We present an artificial neural network (ANN) approach to value financial derivatives. Atypically to standard ANN applications, practitioners equally use option pricing models to validate market prices and to infer unobserved prices. Importantly, models need to generate realistic arbitrage-free prices, meaning that no option portfolio can lead to risk-free profits. The absence of arbitrage opportunities is guaranteed by penalizing the loss using soft constraints on an extended grid of input values. ANNs can be pre-trained by first calibrating a standard option pricing model, and then training an ANN to a larger synthetic dataset generated from the calibrated model. The parameters transfer as well as the non-arbitrage constraints appear to be particularly useful when only sparse or erroneous data are available. We also explore how deeper ANNs improve over shallower ones, as well as other properties of the network architecture. We benchmark our method against standard option pricing models, such as Heston with and without jumps. We validate our method both on training sets, and testing sets, namely, highlighting both their capacity to reproduce observed prices and predict new ones.

Mobility datasets are fundamental for evaluating algorithms pertaining to geographic information systems and facilitating experimental reproducibility. But privacy implications restrict sharing such datasets, as even aggregated location-data is vulnerable to membership inference attacks. Current synthetic mobility dataset generators attempt to superficially match a priori modeled mobility characteristics which do not accurately reflect the real-world characteristics. Modeling human mobility to generate synthetic yet semantically and statistically realistic trajectories is therefore crucial for publishing trajectory datasets having satisfactory utility level while preserving user privacy. Specifically, long-range dependencies inherent to human mobility are challenging to capture with both discriminative and generative models. In this paper, we benchmark the performance of recurrent neural architectures (RNNs), generative adversarial networks (GANs) and nonparametric copulas to generate synthetic mobility traces. We evaluate the generated trajectories with respect to their geographic and semantic similarity, circadian rhythms, long-range dependencies, training and generation time. We also include two sample tests to assess statistical similarity between the observed and simulated distributions, and we analyze the privacy tradeoffs with respect to membership inference and location-sequence attacks.

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Artificial intelligence (AI) is revolutionizing many areas of our lives, leading a new era of technological advancement. Particularly, the transportation sector would benefit from the progress in AI and advance the development of intelligent transportation systems. Building intelligent transportation systems requires an intricate combination of artificial intelligence and mobility analysis. The past few years have seen rapid development in transportation applications using advanced deep neural networks. However, such deep neural networks are difficult to interpret and lack robustness, which slows the deployment of these AI-powered algorithms in practice. To improve their usability, increasing research efforts have been devoted to developing interpretable and robust machine learning methods, among which the causal inference approach recently gained traction as it provides interpretable and actionable information. Moreover, most of these methods are developed for image or sequential data which do not satisfy specific requirements of mobility data analysis. This vision paper emphasizes research challenges in deep learning-based mobility analysis that require interpretability and robustness, summarizes recent developments in using causal inference for improving the interpretability and robustness of machine learning methods, and highlights opportunities in developing causally-enabled machine learning models tailored for mobility analysis. This research direction will make AI in the transportation sector more interpretable and reliable, thus contributing to safer, more efficient, and more sustainable future transportation systems. CCS CONCEPTS• Computing methodologies → Neural networks; Causal reasoning and diagnostics; • Information systems → Spatialtemporal systems.

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