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Banks and financial institutions spend tens of millions of dollars annually calculating the values of their OTC derivatives portfolios—often in large, nightly batches. However, using conventional algorithms, real-time pricing, and risk management remains out of reach.

The hope is that neural networks can make it possible.

Dive into this blog post to learn about a pioneering effort to utilize deep neural networks to learn complex pricing functions that are used to value OTC derivatives.

Vendor:

Microsoft

Posted:

Sep 30, 2021

Published:

Aug 26, 2020

Format:

HTML

Type:

Resource