Essays about: "Gunnlaugur Geirsson"
Found 1 essay containing the words Gunnlaugur Geirsson.
University essay from Uppsala universitet/Avdelningen för systemteknik
Abstract : Monte Carlo methods in derivative pricing are computationally expensive, in particular for evaluating models partial derivatives with regard to inputs. This research proposes the use of deep learning to approximate such valuation models for highly exotic derivatives, using automatic differentiation to evaluate input sensitivities. READ MORE