2 citations · 3 across the 2 of their papers we have counts for
3 papers
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
Balint Negyesi, Kristoffer Andersson, Cornelis W. Oosterlee
A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliav…
Deep learning for CVA computations of large portfolios of financial derivatives
Kristoffer Andersson, Cornelis W. Oosterlee
In this paper, we propose a neural network-based method for CVA computations of a portfolio of derivatives. In particular, we focus on portfolios consisting of a combination of der…
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
Kristoffer Andersson, Cornelis Oosterlee
In this paper, we propose a neural network-based method for approximating expected exposures and potential future exposures of Bermudan options. In a first phase, the method relies…