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Homeen-gbPricing barrier options with deep backward stochastic differential equation methodsThis paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forwardâ€“backward stochastic differential equations.
https://www.risk.net/journal-of-computational-finance/7938986/pricing-barrier-options-with-deep-backward-stochastic-differential-equation-methods
https://www.risk.net/journal-of-computational-finance/7938986/pricing-barrier-options-with-deep-backward-stochastic-differential-equation-methods
Wed, 16 Mar 2022 11:35:04 +0000 Estimating future value-at-risk from value samples, and applications to future initial marginThis paper discusses several methods to estimate fVaR or margin requirements and their expected time evolution, from simple options to more complex interest swaps.
https://www.risk.net/journal-of-risk/7923236/estimating-future-value-at-risk-from-value-samples-and-applications-to-future-initial-margin
https://www.risk.net/journal-of-risk/7923236/estimating-future-value-at-risk-from-value-samples-and-applications-to-future-initial-margin
Mon, 24 Jan 2022 16:36:04 +0000 Deep learning to solve forward-backward stochastic differential equationsPricing vanilla and exotic options with a deep learning approach for PDEs https://www.risk.net/derivatives/7736446/deep-learning-to-solve-forward-backward-stochastic-differential-equations
https://www.risk.net/derivatives/7736446/deep-learning-to-solve-forward-backward-stochastic-differential-equationsFri, 22 Jan 2021 04:30:00 +0000