Machine Learning in Finance Workshop
Led by Blanka Horvath & Mikko Pakkanen
Monday 18 November
Your workshop leaders
Blanka Horvath
Associate Professor in Mathematical and Computational Finance
University of Oxford
Blanka Horvath is a Lecturer at King's College London in the Financial Mathematics group, and an Honorary Lecturer in the Department of Mathematics at Imperial College London. Blanka holds a PhD in Financial Mathematics from ETH Zurich, a postgraduate degree (Diplom) in Mathematics from the University of Bonn, and an MSc in Economics from The University of Hong Kong.
Mikko Pakkanen
Reader in Data Science and Quantitative Finance
Imperial College
I am a Reader in Data Science and Quantitative Finance in the Department of Mathematics at Imperial College London. I have been at Imperial since 2014, apart from having worked as an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada, for the academic year 2022–2023. Earlier in my career I held a postdoctoral fellowship at Aarhus University, Denmark.
What to expect
Modules 1 and 2
Elements of deep learning
An overview of deep neural networks, activation functions, loss functions and training algorithms. Practical implementation in Pytorch.
Deep learning for pricing and hedging
Unsupervised hedging and pricing of derivatives, high-frequency asset return prediction.
Modules 3 and 4
Deep calibration
Deep learning volatility and calibration of (rough) stochastic volatility models.
Generative models
Market generators and generative AI.