Related papers: Error Analysis of Option Pricing via Deep PDE Solv…

Multi-asset option pricing under local- and stochastic-volatility models leads naturally to high-dimensional parabolic PDEs. We develop an end-to-end quantum PDE framework for European option pricing under local-volatility Black--Scholes…

We study the error arising in the numerical approximation of FBSDEs and related PIDEs by means of a deep learning-based method. Our results focus on decoupled FBSDEs with jumps and extend the seminal work of HAn and Long (2020) analyzing…

Deep hedging is a framework for hedging derivatives in the presence of market frictions. In this study, we focus on the problem of hedging a given target option by using multiple options. To extend the deep hedging framework to this…

We propose a deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and high-dimensional forward-backward stochastic differential equations with jumps (FBSDEJs), where the jump-diffusion…

We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent PDE (CPDE), depending on forward curves rather than the…

In this work we apply the Deep Galerkin Method (DGM) described in Sirignano and Spiliopoulos (2018) to solve a number of partial differential equations that arise in quantitative finance applications including option pricing, optimal…

Probabilistic solvers for ordinary differential equations (ODEs) have emerged as an efficient framework for uncertainty quantification and inference on dynamical systems. In this work, we explain the mathematical assumptions and detailed…

We present a deep learning framework for pricing options based on market-implied volatility surfaces. Using end-of-day S\&P 500 index options quotes from 2018-2023, we construct arbitrage-free volatility surfaces and generate training data…

We propose a new forward-backward stochastic differential equation solver for high-dimensional derivatives pricing problems by combining deep learning solver with least square regression technique widely used in the least square Monte Carlo…

This study investigates enhancing option pricing by extending the Black-Scholes model to include stochastic volatility and interest rate variability within the Partial Differential Equation (PDE). The PDE is solved using the finite…

Partial differential equations (PDEs) are widely used across the physical and computational sciences. Decades of research and engineering went into designing fast iterative solution methods. Existing solvers are general purpose, but may be…

Recently, the deep learning method has been used for solving forward-backward stochastic differential equations (FBSDEs) and parabolic partial differential equations (PDEs). It has good accuracy and performance for high-dimensional…

We propose a finite-dimensional control-based method to approximate solution operators for evolutional partial differential equations (PDEs), particularly in high-dimensions. By employing a general reduced-order model, such as a deep neural…

In this paper we introduce a numerical method for nonlinear parabolic PDEs that combines operator splitting with deep learning. It divides the PDE approximation problem into a sequence of separate learning problems. Since the computational…

We propose a new multistep deep learning-based algorithm for the resolution of moderate to high dimensional nonlinear backward stochastic differential equations (BSDEs) and their corresponding parabolic partial differential equations (PDE).…

Stochastic differential equation (SDE) models are the foundation for pricing and hedging financial derivatives. The drift and volatility functions in SDE models are typically chosen to be algebraic functions with a small number (less than…

We consider a specific type of nonlinear partial differential equations (PDE) that appear in mathematical finance as the result of solving some optimization problems. We review some existing in the literature examples of such problems, and…

Recent advances in deep learning have enabled us to address the curse of dimensionality (COD) by solving problems in higher dimensions. A subset of such approaches of addressing the COD has led us to solving high-dimensional PDEs. This has…

This paper presents machine learning techniques and deep reinforcement learningbased algorithms for the efficient resolution of nonlinear partial differential equations and dynamic optimization problems arising in investment decisions and…

Deep models have recently emerged as promising tools to solve partial differential equations (PDEs), known as neural PDE solvers. While neural solvers trained from either simulation data or physics-informed loss can solve PDEs reasonably…