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