Enhancing path-integral approximation for non-linear diffusion with neural network

Anna Knezevic

Papers from arXiv.org

Abstract: 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.

Date: 2024-04
New Economics Papers: this item is included in nep-big and nep-cmp
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