KTH Matematik  


Matematisk Statistik

Tid: 18 januari 2019 kl 14.15-15.15.

Seminarierummet F11, KTH, Lindstedtsvägen 22. Karta!

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.

Till seminarielistan
To the list of seminars

Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009