4 citations · 14 across the 5 of their papers we have counts for
5 papers
Application of Tensor Neural Networks to Pricing Bermudan Swaptions
Raj G. Patel, Tomas Dominguez, Mohammad Dib +12
The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo s…
Quantum-Inspired Tensor Neural Networks for Option Pricing
Raj G. Patel, Chia-Wei Hsing, Serkan Sahin +12
Recent advances in deep learning have enabled us to address the curse of dimensionality (COD) by solving problems in higher dimensions. A subset of such approaches of addressing th…
Infinite-dimensional Hamilton-Jacobi equations for statistical inference on sparse graphs
Tomas Dominguez, Jean-Christophe Mourrat
We study the well-posedness of an infinite-dimensional Hamilton-Jacobi equation posed on the set of non-negative measures and with a monotonic non-linearity. Our results will be us…
Mutual information for the sparse stochastic block model
Tomas Dominguez, Jean-Christophe Mourrat
We consider the problem of recovering the community structure in the stochastic block model with two communities. We aim to describe the mutual information between the observed net…
The -Gaussian-Grothendieck problem with vector spins
Tomas Dominguez
We study the vector spin generalization of the -Gaussian-Grothendieck problem. In other words, given integer , we investigate the asymptotic behaviour of the groun…