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Collaborating Authors

Queen Mary, University of London


Yang

AAAI Conferences

We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of gated neural networks that automatically learn to divide-and-conquer the problem space for robust and accurate pricing. We then derive instantiations of these networks that are'rational by design' in terms of naturally encoding a valid call option surface that enforces no arbitrage principles. This integration of human insight within data-driven learning provides significantly better generalisation in pricing performance due to the encoded inductive bias in the learning, guarantees sanity in the model's predictions, and provides econometrically useful byproduct such as risk neutral density.


Gated Neural Networks for Option Pricing: Rationality by Design

AAAI Conferences

We propose a neural network approach to price EU call options that significantly outperforms some existing pricing models and comes with guarantees that its predictions are economically reasonable. To achieve this, we introduce a class of gated neural networks that automatically learn to divide-and-conquer the problem space for robust and accurate pricing. We then derive instantiations of these networks that are 'rational by design' in terms of naturally encoding a valid call option surface that enforces no arbitrage principles. This integration of human insight within data-driven learning provides significantly better generalisation in pricing performance due to the encoded inductive bias in the learning, guarantees sanity in the model's predictions, and provides econometrically useful byproduct such as risk neutral density.


Bundling Attacks in Judgment Aggregation

AAAI Conferences

We consider judgment aggregation over multiple independent issues, where the chairperson has her own opinion, and can try to bias the outcome by bundling several issues together. Since for each bundle judges must give a uniform answer on all issues, different partitions of the issues may result in an outcome that significantly differs from the "true," issue-wise, decision. We prove that the bundling problem faced by the chairperson, i.e. trying to bias the outcome towards her own opinion, is computationally difficult in the worst case. Then we study the probability that an effective bundling attack exists as the disparity between the opinions of the judges and the chair varies. We show that if every judge initially agrees with the chair on every issue with probability of at least 1/2, then there is almost always a bundling attack (i.e. a partition) where the opinion of the chair on all issues is approved. Moreover, such a partition can be found efficiently. In contrast, when the probability is lower than 1/2 then the chair cannot force her opinion using bundling even on a single issue.