Advanced Course on Numerical Methods in Finance: Materials

Kees Oosterlee (​Delft University of Technology and CWI)

Pricing and calibration with neural networks in finance

Nonlinear PDEs in Computational Finance – AmericanOption Pricing

On multi-period time-consistent mean variance portfolio optimization with constraints

The Seven-League Scheme: Deep learning for large time step Monte Carlo simulation of SDEs

Monte Carlo-based Stochastic Grid Bundling Method

Learning exposure profiles for portfolios of exotic derivatives