Neural Jump Ordinary Differential Equations: Consistent Continuous-Time Prediction and Filtering
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- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
- Patrick Cheridito & John Ery & Mario V. Wüthrich, 2020. "Assessing Asset-Liability Risk with Neural Networks," Risks, MDPI, vol. 8(1), pages 1-17, February.
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- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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- Kohei Hayashi & Kei Nakagawa, 2022. "Fractional SDE-Net: Generation of Time Series Data with Long-term Memory," Papers 2201.05974, arXiv.org, revised Aug 2022.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-06-22 (Big Data)
- NEP-CMP-2020-06-22 (Computational Economics)
- NEP-ECM-2020-06-22 (Econometrics)
- NEP-ORE-2020-06-22 (Operations Research)
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