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1. 1. Deep learning exotic derivatives

   University essay from Uppsala universitet/Avdelningen för systemteknik

   Author : Gunnlaugur Geirsson; [2021]
   Keywords : deep learning; neural networks; derivative pricing; automatic differentiation; Monte Carlo; transfer learning; structured products; risk sensitivities; valuation; autocalls;

   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