Essays about: "Oliver Klingberg Malmer"

Found 2 essays containing the words Oliver Klingberg Malmer.

  1. 1. Deep Learning and the Heston Model:Calibration & Hedging

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Abstract : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. READ MORE

  2. 2. Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oliver Klingberg Malmer; Gustav Pettersson; [2020-07-01]
    Keywords : Asset pricing; Factor models; Machine learning; PCA; LASSO; Variable selection; Dimension reduction; Fama French Three Factor model; Fama French Five Factor model;

    Abstract : There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics which can explain average return. READ MORE