Free Webinar: Jörg Kienitz: General Stochastic Volatility - new models and DNN
Webinar
Thursday, July 9, 2020 - 06:30 PM
Until: Thursday, July 9, 2020 - 08:30 PM
(Adjusted for timezone: Europe/London)
Categories
Details
PLEASE NOTE THAT THIS WEBINAR WILL START ON THURSDAY, 9 JULY, 2020, AT 6:30 PM ***LONDON TIME*** (01.30 PM ***EDT***)
TITLE: General Stochasic Volatility - new models and application of DNN
ABSTRACT:
In this webinar we introduce General Stochastic Volatility models, especially new SABR/ZABR type models. These models can be tackled using Finite Difference methods or approximation formulas. Another approach is to use neural networks. Pricing and calibration is considered. Especially we introduce the CV (control variates) method applied to neural networks.
BIOGRAPHY
Jörg Kienitz is a partner at Quaternion Risk Management and owner of the Finciraptor website (finciraptor.de). He is primarily involved in consulting on the development, implementation and validation of models. Jörg lectures at the University of Wuppertal (BUW) as an Assistant Professor and is an Adjunct Associate Professor at the University of Cape Town (UCT). He has addressed major conferences including Quant Minds and WBS Quant Conference. Jörg has authored four books “Monte Carlo Object Oriented Frameworks in C++” (with Daniel J. Duffy), “Financial Modelling” (with Daniel Wetterau), “Interest Rate Derivatives Explained I” and “Interest Rate Derivatives Explained II” (with Peter Caspers).
LINKS:
Finciraptor: https://finciraptor.de/
For more information, visit https://www.meetup.com/thalesians/events/271315174/
PLEASE NOTE THAT THIS WEBINAR WILL START ON THURSDAY, 9 JULY, 2020, AT 6:30 PM ***LONDON TIME*** (01.30 PM ***EDT***)
TITLE: General Stochasic Volatility - new models and application of DNN
ABSTRACT:
In this webinar we introduce General Stochastic Volatility models, especially new SABR/ZABR type models. These models can be tackled using Finite Difference methods or approximation formulas. Another approach is to use neural networks. Pricing and calibration is considered. Especially we introduce the CV (control variates) method applied to neural networks.
BIOGRAPHY
Jörg Kienitz is a partner at Quaternion Risk Management and owner of the Finciraptor website (finciraptor.de). He is primarily involved in consulting on the development, implementation and validation of models. Jörg lectures at the University of Wuppertal (BUW) as an Assistant Professor and is an Adjunct Associate Professor at the University of Cape Town (UCT). He has addressed major conferences including Quant Minds and WBS Quant Conference. Jörg has authored four books “Monte Carlo Object Oriented Frameworks in C++” (with Daniel J. Duffy), “Financial Modelling” (with Daniel Wetterau), “Interest Rate Derivatives Explained I” and “Interest Rate Derivatives Explained II” (with Peter Caspers).
LINKS:
Finciraptor: https://finciraptor.de/
For more information, visit https://www.meetup.com/thalesians/events/271315174/