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nohedge
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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. 
 
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Cuchulainn
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Joined: July 16th, 2004, 7:38 am
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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.
 
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bearish
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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.
 
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DavidJN
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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?
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