Essays about: "automatic differentiation"

Showing result 1 - 5 of 13 essays containing the words automatic differentiation.

  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

  3. 2. Tacit collusion with deep multi-agent reinforcement learning

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Filip Mellgren; [2020]
    Keywords : deep multi-agent reinforcement learning; tacit collusion; pricing algorithms;

    Abstract : Automatic pricing now attracts the attention of competition authorities following recent machine learning developments. In particular, previous research shows that the Q-learning algorithm can reach collusive outcomes despite receiving only minimal human intervention. READ MORE

  4. 3. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE

  5. 4. Efficient Barrier Option Greeks using Automatic Differentation

    University essay from Lunds universitet/Matematisk statistik

    Author : Gustav Hedin; [2019]
    Keywords : Automatic Differentiation; Greeks; Barrier Option; Vibrato Monte Carlo; Mathematics and Statistics;

    Abstract : Automatic Differentiation (AD) is an effective method for calculation of derivatives. It can evaluate an unlimited number of derivatives to a fixed cost relative to the computing time of the original function. The AD technique is used in many fields for large and complex calculations in order to get accurate values of derivatives fast. READ MORE

  6. 5. Test and Assessment of Derivative Computation Architectures using OpenMDAO and its Application in a Real Airfoil Optimization Problem

    University essay from KTH/Numerisk analys, NA

    Author : Xin Shi; [2018]
    Keywords : ;

    Abstract : Optimization problems are widespread in everyday life and engineering science. In the engineering optimization domain, the problems are usually modelled with an objective function. READ MORE