ETH Zürich - D-MATH - SFG (Stochastic Finance Group) - HOME - update on 2022-12-29

Machine Learning in Finance (joint lecture project with Christa Cuchiero supported by Matteo Gambara, Wahid Khosrawi and Hanna Wutte)

The lecture has been developed by Christa Cuchiero and Josef Teichmann. It has been held since spring 2019 at ETH Zurich as a regular lecture for master students, and as a Risk Center lecture since autumn 2019. See alsp previous materials.

Basic material and some exercises for the courses in Zurich in spring 2021

The lecture introduces several fundamental concepts from machine learning with a view towards important financial applications. Lecture notes are provided as ipython notebooks or in form of slides as well as of classical notes. Most of the following code runs savely under Python 3.7, Tensorflow 1.14.0 and Keras 2.2.5, see the first notebook for checking the version. You can get to a downloadable .ipynb via the following links or open it directly with Google Colab (don t forget to add data in case in the corresponding folder).