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New York University

Reinforcement Learning in Finance

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. By the end of this course, students will be able to - Use reinforcement learning to solve classical problems of Finance such as portfolio optimization, optimal trading, and option pricing and risk management. - Practice on valuable examples such as famous Q-learning using financial problems. - Apply their knowledge acquired in the course to a simple model for market dynamics that is obtained using reinforcement learning as the course project. 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.

Status: Markov Model
Status: Reinforcement Learning
AdvancedCourse17 hours

Featured reviews

LA

Reviewed Jun 5, 2019

Excellent course. The peer reviewed evaluation is very interisting and it is definitely worth the time to do it in detail but does not take two hours with luck a week.

SM

Reviewed Jun 23, 2021

Challenging course as a non-finance person, but learned a lot.

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