SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
nohedge
Topic Author
Posts: 2
Joined: February 1st, 2019, 5:51 am

Machine Learning for Bond Options pricing/hedging

March 14th, 2019, 2:23 pm

Hello everyone, 
I am working on my master thesis and I am studying the use of machine learning (mainly classical neural networks and variations, such as convolutional neural networks) to price and hedge bond options. I obviously found plenty of research on ML for pricing and hedging equity options, but so far I have been unlucky with fixed income. Does anyone know of any paper about machine learning for fixed income derivatives? 
Thank you in advance. 
 
User avatar
Cuchulainn
Posts: 60518
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Machine Learning for Bond Options pricing/hedging

March 14th, 2019, 8:26 pm

Why should bonds + hedge + ML be different from equities? Is ML not just doing the same as before but in a different way or are the use cases new?
e.g. take a convertible bond + all its use cases, it is a bit like an equity..

Lots of hype around ML.Make sure you define a well-scoped project.

My 2 cents.
http://www.datasimfinancial.com
http://www.datasim.nl

Approach your problem from the right end and begin with the answers. Then one day, perhaps you will find the final question..
R. van Gulik
 
User avatar
bearish
Posts: 5176
Joined: February 3rd, 2011, 2:19 pm

Re: Machine Learning for Bond Options pricing/hedging

March 14th, 2019, 8:37 pm

You might get something useful from https://primedirection.net/docs/insight8.pdf
I’m puzzled why you would choose to model bond options, which are nearly non-existent in the real world, and almost certainly not instruments you can get any data for. Swaptions would make a lot more sense and be more relevant.
 
User avatar
DavidJN
Posts: 1738
Joined: July 14th, 2002, 3:00 am

Re: Machine Learning for Bond Options pricing/hedging

March 14th, 2019, 9:52 pm

Does it have to be options? If not, how about Treasury bond futures?
 
User avatar
mtsm
Posts: 352
Joined: July 28th, 2010, 1:40 pm

Re: Machine Learning for Bond Options pricing/hedging

March 21st, 2019, 3:33 pm

Do you mean bond futures options nohedge?

Can you post what you found about the equities market please?

It's not actually clear what you are trying to do.
 
User avatar
mtsm
Posts: 352
Joined: July 28th, 2010, 1:40 pm

Re: Machine Learning for Bond Options pricing/hedging

March 21st, 2019, 3:33 pm

and pm me if you want. 
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On