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SUMMARY:Model free Deep Hedging - Josef Teichmann (ETH Zurich)
DTSTART:20220309T140000Z
DTEND:20220309T150000Z
UID:TALK167663@talks.cam.ac.uk
CONTACT:Randolf Altmeyer
DESCRIPTION:Deep Hedging is a simple machine learning inspired algorithm\,
  which produces risk management strategies\, which is built upon a given m
 arket environment and a given preference structure. In this talk we introd
 uce a novel algorithm inspired by Moritz Duembgen’s and Chris Rogers’ 
 Bayesian approach\, which can additionally deal with\nmodel uncertainty. W
 e discuss a machine learning implementation of it\, and provide a universa
 lity proof when it can be successful (joint work with Matteo Gambara and T
 horsten Schmidt).\n\n\n*Join Zoom Meeting*\nhttps://maths-cam-ac-uk.zoom.u
 s/j/98775083754?pwd=aUhteExxNEgrWW5mMkd0TGw2SlhQUT09\nMeeting ID: 987 7508
  3754\nPasscode: 837932\n\n\n\n
LOCATION:Virtual (Zoom details under abstract)
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