Closed form integration of artificial neural networks with some applications
AbstractMany economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of closed form integrability. This is especially advantageous in cases where either the complexity of a problem makes numerical function evaluations very costly, or fast information extraction is required for time-varying environments. Our approach allows generally for nonparametric maximum likelihood density estimation and may thus find a variety of applications, two of which are illustrated briefly: Estimation of Value at Risk based on approximations to the density of stock returns; Recovering risk neutral densities for the valuation of options from the option price - strike price relation. --
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Bibliographic InfoPaper provided by Deutsche Bank Research in its series Research Notes with number 99-9.
Date of creation: 1999
Date of revision:
Option Pricing; Neural Networks; Nonparametric Density Estimation;
Find related papers by JEL classification:
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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- John M. Maheu & Thomas H. McCurdy, 2002.
"Nonlinear Features of Realized FX Volatility,"
The Review of Economics and Statistics,
MIT Press, vol. 84(4), pages 668-681, November.
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