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Adaptive joint distribution learning
We develop a new framework for embedding joint probability distributions in tensor product reproducing kernel Hilbert spaces (RKHS).
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.
Option Pricing with Orthogonal Polynomial Expansions
We derive analytic series representations for European option prices in polynomial stochastic volatility models.
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