Data e ora inizio evento:
Data e ora fine evento:
Sede:
Dipartimento di Matematica Guido Castelnuovo, Università Sapienza Roma
Aula:
Altro (Aula esterna al Dipartimento)
Aula esterna:
ZOOM Meeting
Speaker ed affiliazione:
Athena Picarelli, Università di Verona
We present a novel computational framework for portfolio-wide risk management problems where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective. The new method utilises a coupled system of backward stochastic differential equations (BSDEs) for the valuation adjustments and solves these by a neural network based BSDE solver.