Machine Learning en finance

Cours:  C. Cuchiero
Trimestre 3
Nombre de crédits: 6
Volume horaire:  

The lecture introduces several fundamental concepts from machine learning and treats important  applications  in finance. It will cover topics like universal approximation theorems, stochastic gradient descent, neural ordinary differential equations and backpropagation. The financial applications include deep hedging, deep portfolio optimization, deep simulation and deep calibration.