Time to move on from ANN drama? This paper is their 10th attempt.. https://www.researchgate.net/publication/370022260_A_Proof_that_Artificial_Neural_Networks_Overcome_the_Curse_of_Dimensionality_in_the_Numerical_Approximation_of_Black-Scholes_Partial_Differential_Equations Meshuggah Insanity Is Doi...
Finite Difference Method for the Black–Scholes Equation Without Boundary Conditions Umm - without reading it closely, it looks oddly like early 70's binomial methods, which were also mercifully free of the need of any spatial boundaries. I can't read this article but it is possible to get rid of bo...
Following @bearish advise, I open a dedicated thread to discuss a numerical study of the Bachelier problem, that can be found here at SSRN . Indeed, I did not complete still the conclusion section of this paper, this thread could help here. My first idea was to include a basic argumentation to susta...
What you need to do JLM, is take 1-factor (not 100 factor) Black Scholes and work it out in great detail. I know that the Gallic maths style is top-down and love of generalisation but give a concrete case for us mortals. I think it is necessary and sufficient. I did it numerically for the 2D case, ...
What you need to do JLM, is take 1-factor (not 100 factor) Black Scholes and work it out in great detail. I know that the Gallic maths style is top-down and love of generalisation but give a concrete case for us mortals. I think it is necessary and sufficient. I did it numerically for the 2D case, ...
Aliter, a small number of authors is also not a panacea. https://arxiv.org/pdf/1706.04702.pdf This paper is quite technical at a glance. What it is that you don't like about it, please? These authors come from a quite serious institution (ETH Zurich). They issued maybe 50 papers concerning ML metho...
@Cuchulainn we might intervene in this conference, that I severely criticized recently due to their positioning for artificial intelligence. Might the quantitative community starting to open up to critcisms ?
solved it... I work on both the curves for model calibration: part1: squared error in swaption prices. part2: matching P(t, t+1) from the analytical and the model formula Of course, I lose some information on the swaption vol part, but this seems to be a reasonable approach to deal with the two ...
The question is now: will you do it? @Cuchulainn I suppose that this question is adressed to me (since the author is probably unfamiliar with the method I quoted) ? Implementation will be a quite big amount of work : it means testing a new process, the G2++, testing sequences for this process, test...
My two cents too: this can work only for martingale processes. I don't know G2++, but it seems that it is not a martingale process ? Could this explain the 3% diff ? Considering Sobol or Halton, I think we can provide sequences that outperforms them. There ought to be a martingale there somewhere. ...
There ought to be a martingale there somewhere. E.g., pick the zero coupon bond with the latest maturity date that you care about and look at the ratio of other prices to that. That will be a martingale in the relevant forward measure, independent of any details of the model dynamics, and this meas...
I think both Python and C++ are probably here to stay, but Julia does fill in a space between them, with ease of use that exceeds the former and runtime speed that approaches the latter. She also plays well with others, and is represented by the “Ju” in Jupyter. And I know we have discussed this be...
I think both Python and C++ are probably here to stay, but Julia does fill in a space between them, with ease of use that exceeds the former and runtime speed that approaches the latter. She also plays well with others, and is represented by the “Ju” in Jupyter. And I know we have discussed this be...