{"title":"用神经网络增强非线性扩散的路径积分近似法","authors":"Anna Knezevic","doi":"arxiv-2404.08903","DOIUrl":null,"url":null,"abstract":"Enhancing the existing solution for pricing of fixed income instruments\nwithin Black-Karasinski model structure, with neural network at various\nparameterisation points to demonstrate that the method is able to achieve\nsuperior outcomes for multiple calibrations across extended projection\nhorizons.","PeriodicalId":501294,"journal":{"name":"arXiv - QuantFin - Computational Finance","volume":"118 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Enhancing path-integral approximation for non-linear diffusion with neural network\",\"authors\":\"Anna Knezevic\",\"doi\":\"arxiv-2404.08903\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Enhancing the existing solution for pricing of fixed income instruments\\nwithin Black-Karasinski model structure, with neural network at various\\nparameterisation points to demonstrate that the method is able to achieve\\nsuperior outcomes for multiple calibrations across extended projection\\nhorizons.\",\"PeriodicalId\":501294,\"journal\":{\"name\":\"arXiv - QuantFin - Computational Finance\",\"volume\":\"118 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-04-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Computational Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2404.08903\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Computational Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2404.08903","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Enhancing path-integral approximation for non-linear diffusion with neural network
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.
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