Lecture Schedule and Slides/Reading Content
Week 1
- Jan 7
- Lecture Slides
- Course Overview
- Readings
- Chapter 1 of RLForFinanceBook
- Assignment
- Assignment 0: Course Setup, Very Easy!
- Jan 9
- Readings
- Chapter 3 of RLForFinanceBook
Week 2
- Jan 14
- Readings
- Chapter 4 of RLForFinanceBook (Section on POMDP not exam-able)
- Jan 16
- Lecture Slides
- Dynamic Programming Algorithms
- Readings
- Chapter 5 of RLForFinanceBook
Week 3
- Jan 21
- Readings
- Chapter 6 of RLForFinanceBook
- Optional
- Appendix F of RLForFinanceBook
- Jan 23
- Lecture Slides
- Understanding Risk-Aversion through Utility Theory (as a pre-req for Finance Applications)
- Readings
- Chapter 7 of RLForFinanceBook
- Optional
- Appendix A and C of RLForFinanceBook
Week 4
- Jan 28
- Readings
- Chapter 8 of RLForFinanceBook
- Optional
- Optional: Appendix B, C, and D of RLForFinanceBook; Some (rough) pointers on Discrete versus Continuous MDPs, and solution techniques
- Jan 30
- Lecture Slides
- Application Problems 2 and 3 - Optimal Exercise of American Options and Optimal Hedging of Derivatives in Incomplete Markets
- Readings
- Intro to Derivatives section in Chapter 9 of RLForFinanceBook
- Optional
- Appendix C and E of RLForFinanceBook; Derivatives Pricing Theory in Chapter 9 of RLForFinanceBook (Derivatives Pricing Theory is not exam-able); Relevant sections in Chapter 9 of RLForFinanceBook for Optimal Exercise and Optimal Hedging in Incomplete Markets; Foundations of Arbitrage-Free and Complete Markets
- Assignment
- Assignment 2: Due Feb 13 11:59pm
Week 5
- Feb 4
- Lecture Slides
- Application Problem 4 - Optimal Trade Order Execution
- Readings
- Optimal Trade Order Execution section in Chapter 10 of RLForFinanceBook
- Feb 6
- Lecture Slides
- RL for Prediction (Monte-Carlo and Temporal-Difference)
- Readings
- MC and TD sections in Chapter 11 of RLForFinanceBook
Week 6
- Feb 11
- Lecture Slides
- RL for Prediction (Eligibility Traces and TD(Lambda))
- Readings
- Eligibility Traces and TD(Lambda) sections in Chapter 11 of RLForFinanceBook
- Feb 13
- Lecture Slides
- RL for Prediction (Eligibility Traces and TD(Lambda))
- Readings
- Eligibility Traces and TD(Lambda) sections in Chapter 11 of RLForFinanceBook
Week 7
- Feb 18
- Lecture Slides
- RL for Control (Optimal Value Function/Optimal Policy)
- Readings
- Chapter 12 of RLForFinanceBook
- Feb 20
- Lecture Slides
- Batch RL, Experience-Replay, DQN, LSPI
- Readings
- Sections 13.1 to 13.6 in Chapter 13 of RLForFinanceBook