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Free Webinar: "DIM, a review of existing methods: Regression, Deep Neural Networks and Chebyshev"

WBS Training Ltd

Wednesday, 4 December 2019 from 13:00 to 14:00 (GMT)

Free Webinar: "DIM, a review of existing methods:...

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Online attendance, via WebEx
4 Dec 2019 Free  

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Free Webinar: "DIM, a review of existing methods: Regression, Deep Neural Networks and Chebyshev"


The computation of Dynamic Initial Margin requires an enormous amount of computer power.

Different approaches have been put forward, ranging from Regressions, Deep Neural Networks to Chebyshev.

In this talk we introduce all of them and present how we can harness the power of Chebyshev polynomials to compute Dynamic IM very efficiently. We compare Chebyshev results to other available techniques:

  • Review of available methods for Dynamic IM
  • The power of Chebyshev Polynomials. Exponential convergence of Chebyshev methods: why is it so fast?
  • Theoretical basis
  • Application to simulation of Initial Margin inside Monte Carlo simulations
  • Examples: swaps, swaptions and beyond
  • Comparison to regression and Deep Neural Networks
  • Numerical results

Presenter: Mariano Zeron: Head of Research and Development: MoCaX Intelligence

Mariano leads our Research & Development work. He has vast experience in Chebyshev Spectral Decomposition, machine-learning and related disciplines, and their application to quantitative problems in the financial markets. Mariano holds a Ph.D. in Mathematics from Cambridge University.

 

 


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Do you have questions about Free Webinar: "DIM, a review of existing methods: Regression, Deep Neural Networks and Chebyshev"? Contact WBS Training Ltd

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WBS Training Ltd

WBS Training Ltd organizes workshops and conferences for the capital markets and treasury divisions of investment companies worldwide, with all our efforts centered solely on the education of our clients. WBS Training does not operate to present dozens of events every year. Instead we select only the most innovative, pertinent and dynamic subjects, thus bridging the gap between the latest theoretical developments through to proven practical trading floor requirements. Therefore, we aim to ensure that such requirements can be effectively implemented in the real financial world.

Our depth of experience within the training environment provides us with a greater knowledge and understanding of what our clients require from financial business training. This promotes the unique position of us delivering the quality and service that is crucial to our client’s continued success and competitive advantage in the market place.


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