Lunch & Learn | Option pricing in the Heston model with Physics inspired neural networks

We invite you to participate in our next Lunch & Learn* on "Option pricing in the Heston model with Physics inspired neural networks". It's FREE and OPEN to everyone.

Given in English by our Scientific Director, Donatien Hainaut, and our Actuarial Consultant, Alex Casas, this online session will take place on April 23, 2024, from 12:30 to 13:30.

Accreditation : 1 CPD | 6 PPC

*Our Lunch & Learn sessions discuss our publications over lunchtime, based on the brown-bag session concept.

Introduction

This Lunch & Learn will present the content of our Detra Note about the same topic.

In absence of a closed form expression such as in the Heston model, the option pricing is computationally intensive when calibrating a model to market quotes. This article proposes an alternative to standard pricing methods based on physics-inspired neural networks (PINNs). A PINN integrates principles from physics into its learning process to enhance its efficiency in solving complex problems. In this article, the driving principle is the Feynman-Kac (FK) equation, which is a partial differential equation (PDE) governing the derivative price in the Heston model. We focus on the valuation of European options and show that PINNs constitute an efficient alternative for pricing options with various specifications and parameters without the need for retraining.

About the speakers

Donatien Hainaut is Scientific Director at Detralytics and professor at UCLouvain where he is Director of the new Master program in Data Science, statistical orientation. Prior to this he held several positions as associate professor at Rennes School of Business and the ENSAE in Paris. He also has several field experiences having worked as Risk Officer, Quantitative Analyst and ALM Officer. Donatien is a Qualified Actuary and holds a PhD in the area of Assets and Liability Management. His current research focuses on contagion mechanism in stochastic processes and applications of neural networks to insurance.

Alex Casas graduated in 2023 with a double degree in Engineering/Actuary. Alex developed skills in Life and ALM-related subjects during his first experience with a leading bancassurer.