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

DOI10.1007/s10479-023-05315-4zbMath1543.91108MaRDI QIDQ6549602

Kathrin Glau, Linus Wunderlich

Publication date: 4 June 2024

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

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) Financial applications of other theories (91G80) Theoretical approximation in context of PDEs (35A35) Credit risk (91G40)

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