Essays about: "pricing algorithms"

Showing result 1 - 5 of 20 essays containing the words pricing algorithms.

  1. 1. Option Pricing using Artificial Neural Networks

    University essay from Lunds universitet/Beräkningsbiologi och biologisk fysik

    Author : Jan Mueller; [2021]
    Keywords : Physics and Astronomy;

    Abstract : Neural networks have an increasingly important role in the financial market, by offering a solution to stationarity and non-linearity whilst also providing robustness and predictive power. Options and option pricing are a fundamental area of interest in the daily activities of investment banks, hedge funds and trading firms in the financial market. READ MORE

  2. 2. Feature-Based Dynamic Pricing of Airline Ancillaries

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Muhammed Memedi; [2021]
    Keywords : ;

    Abstract : Airline ancillary revenue has increased substantially over the past years. Despite the increasing attention, its pricing models have mostly progressed slowly and remained simple. In this work we apply dynamic pricing models for the purpose of maximizing airline ancillary revenue. Our contributions in this thesis are threefold. READ MORE

  3. 3. Commodity Futures Pricing Via Machine Learning: An Empirical Approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anton Nartov; [2021]
    Keywords : Machine Learning; Neural Networks; Decision Trees; Commodity Futures;

    Abstract : The goal of this thesis is to use established methodologies in the field of machine learning in finance to extend the list of current applications to commodity futures, reviewing and refining the established empirical approaches to return forecasting and hyperparameter optimization. We thus investigate the out of sample predictive accuracy of tree-based machine learning (ML) techniques and neural networks applied to monthly commodity futures returns, relying on conventional regression and classification accuracy metrics. READ MORE

  4. 4. Tacit collusion with deep multi-agent reinforcement learning

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Filip Mellgren; [2020]
    Keywords : deep multi-agent reinforcement learning; tacit collusion; pricing algorithms;

    Abstract : Automatic pricing now attracts the attention of competition authorities following recent machine learning developments. In particular, previous research shows that the Q-learning algorithm can reach collusive outcomes despite receiving only minimal human intervention. READ MORE

  5. 5. Option Pricing on Levy Based Markets

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Rafael Velasquez; [2020]
    Keywords : ;

    Abstract :   The development of novel methods for accurate financial market modelling has always been a significant area in financial mathematics. Therefore, this master thesis examines the applicability of three Levy processes, known as CGMY, NIG and Meixner for pricing European call and put options. READ MORE