Error guarantees for (random) neural networks for option pricing

Relatore:  Lukas Gonon - Imperial College London
  giovedì 9 maggio 2024 alle ore 12.00
Deep learning algorithms have been shown empirically to work well in many classical problems from mathematical finance. Theoretical foundations of deep learning in this context, however, are far less developed.  In this talk we present our recent results on error guarantees for approximating option prices, solutions to jump-diffusion PDEs and optimal stopping problems using (random) neural networks. We address neural network expressivity, highlight challenges in analysing optimization and show how random neural networks are able to mitigate these difficulties. Thereby, randomization yields a fully-implementable neural network-based learning algorithm that provably overcomes the curse of dimensionality in certain practically relevant situations.


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Data pubblicazione
15 dicembre 2023