Neural Network Based Approximation Algorithm for Nonlinear PDEs with Application to Pricing
Date/Time :
04 Mar 2021 16:00 Venue : via Zoom Speaker : Ariel Neufeld,
Nanyang Technological University
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https://nus-sg.zoom.us/j/88213418159?pwd=K2lPSXEvemZGSXhiVGYxTVUzQ0d3QT09
Meeting ID: 882 1341 8159
Password: pcasvd
Abstract: In this talk, we first recall the mathematical concept of neural networks and its universal approximation property. Then we will show how one can combine neural networks together with tools from Stochastic Calculus, particularly the Feynman-Kac representation, to build a neural network based algorithm that can approximately solve high-dimensional nonlinear PDEs in up to 10’000 dimensions with short run times. We apply this algorithm to price high-dimensional financial derivatives under default risk.
