Subscribe to DSC Newsletter

All Blog Posts Tagged 'longstaff-schwartz' (1)

Deep Learning picking momentum in option pricing and financial risk management

Deep Learning is picking momentum in Quantitative Finance, outside the obvious application to the prediction of asset prices (where to my knowledge it is not particularly effective) and spreading into the more serious application area of option pricing and risk management.

These two recent papers clearly demonstrate the benefits of DL as a pricing technology alternative to the classical FDM and Monte-Carlo in certain contexts:…

Continue

Added by Antoine Savine on January 11, 2019 at 5:30am — No Comments

Monthly Archives

2020

2019

2018

2017

2016

2015

2014

2013

2012

2011

1999

Videos

  • Add Videos
  • View All

© 2020   TechTarget, Inc.   Powered by

Badges  |  Report an Issue  |  Privacy Policy  |  Terms of Service