I made two simplistic TensorFlow (1.x) notebooks for the benefit of my students at Copenhagen University, to demonstrate how vanilla neural nets (deeply) learn pricing of European calls and high dimensional basket options, together with a comparison with conventional polynomial regression models (a la LSM) and a quick, simple introduction to the implementation of deep learning models in TensorFlow.
Notebook 1: European call in Black and Scholes
Notebook 2: Basket option in Bachelier
The notebooks run directly on Google colab, in the cloud and on GPU, no installation required.
The lecture slides and material are all found here: github.com/asavine/CompFinLecture
Some (much) more advanced considerations for efficiently learning prices of trading books, including “twin” neural nets who learn values and risks, and the super efficient differential regularization, are found here: deep-analytics.org
Antoine Savine 