Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk

DOI10.1007/S10479-023-05315-4zbMATH Open1543.91108MaRDI QIDQ6549602FDOQ6549602

Authors: Kathrin Glau, Linus Wunderlich 

Publication date: 4 June 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

Recommendations

• The deep parametric PDE method and applications to option pricing
• A theoretical analysis of deep neural networks and parametric PDEs
• DNN expression rate analysis of high-dimensional PDEs: application to option pricing
• Unbiased deep solvers for linear parametric PDEs
• Adaptive deep neural networks methods for high-dimensional partial differential equations

zbMATH Keywords

option pricinghigh-dimensional partial differential equationsdeep neural networksexposure calculationdeep parametric PDE methodDNN approximation theoryDNN expression rates

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Credit risk (91G40) Financial applications of other theories (91G80) Theoretical approximation in context of PDEs (35A35)

Cites Work

• DGM: a deep learning algorithm for solving partial differential equations
• Universal approximation bounds for superpositions of a sigmoidal function
• Sparse grids
• Approximation rates for neural networks with general activation functions
• Smoothing the payoff for efficient computation of Basket option prices
• Error bounds for approximations with deep ReLU networks
• Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations
• Constructive deep ReLU neural network approximation
• Deep learning in high dimension: neural network expression rates for generalized polynomial chaos expansions in UQ
• Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients
• Exponential convergence of the deep neural network approximation for analytic functions
• Error bounds for approximations with deep ReLU neural networks in \(W^{s , p}\) norms
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method
• A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
• Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
• Deep Neural Network Approximation Theory
• New error bounds for deep ReLU networks using sparse grids
• The gap between theory and practice in function approximation with deep neural networks
• A proof of convergence for stochastic gradient descent in the training of artificial neural networks with ReLU activation for constant target functions
• On the convergence of physics informed neural networks for linear second-order elliptic and parabolic type PDEs
• DNN expression rate analysis of high-dimensional PDEs: application to option pricing
• Exponential ReLU DNN expression of holomorphic maps in high dimension
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
• An overview on deep learning-based approximation methods for partial differential equations
• Approximations with deep neural networks in Sobolev time-space
• The deep parametric PDE method and applications to option pricing
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
• Deep learning for CVA computations of large portfolios of financial derivatives
• The modern mathematics of deep learning
• Sparse grid method for highly efficient computation of exposures for xVA
• Speed-up credit exposure calculations for pricing and risk management
• Approximating smooth functions by deep neural networks with sigmoid activation function
• Space-time error estimates for deep neural network approximations for differential equations
• Expressivity of Deep Neural Networks

Cited In (1)

• Deep neural networks for probability of default modelling

This page was built for publication: Neural network expression rates and applications of the deep parametric PDE method in counterparty credit risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549602)