no code implementations • 24 Jan 2021 • John Ery, Loris Michel
We propose a reinforcement learning (RL) approach to model optimal exercise strategies for option-type products.
no code implementations • 29 May 2020 • Domagoj Ćevid, Loris Michel, Jeffrey Näf, Nicolai Meinshausen, Peter Bühlmann
Random Forest (Breiman, 2001) is a successful and widely used regression and classification algorithm.
1 code implementation • 14 Mar 2019 • Simon Hediger, Loris Michel, Jeffrey Näf
The developed tests are easy to use, require almost no tuning, and are applicable for any distribution on $\mathbb{R}^d$.
Methodology