Jan Rems: Deep learning for quadratic hedging in incomplete jump market
V četrtek, 30. 3. 2023, ob 14:15 bo v predavalnici 3.06 v okviru seminarja VeSFiM potekalo predavanje Jana Remsa z naslovom Deep learning for quadratic hedging in incomplete jump market.
Povzetek: We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal option price, and the corresponding equivalent martingale measure through the means of the Stackelberg game approach. A deep learning algorithm based on the combination of the feedforward and LSTM neural networks is tested on three different market models, two of which are incomplete. In contrast, the complete market Black-Scholes model serves as a benchmark for the algorithm's performance. The results that indicate the algorithm's good performance are presented and discussed.
Predavanje bo potekalo v živo, bo pa omogočen tudi prenos prek interneta. Povezava na videokonferenčni sistem ZOOM: https://uni-lj-si.zoom.us/j/95492285750 ID: 954 9228 5750 Vljudno vabljeni!