Dr. Oliver Ebner is Senior Manager in the practice group Risk & Advanced Methodology. He holds a degree in Mathematical Finance from the University of Oxford and is leading projects in Finance and Risk, with a focus on Market Risk. Moreover, he is 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.