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A machine learning approach to portfolio pricing and risk management for high‐dimensional problems
16 references·1 citing·39 second hop
A machine learning approach to portfolio pricing and risk management for high‐dimensional problems (2022)A machine learning approach to portfolio …Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement (2017)Kernel Smoothing for Nested E…The difference between LSMC and replicating portfolio in insurance liability modeling (2016)The difference between LSMC a…Modeling and Forecasting (2016)Modeling and ForecastingRisk Estimation via Regression (2015)Risk Estimation via RegressionIntroduction to Uncertainty Quantification (2015)Introduction to Uncertainty Q…Nested Simulation in Portfolio Risk Measurement (2010)Nested Simulation in Portfoli…The Mathematics of Arbitrage (2006)The Mathematics of ArbitrageThe Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic Finance (2004)Stochastic FinanceSimulation for American Options: Regression Now or Regression Later? (2004)Simulation for American Optio…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Affine processes and applications in finance (2003)Affine processes and applicat…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)CONTINGENT CLAIMS VALUED AND …Modeling and Forecasting U. S. Mortality (1992)Modeling and Forecasting U. S…Machine Learning With Kernels for Portfolio Valuation and Risk Management (2019)Machine Learning With Kernels…Reviews: Borgatta, Edgar D., ed., Sociological Methodology, 1969. San Francisco, Jossey-Bass, Inc., 1969. 302 + xvi pp. $12.50. (1972)In Search of Methuselah: Estimating the Upper Limits to Human Longevity (1990)Broken Limits to Life Expectancy (2002)Applied Mathematical Demography (2005)Projections of Global Mortality and Burden of Disease from 2002 to 2030 (2006)Forecasting life expectancy, years of life lost, and all-cause and cause-specific mortality for 250 causes of death: reference and alternative scenarios for 2016–40 for 195 countries and territories (2018)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Arbitrage Theory in Continuous Time (2004)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Hawkes Processes in Finance (2015)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time (1992)Monte Carlo methods for security pricing (1997)Valuing American Options in a Path Simulation Model (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Theory of rational option pricing (2005)Realized Volatility: A Review (2008)The coming acceleration of global population ageing (2008)Volatility forecast comparison using imperfect volatility proxies (2010)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)A unified framework for stochastic optimization (2018)Modern Monte Carlo methods for efficient uncertainty quantification and propagation: A survey (2020)A survey on machine learning approaches for uncertainty quantification of engineering systems (2025)A Benchmark Approach to Quantitative Finance (2006)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)Arbitrage and duality in nondominated discrete-time models (2015)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Robustness and sensitivity analysis of risk measurement procedures (2010)Quantitative Risk Management (2011)HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK–MERTON–SCHOLES? (2007)Utility maximization in a jump market model (2009)A note on the condition of no unbounded profit with bounded risk (2014)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1992Modeling and Forecasting U. S. Mortality2,347 cited
  • 2003Affine processes and applications in finance1,044 cited
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  • 2015Introduction to Uncertainty Quantification443 cited
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  • 2016Modeling and Forecasting305 cited
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  • 2010Nested Simulation in Portfolio Risk Measurement180 cited
  • 1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS157 cited
  • 2015Risk Estimation via Regression94 cited
  • 2004Simulation for American Options: Regression Now or Regression Later?84 cited
  • 2017Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement56 cited
  • 2016The difference between LSMC and replicating portfolio in insurance liability modeling

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  • 2019Machine Learning With Kernels for Portfolio Valuation and Risk Management18 cited