Sökning: "Victor Tisell"

Hittade 2 uppsatser innehållade orden Victor Tisell.

  1. 1. Option Modelling by Deep Learning

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Niclas Klausson; Victor Tisell; [2021-02-10]
    Nyckelord :Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Sammanfattning : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. LÄS MER

  2. 2. Deep Learning and the Heston Model:Calibration & Hedging

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Nyckelord :deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Sammanfattning : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. LÄS MER