Differential Machine Learning: regression and PCA
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:
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