[SFdS] Information du groupe Risques AEF : WG Risk - CREAR - 23 March 2026

Dear all,

We have the pleasure thanks to the support of the ESSEC IDO department/Ceressec, the Institut des Actuaires, the FSM/Labex MME-DII (CY), the Risques AEF - SFdS group and the ERM group of SAS, to invite you to the seminar by:

Date: Monday, 23 March 2026, at 11.00am (CEST)

Dual format: ESSEC Singapore Campus, Room 3C9
and via Zoom, please click here

Deep Learning algorithm for solving high-dimensional nonlinear PDEs in finance

We present a (random) neural networks based algorithm which can efficiently solve high-dimensional nonlinear partial differential equations (PDEs) and apply this algorithm to price high-dimensional financial derivatives under default risk. We provide a full error analysis of our algorithm as well as empirically demonstrate that our algorithm can approximately solve nonlinear PDEs in 10’000 dimensions within seconds. This talk is based on joint work with P. Schmocker and S. Wu.

Kind regards,
Pierre Alquier, Marie Kratz, Roberto Reno, and Riada Djebbar (Singapore Actuarial Society - ERM)