Machine Learning Surrogates
Fast learned approximations to expensive pricing maps.
Build the mental model first.
Pay a training cost once, then approximate repeated model evaluations very quickly inside a controlled domain.
Fast learned approximations to expensive pricing maps.
Now make it exact.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Every model has a price.
Educational conventions are stated explicitly and may simplify market quotation or settlement details.
Rates are continuously compounded unless the section says otherwise.
Inputs are deterministic in the base model.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Why a quant cares.
Active deployment area, but error control and extrapolation governance are essential.
The hedge has opinions.
Start with the quote convention, then ask which Frontier risk survives the hedge. A number without its convention is merely well-dressed ambiguity.
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