04 AI Summer School Josef Teichmann, May 4, Day 1

Josef Teichmann Professor, ETH Zurich In recent work Josef Teichmann and his co-authors develop machine learning tools for the financial industry. Deep hedging, for instance, is a project conducted jointly with investment bankers, where generic hedging tasks are solved by cutting edge machine learning technology in a fully realistic market environment, i.e. in the presence of market frictions and trading constraints. Further projects include deep calibration, deep simulation, and deep prediction. Theoretical foundations from approximation theory and stochastic analysis accompany successful concrete implementations to make such approaches eligible for industry applications.