Digital Commons Network^™

An Application Of Clustering And Cluster Update Methods To Boiler Sensor Prediction And Case-Based-Reasoning To Boiler Repair, Timothy Edward Rooney

Theses and Dissertations

Driven by demand from both consumers and manufacturers alike, Internet of Things (IoT)

capabilities are being built into more products. Consumers want more control and access to their

devices, while manufacturers can find data gathered from IoT-capable products invaluable. In

this thesis, we use data from a growing fleet of IoT-connected boilers in the residential, lightcommercial, and medium-commercial ranges to demonstrate a framework for cluster initialization

and updating. We compare two methods of dynamically updating clusters: a sequential method

inspired by sequential K-means clustering and a cohesion-based method called DYNC. A predictive

artificial neural network system demonstrates the effectiveness of …

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 …