Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
Year of publication: |
2020
|
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Authors: | Crépey, Stéphane ; Dixon, Matthew F. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 1, p. 47-81
|
Subject: | Gaussian processes regression | surrogate modeling | mark-to-market cube | derivatives | credit valuation adjustment | uncertainty quantification | Derivat | Derivative | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Regressionsanalyse | Regression analysis |
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