In this paper, we combine the theory of stochastic process and techniques of machine learning with the regression analysis, first proposed by Longstaff and Schwartz 2001 and apply the new methodologies on financial derivatives pricing. Rigorous convergence proofs are provided for some of the...

In this paper, we provide insights on the prediction of asset returns via novel machine learning methodologies. Machine learning clustering-enhanced classification and regression techniques to predict future asset return movements are proposed and compared. Numerical experiments show good...