YoVDO

Reinforcement Learning in Finance

Offered By: New York University (NYU) via Coursera

Tags

Machine Learning Courses Finance Courses Reinforcement Learning Courses

Course Description

Overview

This course aims at introducing the fundamental concepts of Reinforcement Learning (RL), and develop use cases for applications of RL for option valuation, trading, and asset management. By the end of this course, students will be able to - Use reinforcement learning to solve classical problems of Finance such as portfolio optimization, optimal trading, and option pricing and risk management. - Practice on valuable examples such as famous Q-learning using financial problems. - Apply their knowledge acquired in the course to a simple model for market dynamics that is obtained using reinforcement learning as the course project. Prerequisites are the courses "Guided Tour of Machine Learning in Finance" and "Fundamentals of Machine Learning in Finance". Students are expected to know the lognormal process and how it can be simulated. Knowledge of option pricing is not assumed but desirable.

Syllabus

  • MDP and Reinforcement Learning
  • MDP model for option pricing: Dynamic Programming Approach
  • MDP model for option pricing - Reinforcement Learning approach
  • RL and INVERSE RL for Portfolio Stock Trading

Taught by

Igor Halperin

Tags

Related Courses

Networked Life
University of Pennsylvania via Coursera
Introduction to Finance
University of Michigan via Coursera
Computational Investing, Part I
Georgia Institute of Technology via Coursera
Finance
Stanford University via NovoEd
The Role of the Renminbi in the International Monetary System
The Chinese University of Hong Kong via Coursera