Deep Learning in Quantitative Finance

by Andrew Green

Deep learning, that is the use of deep neural networks, is now one of the hottest topics amongst quantitative analysts. This book provides a comprehensive treatment of deep learning and a wide range of applications in mainstream quantitative finance. The book introduces the basics of neural networks including feedforward networks, optimization and training and regularization techniques, before proceeding to cover more advanced topics including CNNs, RNNs, autoencoders, generative models and deep reinforcement learning. The main software frameworks, Tensorflow and Pytorch, are introduced and discussed, along with a number of others. The book then proceeds to cover the very latest deep learning research in quantitative finance, including approximating derivative values, high dimensional PDE solvers and BSDEs, volatility models and model calibration, credit curve mapping for XVA, generating realistic market data, order book management and hedging using reinforcement learning. The book concludes with a look at the potential for quantum deep learning and the broader implications deep learning has for quantitative finance and quantitative analysts.

400 pages, Hardcover

Expected publication April 27, 2026