7,925 research outputs found
Pricing options and computing implied volatilities using neural networks
This paper proposes a data-driven approach, by means of an Artificial Neural
Network (ANN), to value financial options and to calculate implied volatilities
with the aim of accelerating the corresponding numerical methods. With ANNs
being universal function approximators, this method trains an optimized ANN on
a data set generated by a sophisticated financial model, and runs the trained
ANN as an agent of the original solver in a fast and efficient way. We test
this approach on three different types of solvers, including the analytic
solution for the Black-Scholes equation, the COS method for the Heston
stochastic volatility model and Brent's iterative root-finding method for the
calculation of implied volatilities. The numerical results show that the ANN
solver can reduce the computing time significantly
Approximation with Random Bases: Pro et Contra
In this work we discuss the problem of selecting suitable approximators from
families of parameterized elementary functions that are known to be dense in a
Hilbert space of functions. We consider and analyze published procedures, both
randomized and deterministic, for selecting elements from these families that
have been shown to ensure the rate of convergence in norm of order
, where is the number of elements. We show that both randomized and
deterministic procedures are successful if additional information about the
families of functions to be approximated is provided. In the absence of such
additional information one may observe exponential growth of the number of
terms needed to approximate the function and/or extreme sensitivity of the
outcome of the approximation to parameters. Implications of our analysis for
applications of neural networks in modeling and control are illustrated with
examples.Comment: arXiv admin note: text overlap with arXiv:0905.067
Theoretical Interpretations and Applications of Radial Basis Function Networks
Medical applications usually used Radial Basis Function Networks just as Artificial Neural Networks. However, RBFNs are Knowledge-Based Networks that can be interpreted in several way: Artificial Neural Networks, Regularization Networks, Support Vector Machines, Wavelet Networks, Fuzzy Controllers, Kernel Estimators, Instanced-Based Learners. A survey of their interpretations and of their corresponding learning algorithms is provided as well as a brief survey on dynamic learning algorithms. RBFNs' interpretations can suggest applications that are particularly interesting in medical domains
Universal Approximation of Markov Kernels by Shallow Stochastic Feedforward Networks
We establish upper bounds for the minimal number of hidden units for which a
binary stochastic feedforward network with sigmoid activation probabilities and
a single hidden layer is a universal approximator of Markov kernels. We show
that each possible probabilistic assignment of the states of output units,
given the states of input units, can be approximated arbitrarily well
by a network with hidden units.Comment: 13 pages, 3 figure
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