VI. BQG Meetup - Neural Network Deamericanization

Join the next Budapest Quant Group meetup for an exciting presentation by Gábor Vigh, Director at MQA, Citi, on cutting-edge machine learning methods in quantitative finance. The event concludes with networking.

Abstract: Accurate and efficient calibration of equity volatility surfaces is fundamental to equity derivative pricing. When markets quote only American option prices, this task becomes significantly more complex. We present a neural network-based approach that overcomes these challenges, delivering calibration results while reducing the computational burden of conventional approaches.

Mandatory registration: please send a mail to the following address: kinga.doktor@citi.com, with the following details:

• name
• company
• job title

Agenda

• 18:30-19:00 Reception. The attendees need to enter the Promenade Gardens Building, the presentation will take place on the fifth floor in the Citi office (ask for help at the reception)
• 19:00-20:30 Presentation and Q&A
• 20:30 Networking

Address:
5th floor, Promenade Gardens (Citi building)
80, Váci str. Budapest, 1134.