Deep learning profit and loss

Giacomo Bormetti, Flavio Cocco and Pietro Rossi
29 Sep 2021

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Building the future profit and loss distribution of a portfolio holding highly nonlinear and path-dependent derivatives, among other assets, is a challenging task. Giacomo Bormetti, Flavio Cocco and Pietro Rossi provide a simple machinery where an increasing number of assets may be accounted for in a simple and semi-automatic fashion. They resort to a variation of the least squares Monte Carlo algorithm in which the continuation value of the portfolio is

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Deep learning profit and loss

The P&L distribution of a complex derivatives portfolio is computed via deep learning

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