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Kristoffer Andersson
Kristoffer Andersson
Utrecht University, Mathematical Institute
Verifierad e-postadress på uu.nl
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A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
K Andersson, CW Oosterlee
Applied Mathematics and Computation 408, 126332, 2021
192021
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
B Negyesi, K Andersson, CW Oosterlee
arXiv preprint arXiv:2110.05421, 2021
152021
Convergence of a robust deep FBSDE method for stochastic control
K Andersson, A Andersson, CW Oosterlee
SIAM Journal on Scientific Computing 45 (1), A226-A255, 2023
112023
Deep learning for CVA computations of large portfolios of financial derivatives
K Andersson, CW Oosterlee
Applied Mathematics and Computation 409, 126399, 2021
92021
Approximate stochastic control based on deep learning and forward backward stochastic differential equations
K Andersson
22019
D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options
K Andersson, CW Oosterlee
arXiv preprint arXiv:2308.10556, 2023
12023
Neural networks for stochastic control and decision making in mathematical finance
KH Andersson
Utrecht University, 2023
2023
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Artiklar 1–7