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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...
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03/04/2022
Solution of integrals with fractional Brownian motion for different Hurst indices
In this paper, we will evaluate integrals that define the conditional ex...
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04/03/2021
Monte Carlo Simulation of SDEs using GANs
Generative adversarial networks (GANs) have shown promising results when...
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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 ...
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01/31/2020
On Calibration Neural Networks for extracting implied information from American options
Extracting implied information, like volatility and/or dividend, from ob...
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04/23/2019
A neural network-based framework for financial model calibration
A data-driven approach called CaNN (Calibration Neural Network) is propo...
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01/25/2019