Neural Networks with Local Converging Inputs for Efficient Options Pricing Models

We present a novel application of Neural Networks with Local Converging Inputs (NNLCI) to improve the efficiency of existing numerical methods for pricing multi-asset options. The most concise input format for NNLCI has been introduced, offering substantial convenience and efficiency. NNLCI uses a neural network to locally correct solutions from a coarse mesh and a refined mesh (relative to the coarse one), requiring only a minimal amount of high-fidelity training data. We demonstrate this approach on cash-or-nothing options under the Black-Scholes equation in one, two, and three spatial dimensions, and on single-asset down-and-out barrier call options under the Heston stochastic-volatility model (whose pricing PDE is two-dimensional in the spot price $S$ and the instantaneous variance $v$). In each case, NNLCI reduces the root-mean-square error (RMSE) of the refined-mesh numerical solution by a factor of approximately 4-12 on test sets, even when the neural network is trained on only a small subset of parameter combinations. These results demonstrate that NNLCI significantly reduces computational requirements for high-dimensional problems in real-time options trading and risk management, offering low training costs and strong generalization ability.

A PNP ion channel deep learning solver with local neural network and finite element input data

In this paper, a deep learning method for solving an improved one-dimensional Poisson-Nernst-Planck ion channel (PNPic) model, called the PNPic deep learning solver, is presented. In particular, it combines a novel local neural network scheme with an effective PNPic finite element solver. Since the input data of the neural network scheme only involves a small local patch of coarse grid solutions, which the finite element solver can quickly produce, the PNPic deep learning solver can be trained much faster than any corresponding conventional global neural network solvers. After properly trained, it can output a predicted PNPic solution in a much higher degree of accuracy than the low cost coarse grid solutions and can reflect different perturbation cases on the parameters, ion channel subregions, and interface and boundary values, etc. Consequently, the PNPic deep learning solver can generate a numerical solution with high accuracy for a family of PNPic models. As an initial study, two types of numerical tests were done by perturbing one and two parameters of the PNPic model, respectively, as well as the tests done by using a few perturbed interface positions of the model as training samples. These tests demonstrate that the PNPic deep learning solver can generate highly accurate PNPic numerical solutions.

Solving Maxwell's Equation in 2D with Neural Networks with Local Converging Inputs

In this paper we apply neural networks with local converging inputs (NNLCI), originally introduced in [arXiv:2109.09316], to solve the two dimensional Maxwell's equation around perfect electric conductors (PECs). The input to the networks consist of local patches of low cost numerical solutions to the equation computed on two coarse grids, and the output is a more accurate solution at the center of the local patch. We apply the recently developed second order finite difference method [arXiv:2209.00740] to generate the input and training data which captures the scattering of electromagnetic waves off of a PEC at a given terminal time. The advantage of NNLCI is that once trained it offers an efficient alternative to costly high-resolution conventional numerical methods; our numerical experiments indicate the computational complexity saving by a factor of $8^3$ in terms of the number of spatial-temporal grid points. In contrast with existing research work on applying neural networks to directly solve PDEs, our method takes advantage of the local domain of dependence of the Maxwell's equation in the input solution patches, and is therefore simpler, yet still robust. We demonstrate that we can train our neural network on some PECs to predict accurate solutions to different PECs with quite different geometries from any of the training examples.