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Applications in long-term forecasting, derivatives valuation, anomaly detection, and machine learning

  • 15 Aug 2023
  • 6:00 PM - 7:00 PM
  • RMIT Building 15, Level 3, Room 10, 124 La Trobe Street Melbourne OR online via Teams

Registration


Registration is closed

Join the SSA Vic & Tas branch as we hear from Dr Zili Zhu for our August talk.

Abstract

At RiskLab, our objective is to develop and implement innovative quantitative solutions and/or products for the industry. The methodologies that we rely on are in the domains of applied math, statistics and software engineering.  In this talk, we will present some examples derived from our direct engagement with industrial clients to illustrate some typical techniques and methods that we have implemented for applications in long-term forecasting (actuary), derivatives valuations (finance and agriculture), anomaly detection (fraud risk) and machine-learning (high-frequency algorithmic trading). 

Biography

Dr Zili Zhu is the Director of RiskLab at CSIRO. Zili has extensive experience in quantitative risk and decision-making under uncertainty in financial markets, energy, mining and agriculture. He established RiskLab at Data61 (www.RiskLab.com.au) as the Australia node of the global RiskLab Network, and leads RiskLab to focus on developing innovative mathematical models and optimal decision analytics.

Another major R&D activity at RiskLab has been the development and implementation of advanced mathematical models for pricing exotic options in the foreign-exchange market. These models formed the CSIRO exotic valuation platform Reditus which is being used on a daily basis by more than 350 global institutional clients.  

Event info

The event will be hybrid with both in-person attendance and streaming online. Following the conclusion of the talk, those attend in-person are welcome to join us for dinner at a nearby restaurant (at your own cost).

Tasmanian in-person hub

If you live in Hobart you can watch this talk in-person by attending our event hub! Details of the event hub are provided in the registration email.

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