MAX simplifies access to DL models for non-experts.
problem Difficulty for non-experts in adopting latest DL models.
method Proposes MAX, a Python library that wraps DL models and provides RESTful APIs.
result Maximizes ease of using state-of-the-art DL models for inference.
Deep learning models struggle with new data in stock price trend prediction.
problem Stock price trend prediction using Deep Learning models.
method Examination of fifteen state-of-the-art DL models on LOB data, using LOBCAST framework.
result All models show significant performance drop with new data, questioning their market applicability.
Deep learning models predict price movements using stationary features from limit order books.
problem Challenges in applying deep learning to financial data due to its non-stationary nature.
method Proposed a method to create stationary features allowing DL models to be effectively applied.
result A combined model outperforms individual LSTM and CNN models in predicting price movements.
Deep learning schemes improve turbulence simulation accuracy.
problem Improving DL schemes for accurate turbulence simulation.
method Training DL schemes on turbulence simulations to correct for inaccuracies.
result Dynamic NN schemes improve large-scale turbulence geometry.
Advanced ML/DL models predict stock prices using technical analysis.
problem Accurately predicting stock prices in a complex market.
method Use of deep learning models for stock price prediction.
result Deep learning models can predict stock prices with high accuracy.
Deep Huber QRNs predict Huber quantiles for house prices.
problem Predicting more functionals of predictive probability distributions.
method Training a DL algorithm with the Huber quantile scoring function.
result DHQRNs provide satisfactory absolute performance in house price prediction.
Hybrid Amortized Inference improves PPG model interpretability.
problem Tension between PPG biomarker accuracy and clinical interpretability.
method Introduces PPGen for biophysical PPG signal-physiological parameter relation, and HAI for fast, robust estimation.
result Hybrid Amortized Inference accurately infers physiological parameters from PPG signals.
This paper considers possible price paths of a financial security in an idealized market. Its main result is that the variation index of typical price paths is at most 2, in this sense, typical price paths are not rougher than typical paths of Brownian motion. We do not make any stochastic assumptions and only assume t…
The paper develops methods to price and hedge options in path-dependent stock models.
problem Pricing and hedging options under complex stock models.
method Develops a path-dependent PDE for option pricing and differentiability of path-dependent SDE solutions.
result Provides formulas for option Greeks and differentiability of path-dependent SDE solutions.
RE enhances DL by learning model behavior, enabling iterative self-improvement.
problem Static data representations limit DL's potential for evolving models.
method RE uses multiple mappings of data through identical deep architectures, analyzing internal representations and performance signals.
result Models can gain insight from predecessors, leading to iterative self-improvement.
Path integral method calculates barrier option prices.
problem Barrier option pricing in finance.
method Path integral method applied to trapezoid and square potential barriers.
result Analytical expressions for option pricing derived.
Path integral method calculates PDBS option prices with time-dependent parameters.
problem Pricing proportional double-barrier step options with time-dependent interest rates and volatilities.
method Path integral method applied to a quantum mechanical analogy of barrier options.
result Derivation of pricing kernel for PDBS options with time-dependent parameters.
Paper proposes method for generating paths of stochastic volatility CGMY process for option pricing.
problem Generating accurate sample paths for stochastic volatility models for option pricing.
method Monte-Carlo method for European and American options, least square regression for calibration.
result Calibrated model parameters to S\&P 100 index options market using path-dependent options.
Z-GCNETs uses topological data to improve time series forecasting.
problem Improving time series forecasting accuracy.
method Integrates topological data into graph convolutional networks (GCNs) using zigzag persistence.
result Z-GCNETs outperforms 13 state-of-the-art methods in traffic forecasting and Ethereum price prediction.
Improved particle pricing methods for path-dependent options.
problem Efficient simulation of spot price and volatility for path-dependent options.
method Sequential Monte Carlo with branching and resampling.
result Branching algorithms improve pricing performance for path-dependent options.
Signature payoffs price complex derivatives accurately.
problem Pricing complex derivatives like options.
method Signature of price path for continuous payoffs.
result Signature payoffs can price various derivatives accurately.
The article calculates the most-likely path for Asian option pricing in local volatility models.
problem Approximating the price of Asian options in local volatility models.
method Path-integral approach using Brownian bridge and Laplace asymptotic formula.
result The most-likely path (MLP) is found to approximate the option price in the limit of small sampling time.
Paper introduces a new volatility model for natural gas markets and discusses swing option pricing.
problem Modeling price and storage dynamics in natural gas markets with path-dependent volatility.
method Developed a novel stochastic path-dependent volatility model and used deep learning for swing option pricing.
result Proposed a deep learning method for numerical approximations of swing option pricing.
Improved path integral method for financial derivatives pricing.
problem Analytical intractability of financial derivative pricing models.
method Generalized semi-classical path integral approach to time-dependent Hamiltonians.
result Accuracy and computational efficiency of the path integral approach for derivatives pricing.
The paper proves that certain price paths with jumps have consistent quadratic variation.
problem Understanding the quadratic variation of price paths with jumps in financial models.
method Proving the quadratic variation is consistent across different partitions of time.
result The quadratic variation of model-free price paths with mild jumps is consistent and independent of partitions.
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we det…
Model for stock prices using non-Gaussian path integral.
problem Fit stock price dynamics with a small number of parameters.
method Generalized Ilinski's path integral model with a different action.
result Provides excellent fits for stock prices and indices.
A new method for pricing and hedging options without using probability theory.
problem Pricing and hedging financial options using traditional probability methods.
method Using rough paths to encode volatility and enhance price trajectories for pathwise replication.
result A robust hedging strategy that is less sensitive to model misspecification.
