Applications of Multivariate Quasi-Random Sampling with Neural Networks

DOI10.1007/978-3-030-98319-2_14MaRDI QIDQ6154301zbMATH OpenOpenAlexFDO

Authors Marius Hofert, Avinash Prasad, Mu Zhu

Publication date 14 February 2024

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

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

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)

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.

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