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Reinforcement Learning in Finance

New York University (NYU) via Coursera

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Overview

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This course aims at introducing the fundamental concepts of Reinforcement Learning (RL), and develop use cases for applications of RL for option valuation, trading, and asset management.

Prerequisites are the courses "Guided Tour of Machine Learning in Finance" and "Fundamentals of Machine Learning in Finance". Students are expected to know the lognormal process and how it can be simulated. Knowledge of option pricing is not assumed but desirable.

Syllabus

MDP and Reinforcement Learning


MDP model for option pricing: Dynamic Programming Approach


MDP model for option pricing - Reinforcement Learning approach


RL and INVERSE RL for Portfolio Stock Trading


Taught by

Igor Halperin

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