Deeply Learning Derivatives

Approximation by superpositions of a sigmoidal function

Cybenko, G. (1989, Dec) · 1989

Earlier work this paper cites.

Approximation capabilities of multilayer feedforward networks

Hornik, K. (1991) · 1991

Earlier work this paper cites.

A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks

Hutchinson, J. M., A. W. Lo, and T. Poggio (1994) · 1994

Earlier work this paper cites.

Forecasting foreign exchange rates using recurrent neural networks

Tenti, P. (1996) · 1996

Earlier work this paper cites.

The quantlib home page: An open source framework for quantitative finance

QuantLib (2000) · 2000

Earlier work this paper cites.

Generating random correlation matrices based on vines and extended onion method

Lewandowski, D., D. Kurowicka, and H. Joe (2009, 10) · 2001

Earlier work this paper cites.

Adam: A method for stochastic optimization

Original

Kingma, D. P. and J. Ba (2014) · 2014

Cited alongside, same era.

Chebyshev Interpolation for Parametric Option Pricing

Gaß, M., K. Glau, M. Mahlstedt, and M. Mair (2015, May) · 2015

Cited alongside, same era.

XVA: Credit, Funding and Capital Valuation Adjustments

Green, A. (2015) · 2015

Cited alongside, same era.

Deep Learning

Goodfellow, I., Y. Bengio, and A. Courville (2016) · 2016

Cited alongside, same era.

CDS Rate Construction Methods by Machine Learning Techniques

Brummelhuis, R. and Z. Luo (2017) · 2017

Cited alongside, same era.

Machine Learning in Finance: The Case of Deep Learning for Option Pricing

Culkin, R. and S. R. Das (2017) · 2017

Cited alongside, same era.

Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

E, W., J. Han, and A. Jentzen (2017, June) · 2017

Later among the works it cites.

Deep Primal-Dual Algorithm for BSDEs: Applications of Machine Learning to CVA and IM

Henry-Labordere, P. (2017) · 2017

Later among the works it cites.

Chebyshev Methods for Ultra - efficient Risk Calculations

Zeron, M. and I. Ruiz (2017) · 2017

Later among the works it cites.

On characterizing the capacity of neural networks using algebraic topology

Original

Guss, W. H. and R. Salakhutdinov (2018) · 2018

Closest in time.

Neural Networks and Deep Learning

Ng, A. (2018) · 2018

Closest in time.