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Hittade 2 uppsatser som matchar ovanstående sökkriterier.

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

3. 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 characteristics of the 21st century. This has enabled very complex numerical methods for solving existing problems. As a result, one area that has seen an extraordinary rise in popularity over the last decade is what is called deep learning. LÄS MER