Automatic adjoint differentiation for gradient descent and model calibration [PDF]
, 2020 In this work, we discuss the Automatic Adjoint Differentiation (AAD) for functions of the form G=12∑m1(Eyi−Ci)2, which often appear in the calibration of stochastic models.
Goloubentsev, Dmitri, Lakshtanov, Evgeny
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Adomian decomposition method for analytical solution of a continuous arithmetic Asian option pricing model [PDF]
, 2019 One of the main issues of concern in financial mathematics has been a viable method for obtaining analytical solutions of the Black-Scholes model associated with Arithmetic Asian Option (AAO).
Akinlabi, G. O. +2 more
core +7 more sources
Deep neural networks for quantum circuit mapping
Neural computing & applications (Print), 2021 Quantum computers have become reality thanks to the effort of some majors in developing innovative technologies that enable the usage of quantum effects in computation, so as to pave the way towards the design of efficient quantum algorithms to use in ...
G. Acampora, Roberto Schiattarella
semanticscholar +1 more source
Integration of Fractional Order Black-Scholes Merton with Neural Network
, 2023 This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model.
Arora, Kapil +3 more
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SIMULATION FROM ENDPOINT-CONDITIONED, CONTINUOUS-TIME MARKOV CHAINS ON A FINITE STATE SPACE, WITH APPLICATIONS TO MOLECULAR EVOLUTION. [PDF]
Annals of Applied Statistics, 2009 Analyses of serially-sampled data often begin with the assumption that the observations represent discrete samples from a latent continuous-time stochastic process.
A. Hobolth, Eric A. Stone
semanticscholar +1 more source
Empirical properties of inter-cancellation durations in the Chinese stock market [PDF]
Front. Physics, 2014 Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models.
Gao-Feng Gu +4 more
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BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems [PDF]
, 2018 In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging.
Haentjens, T. (Tinne) +11 more
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Pricing high-dimensional Bermudan options with hierarchical tensor formats [PDF]
, 2021 An efficient compression technique based on hierarchical tensors for popular option pricing methods is presented. It is shown that the "curse of dimensionality" can be alleviated for the computation of Bermudan option prices with the Monte Carlo least ...
Bayer, Christian +3 more
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Estimation of Historical volatility and Allocation strategies using Variance Swaps [PDF]
arXiv, 2022 In this memorie de fin d'etudes, we review some techniques to estimate historical volatility and to price Variance ...
arxiv
Pricing American options via multi-level approximation methods [PDF]
, 2013 In this article we propose a novel approach to reduce the computational complexity of various approximation methods for pricing discrete time American options. Given a sequence of continuation values estimates corresponding to different levels of spatial
Belomestny, Denis +2 more
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