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Ensemble learning for portfolio valuation and risk management
We introduce an ensemble learning method for dynamic portfolio valuation and risk management building on regression trees.
Some properties of the Kilbas-Saigo function
We characterize the complete monotonicity of the Kilbas-Saigo function on the negative half-line.
Classical Analysis and ODEs 33E12 (Primary) 33B15, 60E15, 60G52 (Secondary)
Machine learning with kernels for portfolio valuation and risk management
We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels.
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