Paper on closed form integration of ANN

[chaefke@ucsd.edu]

Dear colleagues,

You can find the paper

"Closed Form Integration of Artificial Neural Networks With Some
Applications to Finance"

by Andy Gottschling, Christian Haefke and Halbert White

at my webpage:

http://weber.ucsd.edu/~chaefke/papers/Annint_chaefke.ps.gz
or
http://weber.ucsd.edu/~chaefke/papers/Annint_chaefke.pdf

Abstract:

Many 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. 

Keywords: Option Pricing, Neural Networks, Nonparametric Density
Estimation, Hypergeometric Functions; 

The paper prints out to 35 pages,
Filesize is 150K for the  gzipped version and 350K for the pdf file.

Comments are highly appreciated.

Best regards,

Christian

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*                                                                             *
*  Christian Haefke                        INTERNET: chaefke at weber.ucsd.edu   *
*  University of California, San Diego                                        *
*  Department of Economics, 0508                                              *
*  9500 Gilman Drive                                                          *
*  La Jolla, CA 92093-0508                                                    *
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*                      http://weber.ucsd.edu/~chaefke                         * 
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