Blanka Horvath - A rough perspective on Modern Market Generators

Website: In this talk we investigate how Deep Pricing and Hedging brings a new impetus into the modelling of financial markets. We have a short walk though historical market models and proceed to modern generative models for financial time series. We then investigate some of the challenges to achieve good results in the latter, and highlight some applications and pitfalls. We also discuss different approaches pricing and hedging considerations in DNN framework and the connection to Market Generators. Next Seminars: