Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
Jan De Spiegeleer, Dilip B. Madan, Sofie Reyners and Wim Schoutens
| Year of publication: |
2018
|
|---|---|
| Authors: | De Spiegeleer, Jan ; Madan, Dilip B. ; Reyners, Sofie ; Schoutens, Wim |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 10, p. 1635-1643
|
| Subject: | Derivative pricing | Gaussian processes | Hedging | Machine learning | Volatility surface | Derivat | Derivative | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Finanzmathematik | Mathematical finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1495335 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012259802