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The goal of this class is to introduce notions about artificial neural networks, and study how they can be used to pricer vanilla options.
Introduction to artifical neural networks
Training of neural networks, backpropagation
Optimizing gradient descent
Implementation of a Black-Scholes pricer
An oral exam at the end of the class
N2 = Pas de rattrapage possible
CC = note de contrôle continu (projet à rendre)
The course exists in the following branches:
Course ID : WMMF9M40
You can find this course among all other courses.
Ian Goodfellow and Yoshua Bengio and Aaron Courville: Deep Learning
Charu C. Aggarwal: Neural Networks and Deep Learning
Date of update March 10, 2020