Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM
16 Pages Posted: 20 Nov 2017 Last revised: 14 Dec 2017
Date Written: November 15, 2017
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.
Keywords: BSDE, Stochastic Control, Machine Learning, CVA, Initial Margin
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