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12/20/2022
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints
We explore the abilities of two machine learning approaches for no-arbit...
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05/09/2022
A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives
Catastrophe (CAT) bond markets are incomplete and hence carry uncertaint...
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11/18/2021
MS-nowcasting: Operational Precipitation Nowcasting with Convolutional LSTMs at Microsoft Weather
We present the encoder-forecaster convolutional long short-term memory (...
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02/25/2020
G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning
We present a reinforcement learning approach to goal based wealth manage...
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03/13/2018
Takeuchi's Information Criteria as a form of Regularization
Takeuchi's Information Criteria (TIC) is a linearization of maximum like...
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11/27/2017