Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.772051
Title: Evolutionary algorithms and computational methods for derivatives pricing
Author: Palmer, Samuel
ISNI:       0000 0004 7660 9840
Awarding Body: UCL (University College London)
Current Institution: University College London (University of London)
Date of Award: 2019
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Abstract:
This work aims to provide novel computational solutions to the problem of derivative pricing. To achieve this, a novel hybrid evolutionary algorithm (EA) based on particle swarm optimisation (PSO) and differential evolution (DE) is introduced and applied, along with various other state-of-the-art variants of PSO and DE, to the problem of calibrating the Heston stochastic volatility model. It is found that state-of-the-art DEs provide excellent calibration performance, and that previous use of rudimentary DEs in the literature undervalued the use of these methods. The use of neural networks with EAs for approximating the solution to derivatives pricing models is next investigated. A set of neural networks are trained from Monte Carlo (MC) simulation data to approximate the closed form solution for European, Asian and American style options. The results are comparable to MC pricing, but with offline evaluation of the price using the neural networks being orders of magnitudes faster and computationally more efficient. Finally, the use of custom hardware for numerical pricing of derivatives is introduced. The solver presented here provides an energy efficient data-flow implementation for pricing derivatives, which has the potential to be incorporated into larger high-speed/low energy trading systems.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.772051  DOI: Not available
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