no code implementations • 26 May 2021 • Patrick Cheridito, John Ery, Mario V. Wüthrich
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period.
no code implementations • 24 Jan 2021 • John Ery, Loris Michel
We propose a reinforcement learning (RL) approach to model optimal exercise strategies for option-type products.