Differential Deep Learning for Pricing Exotic Financial Derivatives
Calculating the value of a financial derivative is a central problem in quantitative finance. For many exotic derivatives there are no closed-form solutions for present values, instead, computationally expensive Monte Carlo methods are used for valuation. In addition to the present value, the sensit...
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| Format: | Others |
| Language: | English |
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KTH, Skolan för elektroteknik och datavetenskap (EECS)
2021
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-301311 |