risk-magazine

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differential-machine-learning / notebooks

Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.

machine-learning deep-learning tensorflow automatic-differentiation pricing derivatives quantitative-finance notebooks regression-models backpropagation risk-management computational-finance aad risk-magazine

Updated Oct 5, 2022
Jupyter Notebook

differential-machine-learning / appendices

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Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production

machine-learning deep-learning tensorflow automatic-differentiation pricing derivatives quantitative-finance regression-models backpropagation risk-management computational-finance aad risk-magazine

Updated Oct 5, 2022

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