Results 61 to 70 of about 690,121 (120)
Error Analysis of Option Pricing via Deep PDE Solvers: Empirical Study
, 2023 Option pricing, a fundamental problem in finance, often requires solving non-linear partial differential equations (PDEs). When dealing with multi-asset options, such as rainbow options, these PDEs become high-dimensional, leading to challenges posed by ...
Assabumrungrat, Rawin +2 more
core
The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model [PDF]
Economics Bulletin, Economics Bulletin, 2016, 36 (2), 2016 By analysing the restrictions that ensure the existence of capital market equilibrium, we show that the coefficient of relative risk aversion and the subjective discount factor cannot be high simultaneously as they are supposed to be to make the standard asset pricing consistent with financial stylised facts.
arxiv
FIEMS: Fast Italian Energy Market Simulator [PDF]
arXiv, 2017 The article describes the algorithm used to define the electricity price in day-ahead and itraday energy markets in Italy. Details of Matlab implementation of one of its simplified versions, capable of producing good results in a extremely short time, are then provided and numerical results are discussed.
arxiv
Calibrating rough volatility models: a convolutional neural network approach [PDF]
arXiv, 2018 In this paper we use convolutional neural networks to find the H\"older exponent of simulated sample paths of the rBergomi model, a recently proposed stock price model used in mathematical finance. We contextualise this as a calibration problem, thereby providing a very practical and useful application.
arxiv
Two-stage Modeling for Prediction with Confidence
, 2022 The use of neural networks has been very successful in a wide variety of applications. However, it has recently been observed that it is difficult to generalize the performance of neural networks under the condition of distributional shift.
Chen, Dangxing
core
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models [PDF]
arXiv, 2010 In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE) that usually does not allow an analytical solution while numerical solution brings some problems.
arxiv
Volatility made observable at last [PDF]
3\`emes Journ\'ees Identification et Mod\'elisation
Exp\'erimentale, Douai : France (2011), 2011 The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset. It yields as a byproduct a new understanding of the means of returns, of the beta coefficient, and of the Sharpe and Treynor ...
arxiv
FinBen: A Holistic Financial Benchmark for Large Language Models
LLMs have transformed NLP and shown promise in various fields, yet their potential in finance is underexplored due to a lack of comprehensive evaluation benchmarks, the rapid development of LLMs, and the complexity of financial tasks.
Ananiadou, Sophia +33 more
core
Advancing Algorithmic Trading: A Multi-Technique Enhancement of Deep Q-Network Models
, 2023 This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN. Extensive tests on assets like BTC/USD and AAPL demonstrate
Hu, Gang
core
Enhancing path-integral approximation for non-linear diffusion with neural network [PDF]
arXivEnhancing the existing solution for pricing of fixed income instruments within Black-Karasinski model structure, with neural network at various parameterisation points to demonstrate that the method is able to achieve superior outcomes for multiple calibrations across extended projection horizons.
arxiv