Enhancing path-integral approximation for non-linear diffusion with neural network
<|reference_start|>Enhancing path-integral approximation for non-linear diffusion with neural network: Enhancing the existing solution for pricing of fixed income instruments within Black-Karasinski model structure, with neural network at various parameterisation points to demonstrate that the method is able to achieve superior outcomes for multiple calibrations across extended projection horizons.<|reference_end|>
@article{knezevic2024enhancing,
    title={Enhancing path-integral approximation for non-linear diffusion with
  neural network},
    author={Anna Knezevic},
    journal={arXiv preprint arXiv:2404.08903},
    year={2024},
    archivePrefix={arXiv},
    eprint={2404.08903},
    primaryClass={q-fin.CP cs.LG}
}