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by mkoerner
March 7th, 2018, 11:18 am
Forum: Technical Forum
Topic: If you are bored with Deep Networks
Replies: 501
Views: 45619

Re: If you are bored with Deep Networks

Does Tensorflow support multi-processor CPUs and can it be customised? e.g. if you don't have GPUs or Cloud? What's the speedup for this application? What's the maximum number of cores before performance degrades? I suppose it uses a fine-grained thread model with locking and pre-emption? As far as...
by mkoerner
July 9th, 2017, 12:48 pm
Forum: Technical Forum
Topic: Is there a name for this transform method?
Replies: 54
Views: 5443

Re: Is there a name for this transform method?

I think this MIT lecture give a very good intro about Recurrent Neural Networks (RNN), which is the equivalent to the latent vol state in stock vol models. If you are interested in RNNs applied to stochastic volatility models,  "A Neural Stochastic Volatility Model"  might be worth reading. I have ...
by mkoerner
November 16th, 2015, 7:59 am
Forum: General Forum
Topic: Contingency insurance pricing
Replies: 18
Views: 3270

Contingency insurance pricing

<r>For prize indemnity as Alan said: "develop an informed opinion about an actuarial expected loss". Also ensure (financial) interest alignment in the contract - i.e. retention of insured has to be high enough or insure only 90%. If the sum insured is large, then reinsure with one or more reinsurers...
by mkoerner
March 1st, 2012, 2:13 pm
Forum: Book And Research Paper Forum
Topic: Glasserman MC book - print quality
Replies: 8
Views: 27533

Glasserman MC book - print quality

<t>I had a similar problem (though the quality is not as bad as you describe it) with the Book "Interest Rate Models - ..." by Brigo & Mercurio. I contacted Springer and they told me that books for which the demand is not high enough to consider a new edition are printed "on demand". They sugges...
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