Neural Networks Applied to Pricing and Calibration of New Stochastic Volatility Models by Jörg Kienitz
About this Event
In this webinar we introduce new SABR/ZABR 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. Finally we outline perspectives for the application of neural networks in terms of market data generation.
Presenter: Jörg Kienitz: Partner, Quaternion Risk Management
"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 as an Assistant Professor and is an Adjunct Associate Professor at 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).
His SSRN author page is papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=744396"