Mathematics of Differential Machine Learning in Derivative Pricing and Hedging

By Pedro Duarte Gomes

Published 2024-05-02

Everscope rating

1724.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Differential Machine Learning. Problem types: Regression, Time Series Forecasting, Risk Management.

arXiv:2405.01233 · Paper rankings

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