no code implementations • 19 May 2022 • William Lefebvre, Grégoire Loeper, Huyên Pham
Compared to existing methods, the addition of a differential loss function associated to the gradient, and augmented training sets with Malliavin derivatives of the forward process, yields a better estimation of the PDE's solution derivatives, in particular of the second derivative, which is usually difficult to approximate.
no code implementations • 28 Jun 2021 • Kaustav Das, Ivan Guo, Grégoire Loeper
In a multi-dimensional diffusion framework, the price of a financial derivative can be expressed as an iterated conditional expectation, where the inner conditional expectation conditions on the future of an auxiliary process that enters into the dynamics for the spot.
