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讲座学习: 4th WQF Blanka Horvath_Deep Hedging under Rough Volatility(一)

2021-06-19 09:07:02  阅读:354  来源: 互联网

标签:讲座 Hedging ObjF Blanka 4th under Program data market


讲座背景

  • The 4th Women in Quantitative Finance Conference (WQF)
  • 2021-06-14 Deep Hedging under Rough Volatility by Blanka Horvath Lecturer, King’s College London and Researcher, The Alan Turing Institute
  • 这个一小时的讲座主要基于Generating Financial Markets with Signatures,已于2021.06.09在Risk杂志刊登 (pdf文档可以在这里下载)。这个讲座主要基于这篇文章,自己在2021.06.13的博文中也把这篇文章列入to read list。

讲座摘要

  • Classical QF vs Deep Model Architectures
    • Classical: (Program or Algo; Data) => output
      • e.g. SABR model in pricing library, match the algorithms with the data in the market
    • Now: Model = (Architecture, ObjF; TrainData) => Program, (Program, TestData) => output
      • e.g. Machine learning architecture, choose objective function (more art than science, need to under the problem to design suitable ObjF), TrainData (data-driven aspect, important for the performance of the algorithms afterwards, motivation for data generator) .
      • Architecture, ObjF combined as Network;
      • Quality of training data shapes the DNN (and its performance)!
      • What kind of training data we should use, what is the training data that will prepare our algorithms ideally for the scenarios that they will be facing in real?
      • Test data is real life data that algorithm will face in the market.
  • What are the challenges that we use the historical data as test data?
    • Historical data is one realisation of the past, just represents one out of many many realisations.
    • Unless make some extreme assumptions: e.g., market is stationary which is not the case most of times; We observe the evolution in the past does not mean that it works like this in the future.
  • 个人认为这也是么trainset, forward testing重要以及model risk需要评估的原因。

标签:讲座,Hedging,ObjF,Blanka,4th,under,Program,data,market
来源: https://blog.csdn.net/goldenRainTree/article/details/118044102

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