{"title":"Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM","authors":"P. Henry-Labordère","doi":"10.2139/ssrn.3071506","DOIUrl":null,"url":null,"abstract":"Building heavily on the recent nice paper [Weinan E-al (2017)], we introduce a primal-dual method for solving BSDEs based on the use of neural networks, stochastic gradient descent and a dual formulation of stochastic control problems. Our algorithm is illustrated with two examples relevant in Mathematical Finance: the pricing of counterparty risk and the computation of initial margin.","PeriodicalId":187811,"journal":{"name":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"70","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Capital Markets - Risk (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3071506","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 70
Abstract
Building heavily on the recent nice paper [Weinan E-al (2017)], we introduce a primal-dual method for solving BSDEs based on the use of neural networks, stochastic gradient descent and a dual formulation of stochastic control problems. Our algorithm is illustrated with two examples relevant in Mathematical Finance: the pricing of counterparty risk and the computation of initial margin.
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