Bermudan options using regression methods and Monte Carlo simulation. These methods rely on conditional probabilistic … representations which allow, in combination with a regression approach, for efficient simultaneous computation of sensitivities at … ; Conditional probabilistic representations ; Regression methods …

Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns … Abstract: Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure … opposed to the usual feedforward SVR. -- Recurrent support vector regression ; MLE ; recurrent MLP ; nonlinear ARMA …

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via … investor. -- Optimal stochastic control ; Regression methods ; Convergence analysis. …

regression based algorithms together with a new approach towards constructing upper bounds for the price of the option. Applying … ; Consumption process ; Regression methods ; Optimal stopping times …

both the observed Put and Call option prices. -- isotonic regression ; Sobolev spaces ; monotonicity ; multiple …

We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the … partial linear semiparametric regression model, y = Xβ + f + Both estimators are analysed and compared in the sense of mean … ; Differencing matrix ; Liu estimator ; Liu type estimator ; Multicollinearity ; Ridge regression estimator ; Semiparametric model …

In this paper uniform confidence bands are constructed for nonparametric quantile estimates of regression functions … respect to different education levels. -- Bootstrap ; Quantile Regression ; Confidence Bands ; Nonparametric Fitting ; Kernel …

This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The ….1%) quantiles, where particularly few data points are available, we propose to combine nonparametric quantile regression with … specifications of the Conditionally Autoregressive VaR (CAViaR) models. -- Value at Risk ; nonparametric quantile regression ; risk …