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

We introduce a physics-driven deep latent variable model (PDDLVM) to learn simultaneously parameter-to-solution (forward) and solution-to-parameter (inverse) maps of parametric partial differential equations (PDEs). Our formulation…

The special and important problems of default prediction for municipal bonds are addressed using a combination of text embeddings from a pre-trained transformer network, a fully connected neural network, and synthetic oversampling. The…

We consider a dynamic pricing problem where customer response to the current price is impacted by the customer price expectation, aka reference price. We study a simple and novel reference price mechanism where reference price is the…

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…

In this work, we introduce a novel pricing methodology in general, possibly non-Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one…

We propose a new algorithm for solving parabolic partial differential equations (PDEs) and backward stochastic differential equations (BSDEs) in high dimension, by making an analogy between the BSDE and reinforcement learning with the…

We reinterpret and propose a framework for pricing path-dependent financial derivatives by estimating the full distribution of payoffs using Distributional Reinforcement Learning (DistRL). Unlike traditional methods that focus on expected…

Traditional data-driven deep learning models often struggle with high training costs, error accumulation, and poor generalizability in complex physical processes. Physics-informed deep learning (PiDL) addresses these challenges by…

The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move beyond the class of convex risk measures considered in…

Credit risk in the China's bond market has become increasingly evident, creating a progressively escalating risk of default for credit bond investors. Given the current incomplete and inaccurate bond information disclosure, timely tracking…

Accurately predicting the prices of financial time series is essential and challenging for the financial sector. Owing to recent advancements in deep learning techniques, deep learning models are gradually replacing traditional statistical…

In this paper we study partial differential equations (PDEs) that can be used to model value adjustments. Different value adjustments denoted generally as xVA are nowadays added to the risk-free financial derivative values and the PDE…

In incomplete financial markets, pricing and hedging European options lack a unique no-arbitrage solution due to unhedgeable risks. This paper introduces a constrained deep learning approach to determine option prices and hedging strategies…

The inverse problem of supervised reconstruction of depth-variable (time-dependent) parameters in a neural ordinary differential equation (NODE) is considered, that means finding the weights of a residual network with time continuous…

In recent years, quantitative investment methods combined with artificial intelligence have attracted more and more attention from investors and researchers. Existing related methods based on the supervised learning are not very suitable…

In corporate bond markets, which are mainly OTC markets, market makers play a central role by providing bid and ask prices for a large number of bonds to asset managers from all around the globe. Determining the optimal bid and ask quotes…

We address challenges in variable selection with highly correlated data that are frequently present in finance, economics, but also in complex natural systems as e.g. weather. We develop a robustified version of the knockoff framework,…

Deep learning is a form of machine learning for nonlinear high dimensional pattern matching and prediction. By taking a Bayesian probabilistic perspective, we provide a number of insights into more efficient algorithms for optimisation and…

Recent advances in deep learning have enabled us to address the curse of dimensionality (COD) by solving problems in higher dimensions. A subset of such approaches of addressing the COD has led us to solving high-dimensional PDEs. This has…

Deployed prediction systems are often retrained on fixed calendars, even when model staleness and retraining burden vary over time. This short communication formulates retraining for Bayesian prediction systems as a cost-sensitive…