textabstractA data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial asset price models using an Artificial Neural Network (ANN). Determining optimal values of the model parameters is formulated as training hidden neurons within a machine learning framework, based on available financial option prices. The framework consists of two parts: a forward pass in which we train the weights of the ANN off-line, valuing options under many different asset model parameter settings; and a backward pass, in which we evaluate the trained ANN-solver on-line, aiming to find the weights of the neurons in the input layer. The rapid on-line learning of implied volatility by ANNs, in combination with the use of an adapt...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This dissertation focuses on the application of neural networks to financial model calibration. It p...
To price complex derivative instruments and to manage the associated financial risk, investment bank...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
<p>A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financia...
<p>A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financia...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
The calibration of financial models is laborious, time-consuming and expensive, and needs to be perf...
The calibration of financial models is laborious, time-consuming and expensive, and needs to be perf...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This dissertation focuses on the application of neural networks to financial model calibration. It p...
To price complex derivative instruments and to manage the associated financial risk, investment bank...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
<p>A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financia...
<p>A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financia...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
A data-driven approach called CaNN (Calibration Neural Network) is proposed to calibrate financial a...
The calibration of financial models is laborious, time-consuming and expensive, and needs to be perf...
The calibration of financial models is laborious, time-consuming and expensive, and needs to be perf...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This paper proposes a data-driven approach, by means of an Artificial Neural Network (ANN), to value...
This dissertation focuses on the application of neural networks to financial model calibration. It p...
To price complex derivative instruments and to manage the associated financial risk, investment bank...