July 2018
Intermediate to advanced
234 pages
6h 5m
English
Chapter 7: Monte Carlo Simulations with Deep Learning
Pricing of Variable Annuities Contracts
In this chapter, we revisit the random walk example that we introduced in Chapter 5. Our goal is to significantly improve the performance of Monte Carlo simulations by using a trained artificial neural network (ANN) to approximate the results of the Monte Carlo simulations.
The example that we are trying to solve is straightforward: given a number of steps of a random walk, estimate the distance from the origin.
For the purpose of this book, we confine ourselves to random ...