Machine Learning in Finance

14 June 2018
16:00
to
17:30
Josef Teichmann
Abstract

We present several instances of applications of machine
learning technologies in mathematical Finance including pricing,
hedging, calibration and filtering problems. We try to show that
regularity theory of the involved equations plays a crucial role
in designing such algorithms.

(based on joint works with Hans Buehler, Christa Cuchiero, Lukas
Gonon, Wahid Khosrawi-Sardroudi, Ben Wood)

  • Mathematical and Computational Finance Seminar