Financial option valuation by unsupervised learning with artificial neural networks

no code implementations • 25 May 2020 • Beatriz Salvador, Cornelis W. Oosterlee, Remco van der Meer

Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs).

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