Kristoffer Andersson

Publication Activity (10 Years)

Years Active: 2021-2023
Publications (10 Years): 5

Top Topics

Financial Markets

Unsupervised Feature Learning

Restricted Boltzmann Machine

Top Venues

Appl. Math. Comput.

SIAM J. Sci. Comput.

Publications

Kristoffer Andersson, Adam Andersson, C. W. Oosterlee
Convergence of a Robust Deep FBSDE Method for Stochastic Control. SIAM J. Sci. Comput. 45 (1) (2023)
Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee
Convergence of a robust deep FBSDE method for stochastic control. CoRR (2022)
Kristoffer Andersson, Cornelis W. Oosterlee
Deep learning for CVA computations of large portfolios of financial derivatives. Appl. Math. Comput. 409 (2021)
Balint Negyesi, Kristoffer Andersson, Cornelis W. Oosterlee
The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions. CoRR (2021)
Kristoffer Andersson, Cornelis W. Oosterlee
A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options. Appl. Math. Comput. 408 (2021)