Deep MultiTask neural networks for the pricing of swing options.
(Accepted at the International Joint Conference on Neural Network IJCNN 2024)
@INPROCEEDINGS{10651048,
author={Yeo, Christian},
booktitle={2024 International Joint Conference on Neural Networks (IJCNN)},
title={Deep multitask neural networks for solving some stochastic optimal control problems},
year={2024},
volume={},
number={},
pages={1-9},
keywords={Neural networks;Stochastic processes;Optimal control;Estimation;Pricing;Aerospace electronics;Mathematical models;Multitask;stochastic optimal control;dynamic programming;swing and storage contracts;commodity assets modelling},
doi={10.1109/IJCNN60899.2024.10651048}}
- Python version : 3.11.2
- GPU device : NVIDIA A100-PCIE-40GB MIG 1g.5gb
- PyTorch version : 2.0.1+cu117