All Outputs (2)

Real-time Bayesian inversion in resin transfer moulding using neural surrogates (2024)
Journal Article
Causon, M. E., Iglesias, M. A., Matveev, M. Y., Endruweit, A., & Tretyakov, M. V. (2024). Real-time Bayesian inversion in resin transfer moulding using neural surrogates. Composites Part A: Applied Science and Manufacturing, 185, Article 108355. https://doi.org/10.1016/j.compositesa.2024.108355

In Resin Transfer Moulding (RTM), local variations in reinforcement properties (porosity and permeability) and the formation of gaps along the reinforcement edges result in non-uniform resin flow patterns, which may cause defects in the produced comp... Read More about Real-time Bayesian inversion in resin transfer moulding using neural surrogates.

Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing (2024)
Journal Article
Su, H., Tretyakov, M. V., & Newton, D. P. (2024). Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing. Management Science, https://doi.org/10.1287/mnsc.2022.01448

Transition probability density functions (TPDFs) are fundamental to computational finance, including option pricing and hedging. Advancing recent work in deep learning, we develop novel neural TPDF generators through solving backward Kolmogorov equat... Read More about Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing.