2 citations · 2 across the 2 of their papers we have counts for
5 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…