The Workshop on "Stochastic Finance and Machine Learning" will be held on 20 October at Fuglesangs Allé. The Workshop is organised by Juan Carlos Parra-Alvarez and Jonas Nygaard Eriksen. 

Programme

08:45 – 09:00   Coffee and welcome

09:00 – 09:35   Statistical inference for Levy-driven graph supOU processes: From short- to long-memory in high-dimensional time series, Almut Veraart, Imperial College

09:35 – 10:10   Using informed-neural networks to price options on forwards, Fred Espen Benth, BI Norwegian Business School

10:10 – 10:30   Break

10:30 – 11:05   Arbitrage-free Encoder-decoder yield curve models, Rolf Poulsen, University of Copenhagen

11:05 – 11:40   A Model for the hedging impact of option market makers, Thomas Kokholm, Aarhus University

11:40                Lunch