A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

no code implementations • 4 Mar 2020 • Kristoffer Andersson, Cornelis Oosterlee

Cashflow-paths are then created by applying the learned stopping strategy on a new set of realizations of the risk factors.

Optimally weighted loss functions for solving PDEs with Neural Networks

1 code implementation • 14 Feb 2020 • Remco van der Meer, Cornelis Oosterlee, Anastasia Borovykh

We then derive a choice for the scaling parameter that is optimal with respect to a measure of relative error.

Numerical Analysis Numerical Analysis