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Found 2 essays matching the above criteria.

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 characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. READ MORE

3. 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