An unsupervised deep learning approach to solving partial integro-differential equations

DOI10.1080/14697688.2022.2057870MaRDI QIDQ5092661zbMATH OpenOpenAlexWikidataFDO

Authors Weilong Fu, Ali Hirsa

Publication date 22 July 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2022.2057870

zbMATH Keywords

deep learningoption pricingneural networkPIDELévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Artificial neural networks and deep learning (68T07) Integro-partial differential equations (45K05)

Recommendations

• Solving high-dimensional partial differential equations using deep learning
• A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
• Path-dependent deep Galerkin method: a neural network approach to solve path-dependent partial differential equations
• Solving non-linear Kolmogorov equations in large dimensions by using deep learning: a numerical comparison of discretization schemes
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

Cites work

• scientific article; zbMATH DE number 6378127 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A neural network-based framework for financial model calibration
• DGM: a deep learning algorithm for solving partial differential equations
• Deep hidden physics models: deep learning of nonlinear partial differential equations
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• Learning representations by back-propagating errors
• Neural algorithm for solving differential equations
• On the distribution of points in a cube and the approximate evaluation of integrals
• Option pricing when underlying stock returns are discontinuous
• Processes of normal inverse Gaussian type
• Solving high-dimensional partial differential equations using deep learning
• Solving the Kolmogorov PDE by means of deep learning

Cited in

(4)

• Temporal difference learning for high-dimensional PIDEs with jumps
• Deep learning schemes for parabolic nonlocal integro-differential equations
• An adaptive finite element method for Riesz fractional partial integro-differential equations
• Solving high-dimensional partial integral differential equations: the finite expression method

This page was built for publication: An unsupervised deep learning approach to solving partial integro-differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5092661)