Neural Network based Approximation Algorithm with Application to Pricing

The webinar was jointly organised by IAS and the Graduate Students' Clubs of EEE and SPMS. This talk brought the worlds of neural networks and finance together in an innovative and unique manner. Nanyang Assistant Professor Ariel Neufeld, who at such a young age has a lot of laurels in his bag such as, the SIAM Activity Group on Financial Mathematics & Engineering Early Career Prize, enthusiastically presented the algorithm his team developed to solve nonlinear Partial Differential Equations.

The talk focused on the unique approach taken by the team to solve the problem at hand and showed how, unlike other neural network applications that need very high computational power at higher dimensions and variables, his algorithm can be run on  any common consumer’s desktop or laptop. The field of study of this seminar was completely new to many attendees and it hooked their interests throughout and during the Q&A session.

Shantanu Raoke | EEE Graduate Students’ Club