14 citations · 30 across the 3 of their papers we have counts for
3 papers
q-fin.PM2019★ 4 cited
Index Tracking with Cardinality Constraints: A Stochastic Neural Networks Approach
Yu Zheng, Bowei Chen, Timothy M. Hospedales +1
Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which cont…
q-fin.CP2019★ 14 cited
Incorporating prior financial domain knowledge into neural networks for implied volatility surface prediction
Yu Zheng, Yongxin Yang, Bowei Chen
In this paper we develop a novel neural network model for predicting implied volatility surface. Prior financial domain knowledge is taken into account. A new activation function t…
q-fin.CP2016★ 12 cited
Gated Neural Networks for Option Pricing: Rationality by Design
Yongxin Yang, Yu Zheng, Timothy M. Hospedales
We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economi…