Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Narayan Ganesan"'
Publikováno v:
Risks, Vol 11, Iss 3, p 61 (2023)
We present a pathwise deep Backward Stochastic Differential Equation (BSDE) method for Forward Backward Stochastic Differential Equations with terminal conditions that time-steps the BSDE backwards and apply it to the differential rates problem as a
Externí odkaz:
https://doaj.org/article/e70a98cd5681459eba099b20d76795f9
Autor:
Narayan Ganesan, Bernhard Hientzsch
Publikováno v:
The Journal of Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aba450f3f08d5da0c78c1b1efb433007
https://doi.org/10.21314/jor.2021.024
https://doi.org/10.21314/jor.2021.024
Publikováno v:
The Journal of Computational Finance.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e16043db58cadafa83c1799f14f749bf
https://doi.org/10.21314/jcf.2021.016
https://doi.org/10.21314/jcf.2021.016
Publikováno v:
Risks; Volume 11; Issue 3; Pages: 61
In this paper, we present a backward deep BSDE method applied to Forward Backward Stochastic Differential Equations (FBSDE) with given terminal condition at maturity that time-steps the BSDE backwards. We present an application of this method to a no
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::05a73effac54fbe595cec44a7276c15f
https://doi.org/10.3390/risks11030061
https://doi.org/10.3390/risks11030061
Autor:
Narayan Ganesan, Bernhard Hientzsch
Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and future market risk VaR. One is also interested in derived quantities such a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::616ed01e54aad5c45b7d021195be9747
This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward stochastic differential equations (FBSDEs). Barrier instruments are in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e80ecd8f5a37ec57dee1986451666c4c
http://arxiv.org/abs/2005.10966
http://arxiv.org/abs/2005.10966
Publikováno v:
SSRN Electronic Journal.
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates and finally stochastic local volatility with stochastic interest rates. For
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e6cf8480225abed4685f1e97eeae7904
https://doi.org/10.2139/ssrn.3702442
https://doi.org/10.2139/ssrn.3702442
Publikováno v:
IEEE Transactions on Parallel and Distributed Systems. 29:2206-2222
Genomic sequence alignment is an important research topic in bioinformatics and continues to attract significant efforts. As genomic data grow exponentially, however, most of alignment methods face challenges due to their huge computational costs. HM
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce7059301f78d1d26a99e89b45cff634
https://doi.org/10.1109/tpds.2018.2830393
https://doi.org/10.1109/tpds.2018.2830393
Publikováno v:
China Communications. 15:15-26
Sometimes user has the requirement to run a high bandwidth application over a low bandwidth network. But its implementation is not easy as the traditional network transmits data with only one path where its bandwidth is lower than the demand. Althoug
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2cadf74173aaf0d556c37d2838d2e9cb
https://doi.org/10.1109/cc.2018.8331988
https://doi.org/10.1109/cc.2018.8331988
Publikováno v:
IEEE/ACM Transactions on Computational Biology and Bioinformatics. 13:365-379
Biological systems encompass complexity that far surpasses many artificial systems. Modeling and simulation of large and complex biochemical pathways is a computationally intensive challenge. Traditional tools, such as ordinary differential equations
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::59bff7fd07d4b09e0f112a93fb860b91
https://doi.org/10.1109/tcbb.2015.2443784
https://doi.org/10.1109/tcbb.2015.2443784