Kings College London Computational Finance Event

The Practitioners’ Lecture Series, March 28-29, 2019

Introduction to back-propagation and automatic differentiation (AAD) in machine learning and finance

Much honored to be invited to give the titular workshop lecture at Kings College London on 28 and 29 March. See the event page here:

See a brief, non-technical abstract on QuantMinds page here. The 6-hour workshop is a technical one. We will discuss the mathematics of deep learning and back-propagation, and the application of AAD with implementations in Python/TensorFlow and C++. The presentation slides are found on my GitHub repo (Intro2AADinMachineLearningAndFinance.pdf), together with supplementary material: code, spreadsheets and notebooks in the folder ‘Workshop’:

The event was arranged by Blanka Horvath, author of Deep Learning Volatility, where the matter of quick European option pricing in rough volatility models is resolved with deep learning methods. Thank you, Blanka.

Registration is absolutely free, but seating is limited to 40 people. I am looking forward to meet an audience interested in the most recent additions to computational finance.

Reinforcement Learning

Reinforcement Learning, Second Edition

Currently reading Sutton and Barto’s book on reinforcement learning (RL):

This is a highly recommended reading, the best resource I could find on the subject and one of the best books I have seen on Machine Learning in general.

The complicated topic of RL is presented in an incremental, pedagogical and natural manner so that the concepts and equations flow naturally and stick in your mind. Somehow, the authors manage to teach RL in a captivating, even addictive manner without sacrificing rigor or completeness, leaving you with a fulfilling feeling of deep understanding of the subject, especially if you try to complete the numerous exercises and programming assignments. Unfortunately, solutions to exercises or assignments are not provided so readers cannot check the correctness of their understanding against the word of god (the authors), although a number of readers posted their own solutions online.