Monday, October 29, 2018 - 3:30pm to 4:30pm
Seminar by Prof. Chuan-Hsiang (Sean) Han (Associate Professor. Departments of Quantitative Finance and Mathematics (joint appointment), National Tsing-Hua University, Taiwan. Director of Fintech Program.)
Title: Machine Learning in Quantitative Finance
Abstract: Motivated by solving a rare-event simulation problem for credit risk in quantitative finance, an relative entropy minimization with constraints is exploited. It turns out this problem has been tackled by machine learning society such as support vector machine been a typical example. In collaboration with academics and fintech startups, we demonstrate several case studies of utilizing machine learning/AI techniques to portfolio optimization problems arising from robo advisors.
October 18, 2018 - 11:58am