Josef Teichmann: Machine Learning in Finance

Tid: Fr 2019-01-18 kl 14.15 - 15.15

Föreläsare: Josef Teichmann, ETH Zurich

Plats: Seminarierummet F11, KTH, Lindstedtsvägen 22

Abstract: We show three instances of machine learning in finance: deep hedging, deep calibration and deep simulation. The first two applications are direct application of universal approximation theorems, in contrast to deep simulation where Johnson-Lindenstrauss random projection are used to obtain expressive but tractable sets of trajectories.​

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Tillhör: Institutionen för matematik
Senast ändrad: 2019-01-03