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Deep Learning Volatility - Blanka Horvath, Kings College London

Deep Learning Volatility - Blanka Horvath, Kings College London

Alan Turing Institute via YouTube Direct link

A NN Perspective on Pricing and (€) Calibration

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A NN Perspective on Pricing and (€) Calibration

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Deep Learning Volatility - Blanka Horvath, Kings College London

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  1. 1 Intro
  2. 2 Deep Learning Option Pricing and Calibration
  3. 3 Challenges for Neural Network Pricing
  4. 4 A NN Perspective on Pricing and (€) Calibration
  5. 5 Advantages of Neural Network Pricing
  6. 6 Questions
  7. 7 Digression: Rough Volatility
  8. 8 Pricing rough volatility by Monte Carlo
  9. 9 Model recognition

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