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BFS one world seminar - Nils-Christian Detering (UCSB)
Speaker: Nils-Christian Detering (UCSB)

Title: Pricing options on flow forwards by neural networks in Hilbert space

Abstract: We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real line, which is the state space for the term structure dynamics. This optimization problem is solved by facilitating a novel feedforward neural network architecture designed for approximating continuous functions on the state space. The proposed neural net is built upon the basis of the Hilbert space. We provide a case study that shows excellent numerical efficiency, with superior performance over that of a classical neural net trained on sampling the term structure curves.

Nov 24, 2022 07:00 PM in Zurich

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