risk-magazine

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notebooks
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.
quantitative-finance computational-finance derivatives risk-management pricing machine-learning deep-learning automatic-differentiation aad tensorflow notebooks regression-models risk-magazine backpropagation
Language:Jupyter Notebook 133
appendices
differential-machine-learning / appendices
Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
aad automatic-differentiation backpropagation computational-finance deep-learning derivatives machine-learning pricing quantitative-finance regression-models risk-magazine risk-management tensorflow
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