AAD and Machine Learning in Finance
Part 1, Wilmott, November 2019
Machine Learning in Finance
These two articles with code running simplistic Jupyter-TensorFlow (1.x) models demonstrate how vanilla neural nets (deeply) learn pricing of European calls and high dimensional basket options – the notebooks also compare neural nets with conventional polynomial regression models (a la LSM) and offer a quick, simple introduction to the implementation of simple deep learning models in TensorFlow.
The notebooks run directly on Google colab, in the cloud and on GPU, no installation required.
The lecture slides and material are all found here: github.com/asavine/CompFinLecture