Assignments and theoretical exercises from the Machine Learning for Finance and Insurance course offered in fall 2023 at ETH.
Implemented some linear regression models to perform pricing of BS simulated stocks.
Implement SVM methods to perform credit analytics of consumer loans and finally compared investment strategies.
Implemented from scratch the deep hedging model introduced in [Buehler et al., 2019] and tested it on simulated data from the Black–Scholes and Heston models.
Implemented and compared different models for insurance frequency claim prediction on real-life data from the French motor third party liability dataset.
Solution to problem set 4 exercise 3.