教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动
(2024年3月26、27日)
课程题目Title：Machine Learning in Finance: Gaussian Process Regression and its Application in American Option Pricing
内容摘要Abstract：This mini-course is designed for students with a background in Python but new to Gaussian Process Regression (GPR). Over two comprehensive sessions, the course aims to bridge the gap between machine learning techniques and financial applications, with a particular focus on the valuation of American options. This mini-course aims to equip students with both theoretical understanding and practical skills in applying GPR in financial contexts, especially in option pricing. By the end of the course, participants will be proficient in implementing GPR models in Python and applying these models to complex financial instruments like American options.
主讲人Speaker：Andrea Molent, UdineUniversity,Italy意大利乌迪内大学
课程时间及内容安排Time and Venue：
1、Tuesday, March 26 16:55–18:35pm（Venue：沙河校区 主教109）
Introduction to GPR and Theoretical Foundations
The first session delves into the intersection of machine learning and finance, setting the stage for an in-depth exploration of GPR. It starts with a brief overview of machine learning's role in finance, followed by a detailed theoretical introduction to Gaussian processes. Core concepts such as Gaussian processes, kernels, and covariance functions are explained. The latter part of this session is dedicated to practical Python implementations of GPR, with guided exercises to reinforce understanding.
2、Wednesday, March 27 10:00–11:40am（Venue：沙河校区 二教112）
GPR in American Option Valuation
The second session builds upon the foundational knowledge, focusing on the application of GPR in the valuation of American options. After a brief review and Q&A on GPR basics, the course introduces the principles of American options and their valuation challenges. The core of this session is a hands-on Python workshop, where students will apply GPR techniques to estimate the value of American options. The session concludes with an analysis of the results and a comparison with other valuation methods.
主持人：韦晓
