Bayesian Machine Learning in Quantitative Finance

This book offers a comprehensive discussion of the Bayesian inference framework and demonstrates why this probabilistic approach is ideal for tackling the various modelling problems within quantitative finance. It demonstrates how advanced Bayesian machine learning techniques can be applied within financial engineering, investment portfolio management, insurance, municipal finance management as well as banking. The book covers a broad range of modelling approaches, including Bayesian neural networks, Gaussian processes and Markov Chain Monte Carlo methods. It also discusses the utility of Bayesian inference in quantitative finance and discusses future research goals in the applications of Bayesian machine learning in quantitative finance. Chapters are rooted in the theory of quantitative finance and machine learning while also outlining a range of practical considerations for implementing Bayesian techniques into real-world quantitative finance problems. This book is ideal for graduate researchers and practitioners at the intersection of machine learning and quantitative finance, as well as those working in computational statistics and computer science more broadly. Wilson Tsakane Mongwe is a machine learning research fellow at the University of Johannesburg, South Africa, and an Associate Director and the Head Quantitative Analyst at a Big Four audit firm’s Financial Services Advisory business unit. He is an author of the machine learning book entitled “Hamiltonian Monte Carlo Methods in Machine Learning”. Rendani Mbuvha is Associate Professor of Actuarial Science in the Department of Mathematics at the University of Manchester, UK. He is a fellow of the Institute and Faculty of Actuaries and Co-Founder of AfriClimate AI. He has published extensively in probabilistic inference in machine learning, renewable energy modeling, and computational finance. Tshilidzi Marwala is United Nations Under-Secretary-General and Rector of the UN University. He was the trustee of the Nelson Mandela Foundation and is a member of the American Academy of Arts and Sciences, Chinese Academy of Sciences, The World Academy of Sciences, and the African Academy of Sciences. He has published 27 books in artificial intelligence and related areas.