17 citations · 44 across the 5 of their papers we have counts for
6 papers
Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models
Matthew Lorig, Natchanon Suaysom
We derive an explicit asymptotic approximation for implied volatilities of caplets under the assumption that the short-rate is described by a generic quadratic term-structure model…
Optimal times to buy and sell a home
Matthew Lorig, Natchanon Suaysom
We consider a financial market in which the risk-free rate of interest is modeled as a Markov diffusion. We suppose that home prices are set by a representative home-buyer, who can…
Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics
Matthew Lorig, Natchanon Suaysom
We derive an explicit asymptotic approximation for the implied volatilities of Call options written on bonds assuming the short-rate is described by an affine short-rate model. For…
Parameter Estimation using Neural Networks in the Presence of Detector Effects
Anders Andreassen, Shih-Chieh Hsu, Benjamin Nachman +2
Histogram-based template fits are the main technique used for estimating parameters of high energy physics Monte Carlo generators. Parametrized neural network reweighting can be us…
GPU coprocessors as a service for deep learning inference in high energy physics
Jeffrey Krupa, Kelvin Lin, Maria Acosta Flechas +13
In the next decade, the demands for computing in large scientific experiments are expected to grow tremendously. During the same time period, CPU performance increases will be limi…
Sparse Neural Codes and Convexity
R. Amzi Jeffs, Mohamed Omar, Natchanon Suaysom +2
Determining how the brain stores information is one of the most pressing problems in neuroscience. In many instances, the collection of stimuli for a given neuron can be modeled by…