Talks

An Overview of the Recovery Theorem

A talk on the Recovery Theorem for Peter Carr’s group at Morgan Stanley.

Deep (Supervised or Otherwise) Learning

Deep Learning usually refers to a set of computational models, composed of multiple processing layers, that perform tasks on data by generating multiple intermediate representations. These models have surpassed state of the art performance in many …

Deep Inventory Management

This work provides a Deep Reinforcement Learning approach to solving a periodic review inventory control system with stochastic vendor lead times, lost sales, correlated demand, and price matching. While this dynamic program has historically been …

Non Linear Option Pricing

Julien asked me to teach Math 4079 - these are some old lecture slides.

Theoretical Machine Learning (with applications to finance)

A talk on theoretical machine learning for finance researchers.

Causality in Real-World Reinforcement Learning

Amy Zhang invited me to speak at her course on Causality + RL

Deep Inventory Management

This work provides a Deep Reinforcement Learning approach to solving a periodic review inventory control system with stochastic vendor lead times, lost sales, correlated demand, and price matching. While this dynamic program has historically been …