- Profesor: Breden Maxime
- Profesor: Gaubert Stéphane
- Profesor: Lehalle Charles-Albert
- Profesor: Lelievre Tony
- Profesor: Rey Clément
- Profesor: Rosenbaum Mathieu
- Profesor: Gouarin Loïc
Machine learning is a scientific discipline that is concerned with the design and development of algorithms that allow computers to learn from data. A major focus of machine learning is to automatically learn complex patterns and to make intelligent decisions based on them. The set of possible data inputs that feed a learning task can be very large and diverse, which makes modelling and prior assumptions critical problems for the design of relevant algorithms.
This course focuses on the methodology underlying supervised and unsupervised learning, with a particular emphasis on the mathematical formulation of algorithms, and the way they can be implemented and used in practice. We will therefore describe some necessary tools from optimization theory, and explain how to use them for machine learning. Numerical illustrations will be given for most of the studied methods
- Profesor: Capitaine Aymeric
- Profesor: Le Pennec Erwan
- Profesor: Michel Manon
- Profesor: Simsekli Umut
- option prices (on large equity index such as SP500), reconstruction of forward and discount factor from put-call parity.
- Black Scholes formula with some justification (without continuous time stochastic calculus), computation of implied volatilities (bisection method, Newton method).
- Static no-arbitrage conditions on option prices and implied volatilities, fitting of a parametric implied volatility smile (SVI, SSVI).
- Profesor: De Marco Stéfano
- Profesor: Maurice Anne-Claire
Langue du cours : Anglais
- Profesor: Colazzo Dario