Machine Learning in Quantitative Finance -Bookswagon
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Machine Learning in Quantitative Finance

Machine Learning in Quantitative Finance


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About the Book

Written by a senior and well-known member of the Quantitative Finance community who currently runs a research group at a major investment bank, the book will demonstrate the use of machine learning techniques to tackle traditional data science type problems - time-series analysis and the prediction of realised volatility but will also look at novel applications. For example, the Universal Approximation Theorem of Neural Networks shows that a neural network can be used to approximate any function (subject to a number of weak conditions), although how the network is trained is not given. This will be explored within the book. Specific applications will include using a trained neural network to represent market-standard volatility smile models (such as SABR) as well as complex derivative pricing. The book will also potentially look at training a network via reinforcement learning to risk manage a derivatives portfolio. Readers will be attracted by a comprehensive presentation of the techniques available, with the historical perspective providing intuitive understanding of their development, combined with a range of practical examples from the trading floor.

Key features:

  • Describes modern machine learning techniques including deep neural networks, reinforcement learning, long-short term memory networks, etc.
  • Provides applications of these techniques to problems within Quantitative Finance (including applications to derivatives modelling)
  • Presents the historical development of the subject from MENACE to Alpha Go Zero and AlphaZero


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Product Details
  • ISBN-13: 9781119524342
  • Publisher: Wiley
  • Publisher Imprint: Wiley
  • Height: 229 mm
  • No of Pages: 304
  • Series Title: Wiley Finance
  • Sub Title: History, Theory, and Applications
  • Width: 152 mm
  • ISBN-10: 1119524342
  • Publisher Date: 07 Sep 2021
  • Binding: Hardback
  • Language: English
  • Returnable: Y
  • Spine Width: 0 mm
  • Weight: 160 gr


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Machine Learning in Quantitative Finance
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