Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar by Thorsten Schmidt: Affine models under uncertainty and robust deep hedging

Time

-

Locations

Remote seminar

Social Media Links

Speaker: Thorsten Schmidt, Department of Mathematical Stochastics, University of Freiburg

Title: Affine models under uncertainty and robust deep hedging

Abstract: Model uncertainty is certainly present everywhere, in particular in Finance. We develop a tractable class of models carrying uncertainty, which bases on affine processes. The approach is based on Knightian uncertainty and derives the associated non-lineare expectations and a variational Kolomogorov equation. For practical applications, we discuss the hedging problem: first, we show how to estimate confidence intervals and how to incorporate these results into pricing. Regarding hedging, we develop a deep neural network which solves the problem efficiently in a Bayesian setting.

 

Mathematical Finance, Stochastic Analysis, and Machine Learning 

Tags:

Getting to Campus