Deep branching solution of financial partial differential equations

• المؤلف الرئيسي: Wang, Yiran
• مؤلفون آخرون: Nicolas Privault
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2023
• الموضوعات: Engineering::Mathematics and analysis
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/166540
• المؤسسة: 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...