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IAQF & Thalesians Seminar Series: Josef Teichmann - Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

  • 05 May 2020
  • 6:00 PM (EDT)
  • Zoom Webinar

Registration


Deep Hedging:
Hedging Derivatives Under
Generic Market Frictions

Using Reinforcement Learning




A Talk by  

Josef Teichmann


Tuesday, May 5, 2020

6:00pm EDT

A Free Webinar on Zoom



    

Abstract

We will discuss the framework of deep hedging in general market environments and its exciting relations in a financial context to reinforcement learning, reservoir computing, scenario generation, regularization and model calibration.


     

Biography

Professor for Mathematical Finance at ETH Zurich. Research.
Interests in Stochastic Finance, Rough Analysis and Machine Learning.




About the Series

The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.