- Participants: Pavee, Vital, Nick
- Past and Future Meetings:
- Fall 2019
- Work-In-Progress-Symposium: Poster
- MidReport: Dec 6, 2-3pm, SH304
- C-term: Tuesday 2-3, HL202
- Thesis - pdf
- Slides - pdf
In this section, we will get familiar with python language with Jupyter notebook through some financial applications.
- linear algebra with tensorflow package - ipynb
- linear regression with pytorch - ipynb
- experiments to some polynomial functions - ipynb
- learning linear function - ipynb
- learning quadratic function - doc
- learning second order ODE - ipynb
- BSM pricing engine -ipynb
- Greeks on BSM pricing - ipynb
- A short descriptions and todo list on CRR model - pdf
- Arbitrage theory on discrete model - ipynb
- CRR European/American Call/Put price - ipynb
- Wrap up - pdf
- Implied volatility - ipynb
- Math Finance Book by Mark Joshi
- Online option price calculator
- Two papers on deep BSDE: paper1, paper2
- Deep learning book by Goodfellow, Bengio, Courville
- Reinforcement learning by Sutton, Barto
- Reinforcement learning by David Silver
- Deep BSDE by Quentin Chan
- Deep BSDE paper by Pham
- Universal approximation theorem
