Reports from University of Verona Highlight Recent Research in Risk Management (Calibrating FBSDEs Driven Models in Finance via NNs): Insurance – Risk Management

Insurance Daily News

2023 JAN 10 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- New study results on risk management have been published. According to news reporting from Verona, Italy, by NewsRx journalists, research stated, “The curse of dimensionality problem refers to a set of troubles arising when dealing with huge amount of data as happens, e.g., applying standard numerical methods to solve partial differential equations related to financial modeling.”

Our news correspondents obtained a quote from the research from University of Verona: “To overcome the latter issue, we propose a Deep Learning approach to efficiently approximate nonlinear functions characterizing financial models in a high dimension. In particular, we consider solving the Black-Scholes-Barenblatt non-linear stochastic differential equation via a forward-backward neural network, also calibrating the related stochastic volatility model when dealing with European options. The obtained results exhibit accurate approximations of the implied volatility surface.”

According to the news reporters, the research concluded: “Specifically, our method seems to significantly reduce the neural network’s training time and the approximation error on the test set.”

For more information on this research see: Calibrating FBSDEs Driven Models in Finance via NNs. Risks, 2022,10(227):227. (Risks - http://www.mdpi.com/journal/risks). The publisher for Risks is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/risks10120227.

Our news editors report that more information may be obtained by contacting Luca Di Persio, Department of Computer Science, University of Verona, via Ca’ Vignal 2, 37129 Verona, Italy. Additional authors for this research include Emanuele Lavagnoli, Marco Patacca.