University of Connecticut

Events Calendar


Control And Optimization Seminar
Monte-Carlo Methods For High-Dimensional Problems In Quantitative Finance
Mete Soner (Princeton)

Monday, September 27, 2021
2:00pm – 3:00pm

Storrs Campus
Online

Abstract: Stochastic optimal control has been an effective tool for many problems in quantitative finance and financial economics. Although, they provide the much needed quantitative modeling for such problems, until recently they have been intractable in high-dimensional settings. However, several recent studies report impressive numerical results: Cheredito, Becker and Jentzen (2019, Journal of Machine Learning Research) studied the optimal stopping problem (a problem closely connected to pricing American type options in quantitative finance finale) providing tight error bounds and an efficient algorithm up to 100 dimensional problems. Buehler, Gonon, Teichmann and Wood (2019, Quantitative Finance) on the other hand, considers the problem of hedging and again reports results for high-dimensional problems that were intractable. All these papers use a Monte-Carlo type algorithm combined with deep neural networks proposed by Han, E and Jentzen. In this talk I will outline this approach and discuss its properties. Numerical results, while validating the power of the method in high dimensions, also show the dependence of the dimension and the size of the training data. This is joint work with Max Reppen of Boston University and Valentin Tissot-Daguette from Princeton.

Webex Meeting link: https://uconn-cmr.webex.com/uconn-cmr/j.php?MTID=mbf144adcaf1f064d1a9242202b7d9581 Meeting number: 120 535 2896 Password: UConn

Speaker's bio: Mete is a Professor of Operations Research and Financial Engineering at Princeton University. He is also affliated with the Bendheim Center of Finance and with the Program in Applied & Computation Mathematics. Previously, he was a professor of mathematics and the Chair of the department at ETH Zurich. His research is on decisions under uncertainty and I work on related problems in stochastic optimal control, Markov decision processes, nonlinear partial differential equations, probability theory, mathematical finance and financial economics. Please visit his website for more information: https://soner.princeton.edu/

Contact:

Bin Zou, bin.zou@uconn.edu

Control and Optimization (primary), UConn Master Calendar

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