Tid: 18 januari 2019 kl 14.15-15.15.

Föredragshållare: Josef Teichmann (ETH Zurich)

Titel: Machine learning in finance

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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