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.
Alex Combessie, Data Scientist at Dataiku:
Alex Combessie is a Data Scientist at Dataiku who designs and deploys data projects with Machine Learning from prototype to production. Prior to his time at Dataiku, he helped build the Data Science team of Capgemini Consulting in France. Having begun his career in economic analysis, he continues to work on interpretable models in complement to Deep Learning. Alex is also a travel junkie, who enjoys learning new things and making useful products.