Agenda - Preconference Day: Summits & Workshops

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Machine Learning in Finance Workshop

07:30 - 08:50

Registration and morning refreshments

08:50 - 09:00

Chair's welcome remarks

Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
Mikko Pakkanen - Reader in Data Science and Quantitative Finance, Imperial College

09:00 - 10:30

Elements of deep learning

An overview of deep neural networks, activation functions, loss functions and training algorithms. Practical implementation in Pytorch.

Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
Mikko Pakkanen - Reader in Data Science and Quantitative Finance, Imperial College

10:30 - 11:00

Morning break and networking

11:00 - 12:30

Deep learning for pricing and hedging

Unsupervised hedging and pricing of derivatives, high-frequency asset return prediction.

Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
Mikko Pakkanen - Reader in Data Science and Quantitative Finance, Imperial College

12:30 - 13:30

Lunch break and networking

13:30 - 15:00

Deep calibration

Deep learning volatility and calibration of (rough) stochastic volatility models.

Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
Mikko Pakkanen - Reader in Data Science and Quantitative Finance, Imperial College

15:00 - 15:30

Afternoon break and networking

15:30 - 17:00

Generative models

Market generators and generative AI.

Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
Mikko Pakkanen - Reader in Data Science and Quantitative Finance, Imperial College

17:00 - 17:10

Chair's closing remarks

Blanka Horvath - Associate Professor in Mathematical and Computational Finance, University of Oxford
Mikko Pakkanen - Reader in Data Science and Quantitative Finance, Imperial College

Preconference Day: Summits & WorkshopsMonday, 18 November 2024 - GMT (Greenwich Mean Time, GMTZ)