arXiv subjects

Shenghong Li

Publications and source records attributed to Shenghong Li.

21 records · Page 2Linked to original sources

arXiv2020

Joint learning of interpretation and distillation

The extra trust brought by the model interpretation has made it an indispensable part of machine learning systems. But to explain a distilled model's prediction, one may either work with the student model itself, or turn to its teacher model. This leads to a more fundamental question: if a distilled model should give a similar prediction for a similar reason as its teacher model on the same input? This question becomes even more crucial when the two models have dramatically different structure, taking GBDT2NN for example. This paper conducts an empirical study on the new approach to explaining each prediction of GBDT2NN, and how imitating the explanation can further improve the distillation process as an auxiliary learning task. Experiments on several benchmarks show that the proposed methods achieve better performance on both explanations and predictions.

cs.LG↗

arXiv2017

Pricing VIX Derivatives With Free Stochastic Volatility Model

In this paper, we relax the power parameter of instantaneous variance and develop a new stochastic volatility plus jumps model that generalize the Heston model and 3/2 model as special cases. This model has two distinctive features. First, we do not restrict the new parameter, letting the data speak as to its direction. The Generalized Methods of Moments suggests that the newly added parameter is to create varying volatility fluctuation in different period discovered in financial market. Moreover, upward and downward jumps are separately modeled to accommodate the market data. Our model is novel and highly tractable, which means that the quasi-closed-form solutions for future and option prices can be effectively derived. We have employed data on VIX future and corresponding option contracts to test this model to evaluate its ability of performing pricing and capturing features of the implied volatility. To sum up, the free stochastic volatility model with asymmetric jumps is able to adequately capture implied volatility dynamics and thus it can be seen as a superior model relative to the fixed volatility model in pricing VIX derivatives.

q-fin.MF↗

arXiv2015

Consistent Pricing of VIX and Equity Derivatives with the 4/2 Stochastic Volatility Plus Jumps Model

In this paper, we develop a 4/2 stochastic volatility plus jumps model, namely, a new stochastic volatility model including the Heston model and 3/2 model as special cases. Our model is highly tractable by applying the Lie symmetries theory for PDEs, which means that the pricing procedure can be performed efficiently. In fact, we obtain a closed-form solution for the joint Fourier-Laplace transform so that equity and realized-variance derivatives can be priced. We also employ our model to consistently price equity and VIX derivatives. In this process, the quasi-closed-form solutions for future and option prices are derived. Furthermore, through adopting data on daily VIX future and option prices, we investigate our model along with the Heston model and 3/2 model and compare their different performance in practice. Our result illustrates that the 4/2 model with an instantaneous volatility of the form $(a\sqrt{V_t}+b/\sqrt{V_t})$ for some constants $a, b$ presents considerable advantages in pricing VIX derivatives.

q-fin.CP↗