Lech A. Grzelak | DeepAI

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Featured Co-authors

Cornelis W. Oosterlee
16 publications
Anastasia Borovykh
12 publications
Shuaiqiang Liu
7 publications
Graziana Colonna
1 publication
Jorino van Rhijn
1 publication

research

∙ 02/10/2023

GPU acceleration of the Seven-League Scheme for large time step simulations of stochastic differential equations

Monte Carlo simulation is widely used to numerically solve stochastic di...

0 Shuaiqiang Liu, et al. ∙

research

∙ 04/03/2021

Monte Carlo Simulation of SDEs using GANs

Generative adversarial networks (GANs) have shown promising results when...

0 Jorino van Rhijn, et al. ∙

research

∙ 09/07/2020

The Seven-League Scheme: Deep learning for large time step Monte Carlo simulations of stochastic differential equations

We propose an accurate data-driven numerical scheme to solve Stochastic ...

0 Shuaiqiang Liu, et al. ∙

research

∙ 04/23/2019

A neural network-based framework for financial model calibration

A data-driven approach called CaNN (Calibration Neural Network) is propo...

0 Shuaiqiang Liu, et al. ∙