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All Blog Posts Tagged 'derivatives' (2)

Deep Learning picking momentum in option pricing and financial risk management

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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Added by Antoine Savine on January 11, 2019 at 5:30am — No Comments

Neural Networks: The Backpropagation algorithm in a picture

Here I present the backpropagation algorithm for a continuous target variable and no activation function in hidden layer: although simpler than the one used for the logistic cost function, it's a proficuous field for math lovers.

Added by Rubens Zimbres on November 19, 2016 at 9:30am — 3 Comments

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