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A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
via ZoomSpeaker: Professor Antonis Papapantoleon, Delft Institute of Applied Mathematics, EEMCS, Delft University of Technology Abstract: We develop a novel deep learning approach for pricing European options in diffusion models, that […]
ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book
via ZoomSpeaker: Dr. Jean-Loup Dupret, Department of Mathematics, ETH Zurich Abstract: We present ABIDES-MARL, a framework that combines a new multi-agent reinforcement learning (MARL) methodology with a new realistic limit-order-book (LOB) […]
Corruption via Mean Field Games
via ZoomSpeaker: Dr. Kirill Golubnichiy, Department of Mathematics & Statistics, Texas Tech University Abstract: A new mathematical model describing the evolution of a corrupted hierarchy is derived. This model is based […]
Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew- copula approach
via ZoomSpeaker: Dr. Kakeru Ito, Senior Portfolio Manager (Multi-Asset / Quants), Mizuho Securities Co., Ltd. and Visiting Researcher, Graduate School of Management, Tokyo Metropolitan University Abstract: This study proposes AC dynamic […]
Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective
via ZoomSpeaker: Prof. Karen Grigorian, Department of Statistics and Applied Probability, UC Santa Barbara Abstract: We apply the theory of McKean-Vlasov-type SDEs to study several problems related to market efficiency in […]
Seminar: Challenges in Using Machine Learning for Rough Volatility Models
via ZoomSpeaker: Dan Leonte, Postdoctoral Research Fellow, KAUST Abstract: Since the seminal work of Gatheral, Jaisson, and Rosenbaum (2014), it has become widely accepted that volatility in derivatives markets exhibits rough […]
Seminar: Reinforcement Learning for Mean Field Game and Control Problems
via ZoomSpeaker: Jean-Pierre Fouque, University of California, Santa Barbara Abstract: We present our recent results on multi-scale reinforcement learning algorithms for mean field game and mean field control problems with applications […]
Seminar: Stackelberg games and stochastic targets
via ZoomSpeaker: Dylan Possamaï, ETH Zürich Abstract: In this talk, we provide a general approach to reformulating any continuous-time stochastic Stackelberg differential game under closed-loop strategies as a single-level optimisation problem […]