相关论文: Non-Linear pricing with differential machine learn…

This paper studies the pricing problem in which the underlying asset follows a non-Markovian stochastic volatility model. Classical partial differential equation methods face significant challenges in this context, as the option prices…

In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading methods, such as by conferring the ability to operate 24 hours…

In previous works Avellaneda et al. pioneered the pricing and hedging of index options - products highly sensitive to implied volatility and correlation assumptions - with large deviations methods, assuming local volatility dynamics for all…

We predict asset returns and measure risk premia using a prominent technique from artificial intelligence -- deep sequence modeling. Because asset returns often exhibit sequential dependence that may not be effectively captured by…

We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions. We obtain…

Trend following and momentum investing are common strategies employed by asset managers. Even though they can be helpful in the proper situations, they are limited in the sense that they work just by looking at past, as if we were driving…

This paper explores the implications of using machine learning models in the pricing of catastrophe (CAT) bonds. By integrating advanced machine learning techniques, our approach uncovers nonlinear relationships and complex interactions…

We report successful results from using deep learning neural networks (DLNNs) to learn, purely by observation, the behavior of profitable traders in an electronic market closely modelled on the limit-order-book (LOB) market mechanisms that…

Current pharmaceutical formulation development still strongly relies on the traditional trial-and-error approach by individual experiences of pharmaceutical scientists, which is laborious, time-consuming and costly. Recently, deep learning…

Derivatives, as a critical class of financial instruments, isolate and trade the price attributes of risk assets such as stocks, commodities, and indices, aiding risk management and enhancing market efficiency. However, traditional hedging…

Deep Learning is evolving fast and integrates into various domains. Finance is a challenging field for deep learning, especially in the case of interpretable artificial intelligence (AI). Although classical approaches perform very well with…

The approximation of solutions of partial differential equations (PDEs) with numerical algorithms is a central topic in applied mathematics. For many decades, various types of methods for this purpose have been developed and extensively…

A critical concern in data-driven decision making is to build models whose outcomes do not discriminate against some demographic groups, including gender, ethnicity, or age. To ensure non-discrimination in learning tasks, knowledge of the…

In this report, I present a deep learning approach to conduct a natural language processing (hereafter NLP) binary classification task for analyzing financial-fraud texts. First, I searched for regulatory announcements and enforcement…

Anomaly detection describes methods of finding abnormal states, instances or data points that differ from a normal value space. Industrial processes are a domain where predicitve models are needed for finding anomalous data instances for…

Discriminative features play an important role in image and object classification and also in other fields of research such as semi-supervised learning, fine-grained classification, out of distribution detection. Inspired by Linear…

Anomaly detection (AD), also referred to as outlier detection, is a statistical process aimed at identifying observations within a dataset that significantly deviate from the expected pattern of the majority of the data. Such a process…

The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary conditions is proposed, which allows to get rid…

This paper integrates deep neural networks (DNNs) into structural economic models to increase flexibility and capture rich heterogeneity while preserving interpretability. Economic structure and machine learning are complements in empirical…

In the big data era, deep learning and intelligent data mining technique solutions have been applied by researchers in various areas. Forecast and analysis of stock market data have represented an essential role in today's economy, and a…