This event was live streamed, and the recording is available here.
Thursday 21 November 2019, 18:00-19:00.
The seminar will be followed by a reception.
Abstract
In the first part of the talk, we will show how various stochastic control problems arising in quantitative finance may be solved using machine learning techniques: the pricing of options in the uncertain volatility model, the optimal posting of collateral and the calculation of Credit Valuation Adjustments (CVA) and Initial Margin (IM). In the second part, we will explain how to construct efficient deep generative models for financial data.
Speaker
Pierre Henry-Labordre works in the Global Markets Quantitative Research team at Société Générale. After a Ph.D. In string theory at Ecole Normale Supèrieure (Paris), he joined the Department of Physics at Imperial College (London) before moving to finance in 2004. Since 2011, Pierre has also been an associate researcher at Centre de Mathématiques Appliquées, Ecole Polytechnique. He was the recipient of the 2013 Quant of the Year award from Risk Magazine.
Venue
Citi Stirling Square
5-7 Carlton Gardens
London SW1Y 5AD
I'm afraid we have now reached maximum capacity. If you would like to go on the reserved list, please email Laura Auger.