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Cnn-Lstm Vs Ann: Option Pricing Theory, Edward Chang
Cnn-Lstm Vs Ann: Option Pricing Theory, Edward Chang
Undergraduate Student Research Internships Conference
The modern derivatives market has been steadily growing since the development of the first accurate option pricing model by Fischer Black, Robert Merton, and Myron Scholes. Since then, there have been many different approaches to more accurately price options like the binomial option pricing model and approaches using technology such as machine learning. There are many different research papers on option pricing with artificial neural networks (“ANN”) but not many with other neural network types. We contribute to the existing literature by developing a convolutional neural network – long short-term memory (“CNN-LSTM”) model to price options and compare it to …
Exploration And Implementation Of Neural Ordinary Differential Equations, Long Huu Nguyen, Andy Malinsky
Exploration And Implementation Of Neural Ordinary Differential Equations, Long Huu Nguyen, Andy Malinsky
Capstone Showcase
Neural ordinary differential equations (ODEs) have recently emerged as a novel ap- proach to deep learning, leveraging the knowledge of two previously separate domains, neural networks and differential equations. In this paper, we first examine the back- ground and lay the foundation for traditional artificial neural networks. We then present neural ODEs from a rigorous mathematical perspective, and explore their advantages and trade-offs compared to traditional neural nets.