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pro vyhledávání: '"Fu, Weilong"'
Autor:
Fu, Weilong
There is a growing number of applications of machine learning and deep learning in quantitative and computational finance. In this thesis, we focus on two of them. In the first application, we employ machine learning and deep learning in derivative p
Autor:
Fu, Weilong, Hirsa, Ali
We develop an unsupervised deep learning method to solve the barrier options under the Bergomi model. The neural networks serve as the approximate option surfaces and are trained to satisfy the PDE as well as the boundary conditions. Two singular ter
Externí odkaz:
http://arxiv.org/abs/2207.00524
Financial time series simulation is a central topic since it extends the limited real data for training and evaluation of trading strategies. It is also challenging because of the complex statistical properties of the real financial data. We introduc
Externí odkaz:
http://arxiv.org/abs/2207.00493
Autor:
Hirsa, Ali, Fu, Weilong
Publikováno v:
Quantitative Finance, 2022
We investigate solving partial integro-differential equations (PIDEs) using unsupervised deep learning in this paper. To price options, assuming underlying processes follow Levy processes, we require to solve PIDEs. In supervised deep learning, pre-c
Externí odkaz:
http://arxiv.org/abs/2006.15012
Autor:
Drori, Iddo, Thaker, Darshan, Srivatsa, Arjun, Jeong, Daniel, Wang, Yueqi, Nan, Linyong, Wu, Fan, Leggas, Dimitri, Lei, Jinhao, Lu, Weiyi, Fu, Weilong, Gao, Yuan, Karri, Sashank, Kannan, Anand, Moretti, Antonio, AlQuraishi, Mohammed, Keasar, Chen, Pe'er, Itsik
Publikováno v:
Machine Learning in Computational Biology, 2019
Proteins are the major building blocks of life, and actuators of almost all chemical and biophysical events in living organisms. Their native structures in turn enable their biological functions which have a fundamental role in drug design. This moti
Externí odkaz:
http://arxiv.org/abs/1911.05531
Autor:
Fu, Weilong, Hirsa, Ali
Publikováno v:
Journal of Computational Finance, 2021
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar time by the gamma time in a Brownian motion with drift, which makes i
Externí odkaz:
http://arxiv.org/abs/1903.07519
Autor:
Fu, Weilong1 (AUTHOR), Hirsa, Ali1 (AUTHOR) ah2347@columbia.edu
Publikováno v:
Quantitative Finance. Aug2022, Vol. 22 Issue 8, p1481-1494. 14p.
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