Justin W. L. Wan

Andrew Na, Justin Wan

We propose a deep Recurrent neural network (RNN) framework for computing prices and deltas of American options in high dimensions. Our proposed framework uses two deep RNNs, where one network learns the price and the other learns the delta of the option for each timestep. Our proposed framework yields prices and deltas for the entire spacetime, not only at a given point (e.g. t = 0). The computational cost of the proposed approach is linear in time, which improves on the quadratic time seen for feedforward networks that price American options. The computational memory cost of our method is constant in memory, which is an improvement over the linear memory costs seen in feedforward networks. Our numerical simulations demonstrate these contributions, and show that the proposed deep RNN framework is computationally more efficient than traditional feedforward neural network frameworks in time and memory.

Lingfeng Li, Yin King Chu, Raymond Chan et al.

Convolution-type integral equations commonly occur in signal processing and image processing. Discretizing these equations yields large and ill-conditioned linear systems. While the classic multigrid method is effective for solving linear systems derived from partial differential equations (PDE) problems, it fails to solve integral equations because its smoothers, which are implemented as conventional relaxation methods, are ineffective in reducing high-frequency components in the errors. We propose a novel neural multigrid scheme where learned neural operators replace classical smoothers. Unlike classical smoothers, these operators are trained offline. Once trained, the neural smoothers generalize to new right-hand-side vectors without retraining, making it an efficient solver. We design level-wise loss functions incorporating spectral filtering to emulate the multigrid frequency decomposition principle, ensuring each operator focuses on solving distinct high-frequency spectral bands. Although we focus on integral equations, the framework is generalizable to all kinds of problems, including PDE problems. Our experiments demonstrate superior efficiency over classical solvers and robust convergence across varying problem sizes and regularization weights.

Andrew S. Na, William Gao, Justin W. L. Wan

It is well known that training a denoising score-based diffusion models requires tens of thousands of epochs and a substantial number of image data to train the model. In this paper, we propose to increase the efficiency in training score-based diffusion models. Our method allows us to decrease the number of epochs needed to train the diffusion model. We accomplish this by solving the log-density Fokker-Planck (FP) Equation numerically to compute the score \textit{before} training. The pre-computed score is embedded into the image to encourage faster training under slice Wasserstein distance. Consequently, it also allows us to decrease the number of images we need to train the neural network to learn an accurate score. We demonstrate through our numerical experiments the improved performance of our proposed method compared to standard score-based diffusion models. Our proposed method achieves a similar quality to the standard method meaningfully faster.

Yangang Chen, Justin W. L. Wan

We propose a deep neural network framework for computing prices and deltas of American options in high dimensions. The architecture of the framework is a sequence of neural networks, where each network learns the difference of the price functions between adjacent timesteps. We introduce the least squares residual of the associated backward stochastic differential equation as the loss function. Our proposed framework yields prices and deltas on the entire spacetime, not only at a given point. The computational cost of the proposed approach is quadratic in dimension, which addresses the curse of dimensionality issue that state-of-the-art approaches suffer. Our numerical simulations demonstrate these contributions, and show that the proposed neural network framework outperforms state-of-the-art approaches in high dimensions.