Leveraging approximation properties of neural networks for efficient bond pricing

• Main Author: Samay, Panwar
• Other Authors: Nicolas Privault
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2023
• Subjects: Science::Mathematics::Statistics; Science::Mathematics::Applied mathematics::Simulation and modeling
• Online Access: https://hdl.handle.net/10356/166446
• Institution: Nanyang Technological University

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...