Accelerating Derivative Valuations Using AI

Traditional valuation techniques often use expensive methods like numerical integration and Monte Carlo simulation. In this video, Sebastian Hahn, AI Lead, explains how Quantifi & Intel have taken a conventional model for the valuation of credit options and trained an Artificial Neural Network (ANN) to perform the same valuations achieving a speedup of 700x.

 

 

An improvement of 700x opens up the possibility for financial institutions to move from overnight batch risk calculations to live risk calculations transforming the ways in which they can manage risk.

 

  Learn more: Download Whitepaper  

 

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