Machine Learning & Quant Finance

Machine Learning & Quant Finance

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Machine Learning & Quant Finance
Neural Landscape for Option Modelling
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Neural Landscape for Option Modelling

Machine Learning in Finance I

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Dr. Derek Snow
Jan 08, 2021
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Machine Learning & Quant Finance
Neural Landscape for Option Modelling
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Introduction

Traditionally, pricing and hedging methods were selected based on their tractability as opposed to their accuracy. Indeed, the speed of calibration is a fundamental constraint, especially when one wants to extend away from the simplest Black-Scholes setting.  The Black-Scholes formula is concise and simple to understand and therefore widely …

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