Category: q-fin.PR

Prediction-Enhanced Monte Carlo: A Machine Learning View on Control Variate arXiv:2412.11257v1 Announce Type: new Abstract: Despite being an essential tool across engineering and finance, Monte Carlo simulation can be computationally intensive, especially in large-scale, path-dependent problems that hinder straightforward parallelization. A natural alternative is to replace simulation with machine learning or surrogate prediction, though this…