no code implementations • 21 Aug 2023 • Kristoffer Andersson, Cornelis W. Oosterlee
With an incomplete market and a more involved objective function, we show that it is beneficial to add options to the portfolio.
no code implementations • 18 Jan 2022 • Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
In this paper, we propose a deep learning based numerical scheme for strongly coupled FBSDEs, stemming from stochastic control.
no code implementations • 26 Oct 2020 • Kristoffer Andersson, Cornelis W. Oosterlee
In particular, we focus on portfolios consisting of a combination of derivatives, with and without true optionality, \textit{e. g.,} a portfolio of a mix of European- and Bermudan-type derivatives.
no code implementations • 4 Mar 2020 • Kristoffer Andersson, Cornelis Oosterlee
Cashflow-paths are then created by applying the learned stopping strategy on a new set of realizations of the risk factors.