Listar por tema "Couterparty credit risk"
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Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk
(Elsevier B.V., 2023)[Abstract]: The goal of this work is to develop a novel strategy for the treatment of the boundary conditions for multi-dimension nonlinear parabolic PDEs. The proposed methodology allows to get rid of the heuristic choice ...