Digital Commons Network^™

Sequential Survival Analysis With Deep Learning, Seth William Glazier

Theses and Dissertations

Survival Analysis is the collection of statistical techniques used to model the time of occurrence, i.e. survival time, of an event of interest such as death, marriage, the lifespan of a consumer product or the onset of a disease. Traditional survival analysis methods rely on assumptions that make it difficult, if not impossible to learn complex non-linear relationships between the covariates and survival time that is inherent in many real world applications. We first demonstrate that a recurrent neural network (RNN) is better suited to model problems with non-linear dependencies in synthetic time-dependent and non-time-dependent experiments.

Model-Independent Estimation Of Optimal Hedging Strategies With Deep Neural Networks, Tobias Michael Furtwaengler

Theses and Dissertations

Inspired by the recent paper Buehler et al. (2018), this thesis aims to investigate the optimal hedging and pricing of financial derivatives with neural networks. We utilize the concept of convex risk measures to define optimal hedging strategies without strong assumptions on the underlying market dynamics. Furthermore, the setting allows the incorporation of market frictions and thus the determination of optimal hedging strategies and prices even in incomplete markets. We then use the approximation capabilities of neural networks to find close-to optimal estimates for these strategies.

We will elaborate on the theoretical foundations of this approach and carry out implementations …

Model-Independent Estimation Of Optimal Hedging Strategies With Deep Neural Networks, Tobias Michael Furtwaengler

Theses and Dissertations

Inspired by the recent paper Buehler et al. (2018), this thesis aims to investigate the optimal hedging and pricing of financial derivatives with neural networks. We utilize the concept of convex risk measures to define optimal hedging strategies without strong assumptions on the underlying market dynamics. Furthermore, the setting allows the incorporation of market frictions and thus the determination of optimal hedging strategies and prices even in incomplete markets. We then use the approximation capabilities of neural networks to find close-to optimal estimates for these strategies.

We will elaborate on the theoretical foundations of this approach and carry out implementations …