Meetings/Workshops on Mathematical Economics and Finance in South Africa
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Machine learning for option pricing masterclass
05 Mar 2020 - 06 Mar 2020 • Johannesburg, South Africa
AIFMRM (African Institute of Financial Markets and Risk Management)
This workshop provides a detailed overview of machine learning techniques applied to finance, and offers insights into the latest use of such techniques for modelling financial markets, where the focus is on pricing and callibration. Aside from the theoretical underpinnings, we give practical guidance and live demonstrations of the computational methods involved. After introducing the subject, we cover Artificial Neural Networks and Gaussian Process Regression in detail, and show how such methods can be applied to option pricing problems, xVA calculation and hedging. We demonstrate how to use existing pricing libraries to interact with machine learning environments in Python using Keras, Tensorflow, SciKit and PyTorch. Further examples for Gaussian Process Regression are provided in Matlab and Python.
Machine-learning techniques, artificial neural networks, mathematics of neural networks, Guassian process regression for option pricing, deep learning for pricing using Heston and other stochastic volatility models, deep learning for calibration of stochastic volatility models
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Last updated: 03 February 2020