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:…
ContinueAdded by Antoine Savine on January 11, 2019 at 5:30am — No Comments
I rarely get to use a walkie-talkie during a course in school. As the snapshot of my desktop shows on the image below, I had both a multi-line telephone and portable radio. Just before the exam, I participated in a simulation. Our tabletop exercise contained an emergency scenario: a train derailment involving the evacuation of residents. I served as the Social Services Director. Although I didn't choose this role for myself, I thought it made sense given my graduate degree in the area of…
ContinueAdded by Don Philip Faithful on May 3, 2015 at 6:04am — No Comments
"Measurement owes its existence to Earth; estimation of quantity to measurement; calculation to estimation of quantity; balancing of chances to calculation; and victory to balancing of chances." - Sun Tzu, The Art of War (Translated by L. Giles)
The quote from Sun Tzu seems to suggest how a military leader gathers data; adapts to different situations; and makes decisions weighing the circumstances. It says that the balancing of chances depends on "calculation." I…
ContinueAdded by Don Philip Faithful on April 18, 2015 at 6:20am — 4 Comments
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Posted 1 March 2021
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