Neural Networks & Optimization

Neural-network methods for pricing, hedging, and PDE solving, together with the convex and stochastic optimization that portfolio construction depends on.

Focus

Neural PDE solvers and hybrid ADI–NN schemes
Deep hedging
Convex and stochastic optimization
Portfolio construction

Publications & tools

Coming soon. Write-ups, notebooks, and tools from this research line will be published here.

Learn the groundwork

Neural Networks Lab→Math for Machine Learning→Portfolio Optimization & Risk→