Generative Adversarial Networks for Finance

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Presented by

Alexandre Hubert, Lead Data Scientist, Dataiku

About this talk

The Gaussian assumption in the Black-Scholes formula for option pricing has proven its limits. Today, Generative Adversarial Networks (GANs) are the new golden standard for simulation. It has worked wonders in image generation, but can it be applied to option pricing? Here is the story of how 2 data scientists (inc. a former trader) deployed a GAN for option pricing in real-time, in 10 days.
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