Neural Networks with Asymptotics Control
In this webinar you will learn more about some of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance.
Artificial Neural Networks (ANNs) have recently been proposed as accurate and fast approximators in various derivatives pricing applications. ANNs typically excel in fitting functions they approximate at the input parameters they are trained on, and often are quite good in interpolating between them. However, for standard ANNs, their extrapolation behavior – an important aspect for financial applications – cannot be controlled due to complex functional forms typically involved.
In this new research quantitative experts overcome this significant limitation and develop a new type of neural networks that incorporate large-value asymptotics, when known, allowing explicit control over extrapolation.
This new research, conducted in collaboration with Dr. Alexandre Antonov of Danske Bank and Dr. Vladimir Piterbarg of NatWest Markets, was presented live on Thursday, February 11th at 10 AM EST by Dr. Michael Konikov, Senior Vice President and Head of Quantitative Development at Numerix.
The session offers insights and commentary across several areas including:
- Introduction to neural networks and their use in finance
- Spline as a control variate matching asymptotics
- Special constrained radial layer to fit residual
- Numerical experiments
- Conclusions
Featured Speakers
Dr. Michael Konikov
Dr. Michael Konikov is a Senior Vice President and Head of Quantitative Development at Numerix, where he manages a team responsible for the development and delivery of models in Numerix software. Previously, he worked at Citigroup, Barclays, and Bloomberg in quantitative research and desk quant roles. He completed his PhD in mathematical finance at the University of Maryland College Park, concentrating in particular on the application of pure jump processes to option pricing. Dr. Konikov's publications cover diverse asset classes ranging from equity to interest rates and credit.
Emily Jean-Pierre
Ms. Jean-Pierre is Senior Vice President of Marketing and Communications at Numerix responsible for content marketing, digital strategy, and corporate communications. Ms. Jean-Pierre’s team is responsible for leadership programs, demand generation and lead generation activities. Prior to her role on the content marketing team where her responsibilities expanded to digital marketing solutions and social strategy, Ms. Jean-Pierre worked at Numerix focusing media relations activities, brand messaging and company positioning.
Before joining Numerix in 2011, Ms. Jean-Pierre worked as an Account Supervisor at Lansons Intermarket specializing in public relations activities for fintech, risk management, trading technology and enterprise software solutions. She holds a B.S. degree from Fordham University, Gabelli School of Business in Marketing and Communications.
