Non-Linear pricing with differential machine learning (2311.04178v1)

Abstract: The objective of this research was to evaluate and gain experience with application of two methods used for pricing and sensitivity analysis of exotic financial derivative instruments, namely, automatic adjoint differentiation (AAD) and deep learning. The work was inspired by publication of Danske Bank quantitative analysts Antoine Savine and Brian Huge in which the authors introduced a novel approach to building extremely efficient pricing and risk approximators for arbitrary financial derivative instruments.