Non-Linear pricing with differential machine learning

Author:

Pavel Goldin

Keyword:

Condensed Matter, Disordered Systems and Neural Networks, Disordered Systems and Neural Networks (cond-mat.dis-nn)

journal:

date:

2023-11-06 16:00:00

Abstract

The objective of this research was to evaluate and gain experience with application of two methods used for pricing and sensitivity analysis of exotic financial derivative instruments, namely, automatic adjoint differentiation (AAD) and deep learning. The work was inspired by publication of Danske Bank quantitative analysts Antoine Savine and Brian Huge in which the authors introduced a novel approach to building extremely efficient pricing and risk approximators for arbitrary financial derivative instruments.

PDF: Non-Linear pricing with differential machine learning.pdf