Simon Farruqui
high_schoolClass of 2025Milton, Massachusetts
About
Hi, I'm Simon. I am currently a sophomore at Milton Academy, where I founded my school's Entrepreneurship and Microfinance Club. I find great interest in finding solutions for real-world problems through interdisciplinary collaboration in research and innovation, specifically in using artificial intelligence and machine learning for applications centered around economics and finance. Currently, I'm focusing on the intersection of computer science and economics to increase the prevalence of machine learning assistance in economic modeling.Projects
- "Deep Structural Estimation: A Revolution in Option Pricing Through Machine Learning" with mentor Yaroslav (Working project)
Project Portfolio
Deep Structural Estimation: A Revolution in Option Pricing Through Machine Learning
Started Mar. 3, 2022
Abstract or project description
In this research project, I aim to explore the intersection of finance and machine learning by studying option pricing models and the use of modern machine-learning techniques for financial modeling. The goal is to develop a deeper understanding of how option prices are determined and how to use machine learning tools to estimate the parameters of these models using historical market data. Specifically, I will investigate the Black-Scholes and Heston models and will apply techniques such as deep neural networks and nonparametric Bayesian regression to construct surrogate models that are computationally efficient and accurate approximations of the original models. The performance of these surrogates will be evaluated and compared to the theoretical models, providing insights into the potential advantages and limitations of using machine learning in finance. Through this research, I will gain practical experience with programming and scientific computation, as well as a deeper understanding of the underlying principles and methods in finance and machine learning.