Leveraging approximation properties of neural networks for efficient bond pricing

• المؤلف الرئيسي: Samay, Panwar
• مؤلفون آخرون: Nicolas Privault
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2023
• الموضوعات: Science::Mathematics::Statistics; Science::Mathematics::Applied mathematics::Simulation and modeling
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/166446

The purpose of this report is to examine the applications of deep learning-based approxi- mation techniques in the pricing of various financial instruments, with a particular emphasis on bond pricing methodologies. The report seeks to approximate pricing maps for bonds and options on the forward cur...