Differential regression illustrates the main ideas of differential machine learning, and demonstrates its power in a very simple context. We posted a small article with code on Google Colab, run it here:
Differential Regression
Posts
Differential Machine Learning (Risk, 2020) — Live Production Demo
We have just presented our latest Risk paper Differential Machine Learning at QuantMinds International 2020. The presentation includes a live demo of how differential ML is implemented in production, and combined with cash-flow scripting to provide truly general means of learning the pricing and risk function of arbitrary financial instruments. See the 5min demonstration below:
Differential ML in Risk.net
Differential Machine Learning, Risk, 2020
Differential Machine Learning: 5min video overview
In this lightning talk delivered for Bloomberg’s BBQ seminar 28th May 2020, we expose the main ideas of differential machine learning and application to derivatives pricing and risk management.
Complete presentation slides here: http://www.deep-analytics.org
Antoine Savine 