3 papers
cs.LG2020
Geometric compression of invariant manifolds in neural nets
Jonas Paccolat, Leonardo Petrini, Mario Geiger +2
We study how neural networks compress uninformative input space in models where data lie in dimensions, but whose label only vary within a linear manifold of dimension $d_\para…
q-fin.PR2016
Pricing Weakly Model Dependent Barrier Products
Jan Kuklinski, Panagiotis Papaioannou, Kevin Tyloo
We discuss the pricing methodology for Bonus Certificates and Barrier Reverse-Convertible Structured Products. Pricing for a European barrier condition is straightforward for produ…
q-fin.CP2016
Semi-analytic path integral solution of SABR and Heston equations: pricing Vanilla and Asian options
Jan Kuklinski, Kevin Tyloo
We discuss a semi-analytical method for solving SABR-type equations based on path integrals. In this approach, one set of variables is integrated analytically while the second set…