Deep branching solution of financial partial differential equations

• Main Author: Wang, Yiran
• Other Authors: Nicolas Privault
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2023
• Subjects: Engineering::Mathematics and analysis
• Online Access: https://hdl.handle.net/10356/166540
• Institution: Nanyang Technological University

This paper compares the performance of the deep branching method against two other popular deep learning methods, deep BSDE and deep Galerkin, for solving partial differential equations (PDEs) in finance. The methods were tested on different financial models including Bachelier, Black-Scholes on Eur...