumer preferences. Traditional econometric methods often struggle with limited within-product price variation, a challenge addressed…

Several machine learning frameworks for augmenting turbulence closure models have been recently proposed. However, the generalizability of an augmented turbulence model remains an open question. We investigate this question by…