- Docente: Giovanni Della Lunga
- Credits: 3
- SSD: STAT-04/A
- Language: English
- Teaching Mode: In-person learning (entirely or partially)
- Campus: Bologna
- Corso: Second cycle degree programme (LM) in Quantitative Finance (cod. 6692)
Learning outcomes
The Advanced ML course is geared towards state of the art application of neural network to pricing and market risk problem. The studend will acquire a sound knowledge of the principles underlying Neural Networks and will be guided in a tour of the relevant literature concerning the exploitation of machine learning for pricing of highly exotic products and applications to market risk managment. Altough the approach demands very large scale computing facilities, impossible to be provided to the students, nonetheless students will learn how to design solutions to this type of problem and will gain hands on experience of the methodology on simpler and smaller toy models.
Syllabus
Office hours
See the website of Giovanni Della Lunga