Haojie Wang

Haojie Wang, Jiuyun Jiang, L. Jeff Hong et al.

The development of large language models (LLMs) has provided new tools for research in supply chain management (SCM). In this paper, we introduce a retrieval-augmented generation (RAG) framework that dynamically integrates external knowledge into the inference process, and develop a domain-specialized SCM LLM, which demonstrates expert-level competence by passing standardized SCM examinations and beer game tests. We further employ the use of LLMs to conduct horizontal and vertical supply chain games, in order to analyze competition and cooperation within supply chains. Our experiments show that RAG significantly improves performance on SCM tasks. Moreover, game-theoretic analysis reveals that the LLM can reproduce insights from the classical SCM literature, while also uncovering novel behaviors and offering fresh perspectives on phenomena such as the bullwhip effect. This paper opens the door for exploring cooperation and competition for complex supply chain network through the lens of LLMs.

Imanol Luengo, Maria Grammatikopoulou, Rahim Mohammadi et al.

Surgical scene segmentation is essential for anatomy and instrument localization which can be further used to assess tissue-instrument interactions during a surgical procedure. In 2017, the Challenge on Automatic Tool Annotation for cataRACT Surgery (CATARACTS) released 50 cataract surgery videos accompanied by instrument usage annotations. These annotations included frame-level instrument presence information. In 2020, we released pixel-wise semantic annotations for anatomy and instruments for 4670 images sampled from 25 videos of the CATARACTS training set. The 2020 CATARACTS Semantic Segmentation Challenge, which was a sub-challenge of the 2020 MICCAI Endoscopic Vision (EndoVis) Challenge, presented three sub-tasks to assess participating solutions on anatomical structure and instrument segmentation. Their performance was assessed on a hidden test set of 531 images from 10 videos of the CATARACTS test set.

Haojie Wang, Han Chen, Agus Sudjianto et al.

The Libor market model is a mainstay term structure model of interest rates for derivatives pricing, especially for Bermudan swaptions, and other exotic Libor callable derivatives. For numerical implementation the pricing of derivatives with Libor market models is mainly carried out with Monte Carlo simulation. The PDE grid approach is not particularly feasible due to Curse of Dimensionality. The standard Monte Carlo method for American/Bermudan swaption pricing more or less uses regression to estimate expected value as a linear combination of basis functions (Longstaff and Schwartz). However, Monte Carlo method only provides the lower bound for American option price. Another complexity is the computation of the sensitivities of the option, the so-called Greeks, which are fundamental for a trader's hedging activity. Recently, an alternative numerical method based on deep learning and backward stochastic differential equations appeared in quite a few researches. For European style options the feedforward deep neural networks (DNN) show not only feasibility but also efficiency to obtain both prices and numerical Greeks. In this paper, a new backward DNN solver is proposed for Bermudan swaptions. Our approach is representing financial pricing problems in the form of high dimensional stochastic optimal control problems, FBSDEs, or equivalent PDEs. We demonstrate that using backward DNN the high-dimension Bermudan swaption pricing and hedging can be solved effectively and efficiently. A comparison between Monte Carlo simulation and the new method for pricing vanilla interest rate options manifests the superior performance of the new method. We then use this method to calculate prices and Greeks of Bermudan swaptions as a prelude for other Libor callable derivatives.