Derivatives and trading businesses are talking about replacing slow derivative pricing models with fast but equivalent neural networks.
Why? Once a neural network has been fitted to the outputs of a conventional derivative pricing model, it prices virtually instantaneously. This enables:
- Real-time pricing of computationally expensive derivatives
- Option trading strategies execute faster
- Real-time calculation of Greeks
- Massive scenario analysis with millions of scenarios
- Rapid market risk calculation including intraday VaR
- Impossibly slow XVA calculations become viable
- Dramatically faster volatility model calibration
- Superior portfolio optimization
Interested in partnering with PhD quant consultants to develop neural network pricing models for your business? Talk to Genius Mathematics Consultants today.
