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DTSTART:20260329T010000
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DTSTART;TZID=Europe/Lisbon:20260602T160000
DTEND;TZID=Europe/Lisbon:20260602T170000
DTSTAMP:20260602T011003
CREATED:20260527T112735Z
LAST-MODIFIED:20260527T112735Z
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SUMMARY:BRU Research Seminar: Sajid Ali
DESCRIPTION:Guest Speaker: Sajid Ali (BRU-Iscte) \nTime: 16:00 \nTitle: Machine Learning Strategies for Pricing Options in Financial Markets \nAbstract: An extensive analysis of European call option pricing on the S&P 500 (SPX) index over 2017–2022\, covering both low- and high-volatility regimes. A comprehensive set of models is considered\, including the classical Black–Scholes framework and a wide range of machine learning approaches\, such as Random Forest\, XGBoost\, AdaBoost\, Support Vector Regression\, K-Nearest Neighbours\, Linear Regression\, and a Neural Network. The study evaluates model performance in terms of pricing accuracy across different market conditions\, demonstrating the robustness of ensemble tree-based methods. We also employ explainable AI (XAI) techniques\, to analyze contributions of input features in option pricing models. \n  \nSession Chair: João Pedro Nunes \nBuilding 4\, Room A104\nLink to join online:
URL:https://bru.iscte-iul.pt/event/bru-research-seminar-sajid-ali/
LOCATION:Room A104\, Building 4 (CVTT)\, 3rd floor
CATEGORIES:Research Seminar
ATTACH;FMTTYPE=image/png:https://bru.iscte-iul.pt/wp-content/uploads/BRUResearchSeminar_SajidAli_LI.png
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