The paper provides an efficient method to price path-dependent derivatives using multiscale stochastic volatility models.
problem Pricing path-dependent derivatives under multiscale stochastic volatility models.
method Derives a Malliavin representation for the first-order approximation of the price of path-dependent derivatives.
result An efficient Monte Carlo approximation for pricing path-dependent derivatives is derived.
Deep learning models price convertible bonds with complex reset and call features.
problem Pricing convertible bonds with path-dependent reset and call provisions.
method Formulated as a PPDE, deep learning approximates conditional expectations.
result Deep learning produces stable and accurate prices across various model specifications.
New method generates realistic financial price paths with drawdowns.
problem Lack of realistic drawdown scenarios in financial simulations.
method Variational autoencoder with drawdown reconstruction loss and path signatures.
result Simulated paths closely match empirical drawdown data.
We use Karhunen-Loève expansion for efficient pricing of exotic derivatives.
problem Efficient pricing of path-dependent options.
method Karhunen-Loève expansion and Monte Carlo simulation.
result Fast and accurate computation of exotic derivatives pricing.
Deep learning accelerates Heston model calibration.
problem Calibrating stochastic volatility models is computationally expensive.
method Differential Machine Learning (DML) technique to train neural networks on differentials of features and labels.
result DML reduces Heston model calibration time significantly.
Extends BBSM model to incorporate ESG ratings and path dynamics.
problem Price stock options considering historical market index dynamics and ESG ratings.
method Develops discrete, binary tree option pricing model under BBSM with ESG valuation.
result Model accurately fits stock price changes and European call option prices.
A new method predicts future paths using a Monte-Carlo approach.
problem Predicting future financial paths given historical data.
method Path Shadowing Monte-Carlo method using maximum entropy model.
result Yields state-of-the-art predictions for future volatility and option smiles.
New method uses LSTM and signature theory to solve complex financial PDEs.
problem Solving path-dependent PDEs for financial derivatives pricing.
method Combining LSTM networks and rough paths theory.
result Efficient algorithms for pricing and hedging path-dependent derivatives.
Functional approach calculates path probabilities in stochastic motion.
problem Calculating path probabilities in stochastic motion.
method Functional technique applied to derive path probability distribution.
result General formula derived for path probability distribution.
We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White model, we can apply the same techniques to "less-tractable" models such as the …
Study of gamma-hedging using rough paths for European and exotic options.
problem Applying rough paths to gamma-hedging strategies for derivatives.
method Rough-path theory applied to discrete-time gamma-hedging strategy.
result Sure replication of European and exotic derivatives under regular pricing signals.
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the underlying risk-neutral diffusion process. This result greatly eases the computati…
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also develop a pricing formula for an Asian option with a barrier on a control proces…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and accurate predictions for the value of a large class of options, including those wi…
New method for hedging path-dependent options with price impact using probabilistic arguments.
problem Hedging of path-dependent options with price impact.
method Dual formulation using probabilistic arguments, proving existence of perfect hedging portfolios.
result Existence of a perfect hedging portfolio for path-dependent options with price impact.
The paper predicts cryptocurrency prices using a path-dependent Monte Carlo simulation.
problem Forecasting cryptocurrency prices with volatility and jumps.
method Merton's jump diffusion model with machine learning, traditional, and statistical methods.
result Introduced a path-dependent Monte Carlo simulation for cryptocurrency price prediction.
Deep signature algorithm for pricing path-dependent options.
problem Pricing path-dependent options with complex payoff functions.
method Extended backward scheme for state-dependent FBSDEs with reflections, incorporating signature layer for path-dependent FBSDEs.
result Convergence analysis of the algorithm with explicit dependence on truncation order and neural network approximation errors.
DL/FBF improves GPSR solutions by selecting compact, generalising expressions.
problem Overfitting and structural bloat in symbolic regression with genetic programming.
method Description length (DL) and fractional Bayes factor (FBF) criteria for selecting compact, generalising expressions.
result DL/FBF post-selection improves test performance compared to AIC/BIC baseline.
For every adapted, càglàd process (strategy) G and typical càdlàg price paths whose jumps satisfy some mild growth condition we define integral G⋅S as a limit of simple integrals.
Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural network parameterization of option prices. The accuracy of the two methods is es…
DeepGauge tests DL systems for robustness, addressing their lack of interpretability.
problem Lack of interpretability in DL systems makes testing adequacy and generality difficult.
method Proposes multi-granularity testing criteria for DL systems.
result Demonstrates improved testing adequacy and generality of DL systems.
Novel signature approach for pricing and hedging path-dependent options with market frictions.
problem Pricing and hedging path-dependent options with market frictions.
method Signature approach, mean-quadratic variation criterion, non-standard infinite-dimensional Riccati equations, time-augmented signature, non-Markovian stochastic control problem.
result Effective hedging strategies in frictional markets with low-truncated signature approximations.
DLBricks automates DL benchmarking on CPUs, reducing effort and time.
problem Lack of representative and up-to-date DL benchmarks on CPUs.
method Decomposes DL models into runnable networks, leveraging layer repetition and auto-generation.
result Accurately estimates DL model performance and speeds up benchmarking time.
A new method for efficient option pricing using AR and MCS.
problem Infeasibility of pricing financial derivatives due to computational limitations.
method Multi-path option pricing approach via autoregression and Monte Carlo Simulations.
result Our approach is comparable to prior models in pricing weekly TAIEX options.
Estimates exotic option prices without a model using market data.
problem Pricing exotic derivatives without a model.
method Uses rough path signatures and implied expected signatures from market prices.
result Prices exotic derivatives using market data and implied expected signatures.