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- W4311045046 abstract "The curse of dimensionality problem refers to a set of troubles arising when dealing with huge amount of data as happens, e.g., applying standard numerical methods to solve partial differential equations related to financial modeling. To overcome the latter issue, we propose a Deep Learning approach to efficiently approximate nonlinear functions characterizing financial models in a high dimension. In particular, we consider solving the Black–Scholes–Barenblatt non-linear stochastic differential equation via a forward-backward neural network, also calibrating the related stochastic volatility model when dealing with European options. The obtained results exhibit accurate approximations of the implied volatility surface. Specifically, our method seems to significantly reduce the neural network’s training time and the approximation error on the test set." @default.
- W4311045046 created "2022-12-23" @default.
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- W4311045046 date "2022-11-30" @default.
- W4311045046 modified "2023-09-26" @default.
- W4311045046 title "Calibrating FBSDEs Driven Models in Finance via NNs" @default.
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- W4311045046 doi "https://doi.org/10.3390/risks10120227" @default.
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