9 citations · 10 across the 6 of their papers we have counts for
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math.OC2019
Numerical resolution of McKean-Vlasov FBSDEs using neural networks
Maximilien Germain, Joseph Mikael, Xavier Warin
We propose several algorithms to solve McKean-Vlasov Forward Backward Stochastic Differential Equations. Our schemes rely on the approximating power of neural networks to estimate…
q-fin.RM2019★ 9 cited
Risk management with machine-learning-based algorithms
Simon Fécamp, Joseph Mikael, Xavier Warin
We propose some machine-learning-based algorithms to solve hedging problems in incomplete markets. Sources of incompleteness cover illiquidity, untradable risk factors, discrete he…