Gated Neural Networks for Option Pricing: Enforcing Sanity in a Black Box Model: Enforcing sanity in a black box model. (Tim Hospedales @ HORSE2016)

Presentation at HORSE2016 (): “Gated Neural Networks for Option Pricing: Enforcing Sanity in a Black Box Model: Enforcing sanity in a black box model.“ This talk is about adapting the architecture and training of a neural network to satisfy six sanity conditions in the learnt model. Sanity is crucial here because they want to explain the market and not just predict it. It is wrong to believe that sanity will come about just by training on large amounts of real data. Doma