Applications of Multivariate Quasi-Random Sampling with Neural Networks

DOI10.1007/978-3-030-98319-2_14arXiv2012.08036OpenAlexW3112111492MaRDI QIDQ6154301FDOQ6154301

Authors: Marius Hofert, Avinash Prasad, Mu Zhu 

Publication date: 14 February 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: Generative moment matching networks (GMMNs) are suggested for modeling the cross-sectional dependence between stochastic processes. The stochastic processes considered are geometric Brownian motions and ARMA-GARCH models. Geometric Brownian motions lead to an application of pricing American basket call options under dependence and ARMA-GARCH models lead to an application of simulating predictive distributions. In both types of applications the benefit of using GMMNs in comparison to parametric dependence models is highlighted and the fact that GMMNs can produce dependent quasi-random samples with no additional effort is exploited to obtain variance reduction.

Full work available at URL: https://arxiv.org/abs/2012.08036

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zbMATH Keywords

copulaspredictive distributionsquasi-random samplingARMA-GARCHgenerative moment matching networksAmerican basket option pricing

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Artificial neural networks and deep learning (68T07) Numerical methods (including Monte Carlo methods) (91G60)

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• On the covariance of the asymptotic empirical copula process
• Monte Carlo and quasi-Monte Carlo sampling
• Elements of Copula Modeling with R
• ARMA MODELS WITH ARCH ERRORS

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