Mathematical Finance Seminar
TU Berlin; MA021
Christian Kappen, Sebastian Schlenkrich (d-fine)

Practical Applications of Machine Learning in Risk and Pricing

Machine Learning (ML) provides techniques for universal function approximation. In this talk, we apply such techniques to the acceleration of complex derivatives pricing, focusing on Value-at- Risk computations for Bermudan interest rate options. We introduce different applicable ML methods, and we present results from our client projects. Moreover, we propose ways to address regulatory requirements via the model lifecycle process.