Jörg Kienitz is partner at Quaternion Risk Management and owner of the finciraptor website (finciraptor.de). He is primarily involved in consulting on model validation, model development and model implementation. Jörg holds a Ph.D. in stochastic analysis and probability theory and has authored several papers and four books including “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).
The goal of this two-day workshop is to provide a detailed overview of machine learning techniques applied for finance. We offer insights into the latest techniques for modelling financial markets and focus on option pricing and calibration.
A unique contribution to the application of quantitative techniques to financial problems and programming using Matlab.
- REVISION: GMM DCKE - Semi-Analytic Conditional Expectations
- New: Effective Markovian Projection: Application to CMS Spread Options and Mid-Curve Swaptions
- REVISION: Effective Stochastic Volatility: Applications to ZABR-type Models
- REVISION: Dynamic Initial Margin Estimation Based on Quantiles of Johnson Distributions
- New: Robust Product Markovian Quantization
- New: How Deep are Financial Models?
- REVISION: The CV Makes the Difference – Control Variates for Neural Networks