Meet Up - Dynamic Replication and Hedging: A Reinforcement Learning Approach
Petter N. Kolm
New York University - Courant Institute of Mathematical Sciences
We address the problem of how to optimally hedge an options book in a practical setting, where trading decisions are discrete and trading costs can be nonlinear and difficult to model. Based on reinforcement learning, a well-established machine learning technique, our model is shown to be flexible, accurate and very promising for real-world applications.
Please note, attendees are asked to bring their own lunches.
There is no charge for Members for this event, however registration is required since space is limited.
*Please note the Auditorium is located on the Ground Floor and can be accessed by entering the building on 100 Federal Street side. The auditorium will be on your right before security and you will not need to go through security by accessing the building from the 100 Federal Street side.
Petter Kolm, Director of the Mathematics in Finance Master's Program and Clinical Professor, Courant Institute of Mathematical Sciences, New York University
Petter Kolm is the Director of the Mathematics in Finance Master's Program and Clinical Professor at the Courant Institute of Mathematical Sciences, New York University and the Principal of the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter has coauthored four books: Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). He holds a Ph.D. in Mathematics from Yale, an M.Phil. in Applied Mathematics from the Royal Institute of Technology, and an M.S. in Mathematics from ETH Zurich.
Petter is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Financial Data Science (JFDS), Journal of Investment Strategies (JoIS), and Journal of Portfolio Management (JPM).He is an Advisory Board Member of Betterment (one of the largest robo-advisors) and Alternative Data Group (ADG). Petter is also on the Board of Directors of the International Association for Quantitative Finance (IAQF) and Scientific Advisory Board Member of Artificial Intelligence Finance Institute (AIFI).
As a consultant and expert witness, Petter has provided his services in areas including alternative data, data science, econometrics, forecasting models, high frequency trading, machine learning, portfolio optimization w/ transaction costs and taxes, quantitative and systematic trading, risk management, robo-advisory and investing, smart beta strategies, transaction costs, and tax-aware investing.