John Hull - University Of Toronto | QuantMinds International Speaker

Profile

John Hull is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. In 1999 he was voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award.

Agenda Sessions

Volatility surface movements
May 15, 08:25
View Session
08:25 - 09:05 40 mins

B: Volatility Modelling & Trading

Volatility surface movements

John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto
Workshop leader’s opening remarks
May 17, 09:00
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09:00 - 09:05 5 mins

Workshop: Machine learning in finance

Workshop leader’s opening remarks

John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto
Introduction
May 17, 09:05
View Session
09:05 - 10:30 85 mins
Info

Workshop: Machine learning in finance

Introduction

John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto

Types of machine learning
Why ML is suddenly so popular in finance
Training, validation and test sets
Linear regression with many features: ridge, lasso, elastic regression. Case study
Bayes classification
Principal components
Supervised Learning
May 17, 11:00
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11:00 - 12:30 90 mins
Info

Workshop: Machine learning in finance

Supervised Learning

John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto

Logistic regression. Case study
Support vector machines
Neural networks
Decision trees and random forests
Bagging and boosting; ensemble
The variance-bias trade-off
Unsupervised and Reinforcement Learning
May 17, 13:30
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13:30 - 15:00 90 mins
Info

Workshop: Machine learning in finance

Unsupervised and Reinforcement Learning

John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto

Clustering. Case study
Reinforcement learning
Biases and data cleaning
Image recognition
Limitations of ML
Other Financial Innovations
May 17, 15:30
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15:30 - 17:00 90 mins
Info

Workshop: Machine learning in finance

Other Financial Innovations

John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto

The pattern of innovation
Blockchain and hashing
Cryptocurrencies and ICOs
Roboadvisors, insurtech and regtech
Kodak vs. IBM
Workshop leader's closing remarks
May 17, 17:00
View Session
17:00 - 17:15 15 mins

Workshop: Machine learning in finance

Workshop leader's closing remarks

John Hull - Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management, University Of Toronto

Mr Jim
Gatheral Mr Tiziano
Bellini

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Tiziano Bellini

Director

BlackRock

John Hull Maple Financial Professor Of Derivatives & Risk Management, Joseph L. Rotman School of Management at University Of Toronto

Profile

Agenda Sessions

Speakers at this event

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