Enhancing path-integral approximation for non-linear diffusion with neural network
Fuente:
arXiv
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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
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| _version_ | 1866916204685295616 |
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| author | Knezevic, Anna |
| author_facet | Knezevic, Anna |
| contents | Enhancing 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2404_08903 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Enhancing path-integral approximation for non-linear diffusion with neural network Knezevic, Anna Computational Finance Machine Learning Enhancing 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. |
| title | Enhancing path-integral approximation for non-linear diffusion with neural network |
| topic | Computational Finance Machine Learning |
| url | https://arxiv.org/abs/2404.08903 |