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Quantitative Finance > Computational Finance

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

Authors: Anna Knezevic
(Submitted on 13 Apr 2024)
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.
Subjects: Computational Finance (q-fin.CP); Machine Learning (cs.LG)
Cite as: arXiv:2404.08903 [q-fin.CP]
  (or arXiv:2404.08903v1 [q-fin.CP] for this version)

Submission history

From: Anna Knezevic [view email]
[v1] Sat, 13 Apr 2024 05:15:46 GMT (436kb,D)
Which authors of this paper are endorsers? | Disable MathJax (What is MathJax?)

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