Dr. Oliver Ebner was Senior Manager in the Practice Group Risk & Advanced Methodology at zeb. He holds a degree in Mathematical Finance from the University of Oxford and was leading projects in Finance and Risk, with a focus on Market Risk. Moreover, he was co-heading the Topic Development Cluster “Market and Liquidity Risk”.
Currently, the main models used for derivative pricing are based on arithmetical models. Their weakness, however, is their performance. Derivative valuation using machine learning may be the future in several areas of financial institutions.