Riskfuel and the University of Toronto have partnered on a research project to push the boundaries of AI research and explore new possibilities for machine learning in capital markets, based on Riskfuel’s innovative approach that offers 1,000,000x faster valuations to derivatives traders
TORONTO, Oct. 20, 2020 (GLOBE NEWSWIRE) -- Riskfuel, a capital markets technology company using AI to revolutionize derivatives valuation and trading, today announced a research partnership with the University of Toronto Department of Statistical Sciences focused on deep learning in financial modelling.
The partnership brings together some of the leading experts in AI-powered valuations for over-the-counter (OTC) derivatives, a $600 trillion market that includes interest rate swaps, credit default swaps, and structured products that aren’t traded on the stock exchange.
Riskfuel CEO Ryan Ferguson, who wrote one of the seminal papers on applying machine learning to derivatives valuation, will lead his team of financial industry veterans in working with Professor Sebastian Jaimungal, Director of the Masters of Financial Insurance program at the University of Toronto.
“We are excited to be partnering with some of University of Toronto’s world-class researchers on a huge, fast-developing new area of opportunity,” said Ferguson. “We have already demonstrated that AI in capital markets will be transformational, and working with Prof. Jaimungal will allow us to stay at the forefront of innovation.”
The University of Toronto and Riskfuel received funding from the Natural Sciences and Engineering Research Council of Canada (NSERC) for the project. Riskfuel will share its industry expertise and ground-breaking applications, while Prof. Jaimungal and his team from the Department of Statistical Sciences will explore new possibilities from the latest research on machine learning and finance.
Their research project focuses on volatility surfaces, which use geometry to provide a window into the dynamics of current conditions in financial markets. Volatility surfaces are a necessary input for an AI model looking at derivatives, but these complex objects often confound traders and quantitative modellers.
This research will contribute to a better understanding of the population of potential volatility surfaces, which will allow AI models to train on every possible future state. That means models that can respond correctly no matter the conditions in financial markets.
“Riskfuel is a pioneer in developing ML tools in the financial markets, so they’re a natural partner,” said Prof. Jaimungal. “It’s exciting to be working with people who have an understanding of both industrial applications and AI. We will be working at the cutting edge, bridging academic explorations with practical, real-world applications. The potential here is wide and far-reaching.”
The research partnership will focus on real-time valuation for OTC derivatives. Traders have a hard time knowing the actual value of these contracts because they can be contingent on interest rates, asset prices, or other economic indicators. Calculating all the possible outcomes is computationally intensive, and the current approach involves applying huge resources to provide overnight assessments of the previous day’s trading.
Riskfuel’s approach uses machine learning to speed up derivatives valuations and risk sensitivity calculations up to 1,000,000 times faster than current applications. Instead of overnight, traders can have accurate information on derivatives values in real-time.
About Riskfuel
Riskfuel Analytics Inc. is a capital markets and insurance technology company using AI to accelerate valuation and risk sensitivity calculations.
Contact:
media@riskfuel.com
140 Yonge Street,
Toronto, Ontario M5C 1X6
Canada