Machine Learning For Finance M2 (2024/2025)
Undergraduate course, M2MO/ENSAE Paris, 2025
About some theoretical foundations in Machine Learning for Finance
About organisation
I will be giving 2 lectures at ENSAE Paris for the course of Machine Learning For Finance starting at the second semester of the academic year 2024-2025.
Planning
Session of March 5, 2025: This session will be about Gaussian Process Regression ($\mathcal{GPR}$) and their use in finance and insurance. Slides I used during the presentation are available here and the associated notebook is available by clicking here. Note that I will update soon a PDF file with all the basics to be known in $\mathcal{GPR}$.
Session of March 19, 2025: This session will be about Deep Learning to solve Partial Differential Equations ($\mathcal{PDEs})$ arising in finance. Slides are available here here and the associated notebook is available by clicking here. Note that I will update soon a PDF file with all the basics to be known in Deep Learning for PDE and MDP from the recent litterature.