Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk
From MaRDI portal
Publication:6157931
Abstract: The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary conditions is proposed, which allows to get rid of the heuristic choice of the weights for the different addends that appear in the loss function related to the training process. It is based on defining the losses associated to the boundaries by means of the PDEs that arise from substituting the related conditions into the model equation itself. Further, automatic differentiation is employed to obtain accurate approximation of the partial derivatives.
Recommendations
- A fully non-linear PDE problem from pricing CDS with counterparty risk
- A PDE approach to risk measures of derivatives
- Boundary-value problems for PDEs arising in the valuation of structured financial products
- PDE approach to valuation and hedging of credit derivatives
- PDE APPROACH TO THE VALUATION AND HEDGING OF BASKET CREDIT DERIVATIVES
- A partial differential equation for credit derivatives pricing
- A PDE approach for risk measures for derivatives with regime switching
- Numerical limit and its application to a blow-up problem related to default risk
- Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives
- Mathematical analysis of a nonlinear PDE model for European options with counterparty risk
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A comprehensive study of non-adaptive and residual-based adaptive sampling for physics-informed neural networks
- A theory of the term structure of interest rates
- ADI finite difference schemes for option pricing in the Heston model with correlation
- Affine multiple yield curve models
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- Bilateral counterparty risk under funding constraints. II: CVA
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
- Deep learning
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- DeepXDE: a deep learning library for solving differential equations
- Error analysis for physics-informed neural networks (PINNs) approximating Kolmogorov PDEs
- Estimates on the generalization error of physics-informed neural networks for approximating a class of inverse problems for PDEs
- Gradient-enhanced physics-informed neural networks for forward and inverse PDE problems
- scientific article; zbMATH DE number 6378127 (Why is no real title available?)
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
- Neural‐network‐based approximations for solving partial differential equations
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
- On a neural network to extract implied information from American options
- On the convergence of physics informed neural networks for linear second-order elliptic and parabolic type PDEs
- On the limited memory BFGS method for large scale optimization
- Optimally weighted loss functions for solving PDEs with neural networks
- Optimization methods for large-scale machine learning
- Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk
- Physics informed neural networks (PINNs) for approximating nonlinear dispersive PDEs
- Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
- PPINN: parareal physics-informed neural network for time-dependent PDEs
- Pricing Multi-Asset Options with Sparse Grids and Fourth Order Finite Differences
- Solving high-dimensional partial differential equations using deep learning
- The numerical solution of linear ordinary differential equations by feedforward neural networks
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model
Cited in
(4)- Spectral informed neural networks
- On deep learning for computing the dynamic initial margin and margin value adjustment
- Optimal calculations for the space-time fractional derivative option pricing models with stochastic liquidity risk and volatility using a combination neural network
- Deep joint learning valuation of Bermudan swaptions
This page was built for publication: Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6157931)
