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Antoine Savine
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Antoine Savine is a practitioner and a lecturer in methematical and computational finance. Antoine Savine is also the author of the Modern Computational Finance books with Wiley.
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Danske Bank
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Quantitative Research
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Antoine Savine's Blog

Deep Learning picking momentum in option pricing and financial risk management

Posted on January 11, 2019 at 5:30am 0 Comments

Deep Learning is picking momentum in Quantitative Finance, outside the obvious application to the prediction of asset prices (where to my knowledge it is not particularly effective) and spreading into the more serious application area of option pricing and risk management.

These two recent papers clearly demonstrate the benefits of DL as a pricing technology alternative to the classical FDM and Monte-Carlo in certain contexts:…


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