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

arXiv:2404.08903v1 Announce Type: cross
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.

abstract approximation arxiv cs.lg diffusion fixed income income integral linear multiple network neural network non-linear path pricing projection q-fin.cp solution type