Derivatives of feed-forward neural networks and their application in real-time market risk management

DOI10.1007/S00291-022-00672-1MaRDI QIDQ2676274zbMATH OpenOpenAlexFDO

Authors Antal Ratku, Dirk Neumann

Publication date 27 September 2022

Published in OR Spectrum (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00291-022-00672-1

zbMATH Keywords

artificial intelligenceinvestment analysismachine learningpricingrisk analysissensitivity analysis

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Deep hedging
• Deep learning
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• Multilayer feedforward networks are universal approximators
• The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Describes a project that uses

Uses Software

• MatrixCalculus
• PyTorch

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