相关论文: A deep learning approach for pricing convertible b…

The deep operator network (DeepONet) is a popular neural operator architecture that has shown promise in solving partial differential equations (PDEs) by using deep neural networks to map between infinite-dimensional function spaces. In the…

We propose a data-driven framework for learning reduced-order moment dynamics from PDE-governed systems using Neural ODEs. In contrast to derivative-based methods like SINDy, which necessitate densely sampled data and are sensitive to…

In recent years, the growing frequency and severity of natural disasters have increased the need for effective tools to manage catastrophe risk. Catastrophe (CAT) bonds allow the transfer of part of this risk to investors, offering an…

A heat kernel approach is proposed for the development of a general, flexible, and mathematically tractable asset pricing framework in finite time. The pricing kernel, giving rise to the price system in an incomplete market, is modelled by…

We present a time dependent variational method to learn the mechanisms of equilibrium reactive processes and efficiently evaluate their rates within a transition path ensemble. This approach builds off variational path sampling methodology…

Projection-based model reduction has become a popular approach to reduce the cost associated with integrating large-scale dynamical systems so they can be used in many-query settings such as optimization and uncertainty quantification. For…

In practical structural design and solid mechanics simulations, material properties inherently exhibit random variations within bounded intervals. However, evaluating mechanical responses under continuous material uncertainty remains a…

Motion prediction and cost evaluation are vital components in the decision-making system of autonomous vehicles. However, existing methods often ignore the importance of cost learning and treat them as separate modules. In this study, we…

The present study investigates the numerical solution of Black-Scholes partial differential equation (PDE) for option valuation with multiple underlying assets. We develop a physics-informed (PI) machine learning algorithm based on a radial…

We present a data-driven control framework for partial differential equations (PDEs). Our approach integrates Time-Integrated Deep Operator Networks (TI-DeepONets) as differentiable PDE surrogate models within the Differentiable Predictive…

Embedding is a useful technique to project a high-dimensional feature into a low-dimensional space, and it has many successful applications including link prediction, node classification and natural language processing. Current approaches…

We develop a novel deep learning approach for pricing European options in diffusion models, that can efficiently handle high-dimensional problems resulting from Markovian approximations of rough volatility models. The option pricing partial…

This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…

We detect the parameter sensitivities of bond pricing which is driven by a Brownian motion and a compound Poisson process as the discontinuous case in credit risk research. The strict mathematical deductions are given theoretically due to…

Deep hedging is a deep-learning-based framework for derivative hedging in incomplete markets. The advantage of deep hedging lies in its ability to handle various realistic market conditions, such as market frictions, which are challenging…

Neural differential equations offer a powerful approach for learning dynamics from data. However, they do not impose known constraints that should be obeyed by the learned model. It is well-known that enforcing constraints in surrogate…

In recent years, the dynamic factor model has emerged as a dominant tool in economics and finance, particularly for investment strategies. This model offers improved handling of complex, nonlinear, and noisy market conditions compared to…

Deep learning methods have become a widespread toolbox for pricing and calibration of financial models. While they often provide new directions and research results, their `black box' nature also results in a lack of interpretability. We…

Accurate prediction of bond dissociation energies (BDEs) underpins mechanistic insight and the rational design of molecules and materials. We present a systematic, reproducible benchmark comparing quantum and classical machine learning…

The application of deep learning to non-stationary temporal datasets can lead to overfitted models that underperform under regime changes. In this work, we propose a modular machine learning pipeline for ranking predictions on temporal…